HYD Options History — September 2012

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

In September 2012, HYD traded between $65.12 and $65.94. ATM implied volatility averaged 7.9%. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 4.3% (HV 20d: 3.6%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.00.

Notable Days

2012-09-13: Highest Volume — 5 contracts
2012-09-13: Largest IV spike — 296.1% change
2012-09-13: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.50	$65.12	$65.94	$65.48	$65.94
Max Pain	$64.71	$60.00	$66.00	$60.00	$66.00
ATM IV	7.9%	3.7%	32.5%	7.1%	6.5%
Expected Move	2.1%	1.1%	9.3%	2.0%	1.8%
HV 20d	3.6%	3.0%	4.8%	4.8%	3.2%
HV 60d	3.8%	3.7%	3.9%	3.8%	3.7%
Term Structure	-4.4%	-58.6%	0.3%	-1.5%	0.3%
VWIV	61.6%	61.6%	61.6%	61.6%	61.6%
Skew 25d	1.1%	-0.4%	2.7%	0.5%	2.4%
Skew 10d	1.2%	-0.4%	2.7%	0.9%	2.7%
Call IV 25d	9.8%	3.7%	70.8%	8.5%	7.1%
Put IV 25d	10.9%	6.2%	70.4%	9.0%	9.5%
Bid-Ask Spread %	125.91	115.31	199.22	115.67	125.53
Gamma HHI	0.88	0.77	0.91	0.87	0.91
Net GEX	23.3K	6.5K	30.3K	18.6K	25.3K
Net DEX	-87.0K	-123.9K	-58.9K	-80.5K	-123.9K
Net VEX	-541	-594	-471	-554	-566
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	0.263	0	5	0	0
Total OI	49.579	48	53	48	48

Daily Data (19 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	Call OI	Put OI
2012-09-04	$65.48	$60.00	7.1%	2.0%	4.8%	0.0%	0.0%	0.5%	-1.5%	18.6K	-80.5K	-554	115.67	0	40	8
2012-09-05	$65.48	$60.00	7.3%	2.1%	4.7%	0.0%	0.0%	0.5%	-1.7%	18.5K	-80.5K	-552	115.76	0	40	8
2012-09-06	$65.32	$60.00	7.3%	2.1%	4.8%	0.0%	0.0%	0.8%	-1.7%	19.7K	-72.3K	-530	115.31	0	40	8
2012-09-07	$65.48	$0.00	7.3%	1.6%	4.0%	0.0%	0.0%	1.0%	-0.9%	18.9K	-83.8K	-553	120.19	0	40	8
2012-09-10	$65.46	$0.00	8.1%	1.6%	3.3%	0.0%	0.0%	0.9%	-1.1%	18.7K	-84.4K	-546	120.19	0	40	8
2012-09-11	$65.46	$0.00	8.5%	1.7%	3.1%	0.0%	0.0%	1.0%	-1.1%	18.9K	-81.7K	-541	120.13	0	40	8
2012-09-12	$65.42	$0.00	8.2%	1.7%	3.0%	0.0%	0.0%	0.8%	-1.0%	20.6K	-77.1K	-519	119.97	0	40	8
2012-09-13	$65.40	$0.00	32.5%	9.3%	3.0%	0.0%	61.6%	-0.4%	-58.6%	6.5K	-101.6K	-594	199.22	5	40	8
2012-09-14	$65.12	$66.00	3.7%	1.1%	3.4%	0.0%	0.0%	0.9%	-1.8%	24.4K	-58.9K	-471	115.75	0	45	8
2012-09-17	$65.26	$66.00	6.1%	1.8%	3.4%	0.0%	0.0%	0.8%	-2.8%	25.0K	-81.2K	-544	120.35	0	45	8
2012-09-18	$65.26	$66.00	5.9%	1.7%	3.4%	0.0%	0.0%	1.4%	-2.0%	24.8K	-76.2K	-532	120.27	0	45	8
2012-09-19	$65.42	$66.00	6.1%	1.8%	3.5%	0.0%	0.0%	0.9%	-2.6%	26.4K	-81.3K	-529	120.63	0	45	8
2012-09-20	$65.56	$66.00	5.0%	1.4%	3.6%	0.0%	0.0%	2.7%	-2.5%	29.2K	-81.6K	-523	154.44	0	45	8
2012-09-21	$65.62	$66.00	5.5%	1.6%	3.4%	0.0%	0.0%	1.3%	-1.8%	28.0K	-93.1K	-551	121.05	0	45	8
2012-09-24	$65.62	$66.00	5.8%	1.7%	3.4%	0.0%	0.0%	1.5%	-0.5%	29.0K	-91.1K	-541	121.70	0	45	3
2012-09-25	$65.62	$66.00	6.3%	1.8%	3.4%	0.0%	0.0%	0.9%	-0.7%	30.0K	-97.0K	-550	121.46	0	45	3
2012-09-26	$65.76	$66.00	6.1%	1.8%	3.2%	0.0%	0.0%	1.2%	-0.7%	30.3K	-103.0K	-541	122.38	0	45	3
2012-09-27	$65.78	$66.00	6.3%	1.8%	3.1%	0.0%	0.0%	1.3%	-0.2%	29.7K	-104.1K	-535	122.36	0	45	3
2012-09-28	$65.94	$66.00	6.5%	1.8%	3.2%	0.0%	0.0%	2.4%	0.3%	25.3K	-123.9K	-566	125.53	0	45	3