HYD Options History — August 2012

Name: HYD Options Analytics - August 2012
Creator: Options Analysis Suite

In August 2012, HYD traded between $64.72 and $65.78. ATM implied volatility averaged 8.1%. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 3.9% (HV 20d: 4.2%). Max pain ranged from $60.00 to $68.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2012-08-27: Highest Volume — 8 contracts
2012-08-16: Largest IV drop — 56.0% change
2012-08-09: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.40	$64.72	$65.78	$65.60	$65.78
Max Pain	$61.04	$60.00	$68.00	$68.00	$60.00
ATM IV	8.1%	5.8%	14.5%	6.5%	7.6%
Expected Move	1.9%	1.7%	2.3%	1.9%	2.2%
HV 20d	4.2%	2.8%	4.8%	3.0%	4.5%
HV 60d	3.6%	3.1%	3.7%	3.1%	3.7%
Term Structure	-1.7%	-3.2%	1.1%	-1.5%	-0.4%
VWIV	9.1%	9.1%	9.1%	9.1%	9.1%
Skew 25d	1.2%	0.7%	2.9%	1.3%	2.4%
Skew 10d	1.2%	0.7%	1.8%	0.7%	1.5%
Call IV 25d	6.7%	5.9%	8.5%	7.9%	7.2%
Put IV 25d	7.9%	7.1%	9.7%	9.2%	9.6%
Bid-Ask Spread %	114.21	110.42	125.90	125.90	113.81
Gamma HHI	0.86	0.82	0.92	0.82	0.87
Net GEX	14.2K	12.1K	17.6K	13.0K	16.9K
Net DEX	-54.2K	-92.6K	-23.3K	-57.6K	-92.6K
Net VEX	-488	-598	-411	-537	-598
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.522	0	8	0	0
Total OI	43	40	48	42	48

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-08-01	$65.60	$68.00	6.5%	1.9%	3.0%	0.0%	0.0%	1.3%	-1.5%	13.0K	-57.6K	-537	125.90	0	0	33	9
2012-08-02	$65.56	$68.00	7.1%	2.0%	2.8%	0.0%	0.0%	1.4%	-1.2%	12.8K	-57.2K	-515	123.99	0	0	33	9
2012-08-03	$65.26	$68.00	7.5%	2.1%	3.4%	0.0%	0.0%	0.8%	-2.4%	12.7K	-45.8K	-485	121.94	0	0	33	9
2012-08-06	$65.38	$60.00	8.5%	1.9%	3.3%	0.0%	0.0%	1.2%	-2.8%	12.7K	-48.6K	-497	112.92	0	0	33	9
2012-08-07	$65.24	$60.00	9.3%	1.7%	3.4%	0.0%	0.0%	1.2%	-3.0%	12.6K	-45.0K	-474	112.56	0	0	33	9
2012-08-08	$65.18	$60.00	9.7%	1.7%	3.4%	0.0%	0.0%	1.1%	-3.2%	12.3K	-46.9K	-476	112.90	0	1	33	9
2012-08-09	$64.72	$60.00	10.5%	2.3%	3.8%	0.0%	0.0%	2.0%	-0.0%	12.1K	-23.3K	-411	111.50	0	0	33	10
2012-08-10	$65.16	$60.00	10.8%	1.8%	4.5%	0.0%	0.0%	1.1%	-3.1%	13.1K	-27.7K	-422	113.09	0	0	33	10
2012-08-13	$65.38	$60.00	12.4%	1.7%	4.6%	0.0%	0.0%	0.7%	-3.1%	13.4K	-41.6K	-461	112.64	0	0	33	10
2012-08-14	$65.32	$60.00	13.7%	1.8%	4.6%	0.0%	0.0%	0.9%	-3.2%	13.4K	-38.1K	-455	112.61	0	0	33	10
2012-08-15	$65.28	$60.00	14.5%	1.7%	4.6%	0.0%	0.0%	1.3%	-2.8%	13.4K	-38.1K	-455	112.84	0	0	33	10
2012-08-16	$65.20	$60.00	6.4%	1.8%	4.6%	0.0%	0.0%	1.3%	-2.9%	13.4K	-32.6K	-437	113.06	0	0	33	10
2012-08-17	$65.32	$60.00	6.3%	1.8%	4.5%	0.0%	0.0%	1.4%	-2.8%	13.6K	-37.6K	-448	112.38	0	1	33	10
2012-08-20	$65.34	$60.00	6.2%	1.8%	4.5%	0.0%	0.0%	0.8%	-0.7%	14.8K	-54.4K	-439	112.65	0	0	33	7
2012-08-21	$65.34	$60.00	6.3%	1.8%	4.5%	0.0%	0.0%	0.8%	-1.1%	14.6K	-63.4K	-456	111.87	0	2	33	7
2012-08-22	$65.32	$60.00	6.4%	1.8%	4.5%	0.0%	0.0%	0.8%	-1.2%	14.0K	-55.4K	-472	113.10	0	0	33	8
2012-08-23	$65.54	$60.00	6.4%	1.8%	4.6%	0.0%	0.0%	1.1%	-1.0%	14.0K	-61.5K	-486	111.83	0	0	33	8
2012-08-24	$65.64	$60.00	5.8%	1.7%	4.6%	0.0%	0.0%	1.3%	-0.5%	14.4K	-67.0K	-490	113.26	0	0	33	8
2012-08-27	$65.70	$60.00	5.9%	1.7%	4.6%	0.0%	9.1%	0.7%	-0.6%	17.4K	-51.3K	-445	114.50	8	0	33	8
2012-08-28	$65.50	$60.00	6.6%	1.9%	4.7%	0.0%	0.0%	1.1%	-0.8%	16.7K	-84.3K	-581	113.78	0	0	40	8
2012-08-29	$65.66	$60.00	6.4%	1.8%	4.8%	0.0%	0.0%	0.7%	-0.8%	17.6K	-85.7K	-575	113.17	0	0	40	8
2012-08-30	$65.72	$60.00	6.5%	1.9%	4.8%	0.0%	0.0%	2.9%	1.1%	16.7K	-91.6K	-598	110.42	0	0	40	8
2012-08-31	$65.78	$60.00	7.6%	2.2%	4.5%	0.0%	0.0%	2.4%	-0.4%	16.9K	-92.6K	-598	113.81	0	0	40	8