HYD Options History — November 2012

In November 2012, HYD traded between $65.84 and $67.12. ATM implied volatility averaged 6.7%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 3.9% (HV 20d: 2.9%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2012-11-08: Highest Volume — 15 contracts
2012-11-15: Largest IV drop — 71.2% change
2012-11-14: Highest IV Rank — 9.7%
2012-11-30: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.47	$65.84	$67.12	$65.84	$67.12
Max Pain	$64.95	$64.00	$66.00	$64.00	$66.00
ATM IV	6.7%	3.6%	13.2%	6.8%	7.0%
Expected Move	1.5%	1.0%	2.0%	1.9%	2.0%
HV 20d	2.9%	1.9%	3.1%	2.6%	1.9%
HV 60d	3.0%	2.6%	3.5%	3.5%	2.6%
IV Rank	3.1%	0.0%	9.7%	3.1%	3.5%
IV Percentile	33.2%	0.0%	96.1%	34.5%	46.7%
Term Structure	0.6%	-3.8%	3.9%	-3.7%	-1.5%
VWIV	5.5%	2.6%	6.9%	6.7%	6.3%
Skew 25d	1.9%	0.4%	5.6%	1.4%	0.9%
Skew 10d	2.6%	0.3%	7.7%	0.9%	0.8%
Call IV 25d	5.8%	4.4%	8.6%	8.4%	6.5%
Put IV 25d	7.7%	6.4%	11.2%	9.7%	7.4%
Bid-Ask Spread %	119.02	111.71	132.09	132.09	117.90
Gamma HHI	0.95	0.90	1.00	0.90	0.94
Net GEX	36.3K	23.5K	79.9K	31.8K	23.5K
Net DEX	-108.5K	-140.3K	-82.5K	-82.5K	-140.3K
Net VEX	-261	-329	-166	-329	-166
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.17	0.00	0.00
Total Volume	2.095	0	15	0	2
Total OI	33.81	31	36	36	31

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
2012-11-01	$65.84	$0.00	6.8%	1.9%	2.6%	3.1%	0.0%	1.4%	-3.7%	31.8K	-82.5K	-329	0.00	132.09	0	0	33	3
2012-11-02	$65.88	$0.00	6.5%	1.9%	2.6%	2.9%	0.0%	1.2%	-3.8%	30.6K	-85.5K	-328	0.00	132.02	0	0	33	3
2012-11-05	$65.98	$64.00	7.3%	1.3%	2.7%	3.7%	0.0%	2.5%	3.7%	33.0K	-90.3K	-320	0.00	111.71	0	0	33	3
2012-11-06	$65.94	$64.00	5.5%	1.3%	2.7%	1.8%	0.0%	2.4%	1.9%	34.4K	-87.3K	-311	0.00	112.09	0	0	33	3
2012-11-07	$66.14	$64.00	5.1%	1.3%	2.8%	1.4%	6.7%	1.8%	3.5%	34.1K	-99.3K	-315	0.00	113.02	0	2	33	3
2012-11-08	$66.22	$64.00	7.8%	1.3%	2.8%	4.1%	4.5%	5.3%	1.6%	62.4K	-91.0K	-283	0.00	116.33	15	0	33	2
2012-11-09	$66.34	$64.00	8.1%	1.2%	2.8%	4.5%	0.0%	5.1%	2.2%	79.9K	-101.9K	-278	0.00	118.15	0	0	33	2
2012-11-12	$66.22	$64.00	9.6%	1.4%	2.9%	6.0%	0.0%	5.6%	1.4%	62.4K	-91.0K	-270	0.00	116.46	0	0	33	2
2012-11-13	$66.26	$64.00	11.6%	1.0%	2.9%	8.1%	0.0%	1.4%	3.1%	35.5K	-107.4K	-286	0.00	127.40	0	0	33	2
2012-11-14	$66.38	$64.00	13.2%	1.0%	2.9%	9.7%	0.0%	1.6%	3.9%	35.4K	-114.2K	-282	0.00	127.37	0	0	33	2
2012-11-15	$66.56	$64.00	3.8%	1.1%	3.1%	0.1%	2.6%	1.3%	2.1%	33.8K	-123.8K	-276	0.00	123.39	15	0	33	2
2012-11-16	$66.58	$64.00	3.8%	1.1%	3.1%	0.1%	6.9%	1.4%	2.0%	32.2K	-118.9K	-260	0.00	119.74	0	1	31	2
2012-11-19	$66.62	$66.00	3.6%	1.0%	3.0%	0.0%	0.0%	1.8%	1.9%	34.1K	-119.6K	-245	0.00	111.91	0	0	31	2
2012-11-20	$66.60	$66.00	5.0%	1.4%	3.0%	1.4%	5.3%	0.6%	-0.8%	31.4K	-117.0K	-247	0.00	122.74	4	0	31	2
2012-11-21	$66.72	$66.00	6.0%	1.7%	3.1%	2.5%	6.2%	1.8%	-0.1%	27.3K	-112.2K	-220	0.17	116.14	3	1	29	2
2012-11-23	$66.70	$66.00	5.6%	1.6%	3.1%	2.0%	0.0%	1.0%	-1.0%	28.1K	-107.7K	-238	0.00	112.22	0	0	29	3
2012-11-26	$66.78	$66.00	5.8%	1.7%	3.0%	2.2%	0.0%	0.6%	-0.5%	28.4K	-112.7K	-223	0.00	119.21	0	0	29	3
2012-11-27	$66.94	$66.00	5.4%	1.6%	3.1%	1.8%	0.0%	0.4%	0.2%	28.4K	-121.4K	-212	0.00	118.50	0	0	29	3
2012-11-28	$67.04	$66.00	6.7%	1.9%	3.1%	3.1%	0.0%	0.6%	-1.6%	28.2K	-126.8K	-201	0.00	116.05	0	1	29	3
2012-11-29	$67.04	$66.00	6.8%	2.0%	3.0%	3.3%	0.0%	0.6%	-1.7%	28.0K	-128.0K	-187	0.00	114.94	0	0	29	2
2012-11-30	$67.12	$66.00	7.0%	2.0%	1.9%	3.5%	6.3%	0.9%	-1.5%	23.5K	-140.3K	-166	0.00	117.90	2	0	29	2