HYD Options History — December 2012

In December 2012, HYD traded between $63.88 and $67.00. ATM implied volatility averaged 8.5%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 0.5% (HV 20d: 9.0%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.41.

Notable Days

2012-12-14: Highest Volume — 231 contracts
2012-12-19: Largest IV spike — 36.5% change
2012-12-28: Highest IV Rank — 8.6%
2012-12-28: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.00	$63.88	$67.00	$66.82	$65.68
Max Pain	$66.00	$64.00	$68.00	$68.00	$66.00
ATM IV	8.5%	6.4%	12.0%	6.5%	9.5%
Expected Move	2.3%	1.4%	3.5%	1.9%	2.7%
HV 20d	9.0%	2.6%	14.1%	2.7%	14.1%
HV 60d	5.8%	2.7%	8.3%	2.8%	8.3%
IV Rank	5.0%	2.8%	8.6%	2.9%	6.0%
IV Percentile	66.8%	23.2%	94.6%	28.9%	81.6%
Term Structure	-0.0%	-4.1%	2.8%	-1.3%	1.2%
VWIV	7.8%	5.2%	9.0%	9.0%	8.5%
Skew 25d	0.9%	-0.9%	3.9%	0.6%	1.2%
Skew 10d	1.4%	0.1%	3.9%	0.5%	2.2%
Call IV 25d	7.5%	5.1%	10.7%	6.9%	9.4%
Put IV 25d	8.5%	6.0%	11.9%	7.5%	10.6%
Bid-Ask Spread %	120.45	109.74	158.75	118.96	130.16
Gamma HHI	0.69	0.39	0.97	0.40	0.59
Net GEX	70.2K	8	338.0K	76	7.2K
Net DEX	-142.7K	-679.4K	27.3K	-1.1K	-12.8K
Net VEX	-275	-757	-32	-32	-227
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	2.00	0.00	0.00
Total Volume	20.15	0	231	0	0
Total OI	77.2	4	273	4	59

Daily Data (20 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
2012-12-03	$66.82	$68.00	6.5%	1.9%	2.7%	2.9%	0.0%	0.6%	-1.3%	76	-1.1K	-32	0.00	118.96	0	0	2	2
2012-12-04	$66.94	$68.00	6.9%	2.0%	2.7%	3.3%	0.0%	0.8%	-1.4%	22	-1.4K	-32	0.00	119.19	0	0	2	2
2012-12-05	$66.90	$68.00	6.7%	1.9%	2.7%	3.1%	0.0%	-0.3%	-1.7%	8	-1.4K	-32	0.00	118.03	10	0	2	2
2012-12-06	$67.00	$68.00	6.7%	1.9%	2.6%	3.1%	0.0%	-0.9%	0.3%	8.7K	-47.0K	-116	0.00	114.75	0	0	12	2
2012-12-07	$66.86	$66.00	7.2%	1.4%	2.8%	3.6%	0.0%	0.9%	-0.4%	10.0K	-44.6K	-116	0.00	121.89	0	0	12	2
2012-12-10	$66.88	$66.00	8.0%	1.5%	2.7%	4.5%	0.0%	0.9%	-0.5%	10.1K	-45.1K	-113	0.00	121.49	0	0	12	2
2012-12-11	$66.84	$66.00	7.9%	1.4%	2.6%	4.3%	0.0%	0.9%	-0.3%	10.5K	-44.2K	-110	0.00	122.16	0	0	12	2
2012-12-12	$66.08	$66.00	8.3%	1.6%	5.0%	4.8%	0.0%	0.7%	-0.7%	10.6K	-31.7K	-113	0.00	130.54	0	1	12	2
2012-12-13	$66.00	$66.00	9.2%	2.6%	4.9%	5.7%	0.0%	0.4%	-1.8%	6.5K	-28.5K	-117	0.00	158.75	0	0	12	3
2012-12-14	$63.88	$66.00	9.5%	2.7%	12.4%	6.0%	9.0%	1.6%	-4.1%	3.7K	-1.0K	-76	0.02	124.66	226	5	12	3
2012-12-17	$64.50	$64.00	9.2%	2.6%	13.1%	5.7%	8.7%	0.8%	1.0%	183.4K	-400.7K	-515	0.43	111.96	52	23	224	7
2012-12-18	$65.18	$64.00	6.4%	1.8%	13.7%	2.8%	0.0%	3.9%	2.8%	239.7K	-679.4K	-757	2.00	111.76	5	10	244	29
2012-12-19	$65.54	$64.00	8.7%	2.5%	13.9%	5.2%	5.2%	0.4%	1.3%	255.7K	-569.5K	-667	0.00	117.19	10	0	204	29
2012-12-20	$65.68	$64.00	8.6%	2.5%	13.9%	5.1%	8.5%	1.1%	2.4%	292.9K	-564.5K	-612	0.00	118.89	32	0	195	29
2012-12-21	$65.68	$66.00	8.0%	2.3%	13.9%	4.4%	0.0%	1.1%	2.5%	338.0K	-321.0K	-514	0.00	120.57	0	4	163	29
2012-12-24	$66.08	$66.00	8.8%	2.5%	14.1%	5.3%	0.0%	0.6%	1.8%	11.7K	-47.7K	-257	0.00	114.58	0	25	21	22
2012-12-26	$65.98	$66.00	11.6%	3.3%	14.1%	8.1%	0.0%	2.9%	-0.9%	7.4K	-26.0K	-241	0.00	111.17	0	0	17	42
2012-12-27	$65.80	$66.00	11.1%	3.2%	14.1%	7.6%	0.0%	0.1%	-0.4%	5.8K	-12.7K	-261	0.00	109.74	0	0	17	42
2012-12-28	$65.60	$66.00	12.0%	3.5%	14.1%	8.6%	0.0%	0.9%	-0.7%	2.1K	27.3K	-595	0.00	112.59	0	0	17	42
2012-12-31	$65.68	$66.00	9.5%	2.7%	14.1%	6.0%	0.0%	1.2%	1.2%	7.2K	-12.8K	-227	0.00	130.16	0	0	17	42