HYD Options History — October 2012 In October 2012, HYD traded between $65.62 and $66.22. ATM implied volatility averaged 10.8%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 8.4% (HV 20d: 2.5%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-10-31 : Highest Volume — 7 contracts2012-10-08 : Largest IV spike — 1479.7% change2012-10-08 : Highest IV Rank — 100.0%2012-10-08 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $65.86 $65.62 $66.22 $65.70 $66.22 Max Pain $66.00 $66.00 $66.00 $66.00 $66.00 ATM IV 10.8% 4.7% 101.3% 6.2% 6.5% Expected Move 2.4% 1.3% 15.9% 1.8% 1.9% HV 20d 2.5% 1.5% 3.5% 3.5% 1.5% HV 60d 3.5% 3.3% 3.8% 3.8% 3.3% IV Rank 7.9% 1.5% 100.0% 1.5% 2.9% IV Percentile 24.7% 0.8% 100.0% 0.8% 27.8% Term Structure -5.0% -54.5% 2.3% -0.2% -3.5% Skew 25d 0.8% -0.1% 2.6% 1.8% 1.4% Skew 10d 0.9% -0.1% 1.8% 1.8% 1.1% Call IV 25d 9.8% 5.7% 66.0% 7.3% 9.7% Put IV 25d 10.6% 5.8% 67.0% 9.1% 11.1% Bid-Ask Spread % 129.06 116.39 200.00 125.35 131.08 Gamma HHI 0.91 0.84 1.00 0.91 0.91 Net GEX 34.2K 8.9K 47.2K 34.1K 29.9K Net DEX -106.4K -133.4K -95.3K -101.9K -126.6K Net VEX -471 -530 -399 -530 -414 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 0.571 0 7 0 7 Total OI 47.714 43 51 48 43
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2012-10-01 $65.70 $66.00 6.2% 1.8% 3.5% 0.0% 0.0% 1.8% -0.2% 34.1K -101.9K -530 0.00 125.35 0 0 45 3 2012-10-02 $65.68 $66.00 6.3% 1.8% 3.1% 0.0% 0.0% 1.0% -0.4% 33.5K -102.6K -527 0.00 125.35 0 0 45 3 2012-10-03 $65.66 $66.00 4.7% 1.3% 3.1% 1.5% 0.0% 2.6% 2.3% 35.6K -97.3K -503 0.00 116.39 0 0 45 3 2012-10-04 $65.68 $66.00 6.3% 1.8% 2.9% 3.9% 0.0% 0.8% -1.1% 34.5K -101.5K -520 0.00 128.02 0 0 45 3 2012-10-05 $65.62 $0.00 6.4% 1.5% 2.8% 4.1% 0.0% 0.2% -2.2% 33.4K -95.7K -493 0.00 119.81 0 0 45 3 2012-10-08 $65.68 $0.00 101.3% 15.9% 2.8% 100.0% 0.0% 1.0% -54.5% 8.9K -133.4K -523 0.00 200.00 0 0 45 3 2012-10-09 $65.62 $0.00 7.5% 1.7% 2.8% 3.9% 0.0% 0.3% -3.0% 33.7K -95.3K -477 0.00 120.41 0 3 45 3 2012-10-10 $65.70 $0.00 7.9% 1.8% 2.9% 4.3% 0.0% 1.1% -2.3% 30.9K -101.2K -496 0.00 120.46 0 0 45 6 2012-10-11 $65.74 $0.00 5.5% 1.6% 2.9% 1.8% 0.0% 0.5% -2.4% 34.4K -100.4K -489 0.00 120.85 0 0 45 6 2012-10-12 $65.86 $0.00 5.7% 1.6% 2.3% 2.0% 0.0% 0.4% -2.9% 35.6K -107.5K -484 0.00 122.08 0 0 45 6 2012-10-15 $65.90 $0.00 5.6% 1.6% 2.3% 1.9% 0.0% 0.4% -3.0% 38.6K -108.9K -467 0.00 123.44 0 0 45 6 2012-10-16 $65.90 $0.00 7.3% 2.1% 2.3% 3.7% 0.0% 0.3% -3.7% 35.7K -111.4K -476 0.00 147.66 0 0 45 6 2012-10-17 $65.94 $0.00 5.8% 1.7% 2.1% 2.1% 0.0% 0.5% -3.1% 41.7K -111.2K -456 0.00 123.63 0 2 45 6 2012-10-18 $66.02 $0.00 6.4% 1.8% 2.1% 2.7% 0.0% 1.1% -3.1% 42.1K -118.7K -463 0.00 122.58 0 0 45 6 2012-10-19 $66.00 $0.00 6.4% 1.8% 2.1% 2.7% 0.0% 1.0% -3.2% 47.2K -115.3K -456 0.00 122.58 0 0 45 6 2012-10-22 $65.98 $0.00 6.0% 1.7% 2.1% 2.3% 0.0% 0.5% -3.5% 32.5K -97.1K -439 0.00 124.48 0 0 40 3 2012-10-23 $66.06 $0.00 6.1% 1.8% 2.1% 2.5% 0.0% 0.2% -4.2% 37.0K -104.2K -410 0.00 127.10 0 0 40 3 2012-10-24 $66.00 $0.00 6.6% 1.9% 2.0% 3.0% 0.0% 0.8% -3.6% 31.3K -99.5K -431 0.00 137.52 0 0 40 3 2012-10-25 $65.98 $0.00 6.4% 1.8% 2.0% 2.7% 0.0% -0.1% -3.8% 32.5K -97.2K -428 0.00 124.48 0 0 40 3 2012-10-26 $66.10 $0.00 6.2% 1.8% 2.0% 2.5% 0.0% 0.1% -3.7% 36.0K -107.6K -399 0.00 127.08 0 0 40 3 2012-10-31 $66.22 $0.00 6.5% 1.9% 1.5% 2.9% 0.0% 1.4% -3.5% 29.9K -126.6K -414 0.00 131.08 7 0 40 3
« Sep 2012 | All History | Nov 2012 » Home HYD History October 2012