HYD Options History — January 2013 In January 2013, HYD traded between $65.60 and $66.74. ATM implied volatility averaged 9.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.3% (HV 20d: 8.0%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-01-03 : Highest Volume — 10 contracts2013-01-09 : Largest IV drop — 18.7% change2013-01-07 : Highest IV Rank — 7.8%2013-01-03 : Largest Expected Move — 3.2%Monthly Statistics Metric Avg Min Max Open Close Price $66.33 $65.60 $66.74 $65.74 $66.68 Max Pain $66.00 $66.00 $66.00 $66.00 $66.00 ATM IV 9.3% 7.2% 11.3% 10.8% 7.2% Expected Move 2.7% 2.1% 3.2% 3.1% 2.1% HV 20d 8.0% 2.6% 14.2% 14.1% 2.7% HV 60d 8.4% 8.3% 8.4% 8.3% 8.4% IV Rank 5.8% 3.7% 7.8% 7.3% 3.7% IV Percentile 75.8% 45.6% 93.1% 92.5% 45.6% Term Structure 0.7% -1.2% 3.0% -0.7% 2.8% VWIV 9.6% 9.4% 9.7% 9.4% 9.7% Skew 25d 1.4% -1.3% 3.9% -0.6% 0.8% Skew 10d 1.2% -0.4% 5.1% 0.0% 2.1% Call IV 25d 8.5% 7.4% 11.4% 10.8% 10.2% Put IV 25d 9.9% 7.5% 11.7% 10.2% 11.0% Bid-Ask Spread % 109.87 101.17 124.02 115.02 120.57 Gamma HHI 0.47 0.32 0.72 0.50 0.32 Net GEX 2.2K -8.4K 14.5K 6.1K -8.4K Net DEX 32.0K -8.6K 77.8K 37.3K 53.5K Net VEX -573 -826 -221 -589 -518 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 2.524 0 10 0 0 Total OI 70.762 59 83 59 75
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 2013-01-02 $65.74 $66.00 10.8% 3.1% 14.1% 7.3% 0.0% -0.6% -0.7% 6.1K 37.3K -589 0.00 115.02 0 0 17 42 2013-01-03 $65.60 $66.00 11.1% 3.2% 14.0% 7.7% 0.0% -1.3% -0.8% 7.8K -3.8K -221 0.00 113.95 0 10 17 42 2013-01-04 $65.70 $0.00 9.9% 2.8% 14.1% 6.4% 0.0% 2.5% -0.8% 5.9K 27.8K -376 0.00 102.14 0 5 17 52 2013-01-07 $65.86 $0.00 11.3% 3.1% 14.1% 7.8% 0.0% 2.3% -1.2% 6.6K 23.2K -373 0.00 106.10 0 0 17 56 2013-01-08 $65.94 $0.00 11.2% 2.8% 14.1% 7.8% 0.0% 2.6% 0.9% 4.4K 45.7K -627 0.00 101.28 0 2 17 56 2013-01-09 $65.94 $0.00 9.1% 2.7% 14.1% 5.6% 0.0% 3.3% 1.4% 6.7K 51.6K -682 0.00 101.64 0 0 17 58 2013-01-10 $66.14 $0.00 8.3% 2.4% 14.2% 4.7% 0.0% -0.5% 1.5% 14.5K 6.2K -345 0.00 102.26 5 0 17 58 2013-01-11 $66.20 $0.00 8.0% 2.3% 13.6% 4.5% 0.0% -0.0% 2.1% 8.0K 39.4K -826 0.00 101.17 2 0 21 58 2013-01-14 $66.36 $0.00 9.4% 2.7% 13.6% 5.9% 9.4% 0.7% 0.6% 10.1K 14.1K -771 0.00 108.20 2 0 23 58 2013-01-15 $66.40 $66.00 9.9% 2.8% 5.8% 6.4% 0.0% 0.9% 0.4% 11.3K 9.2K -803 0.00 107.42 0 0 25 58 2013-01-16 $66.56 $66.00 10.0% 2.9% 5.0% 6.5% 0.0% 1.9% -0.2% 11.8K -2.6K -777 0.00 107.57 10 0 25 58 2013-01-17 $66.42 $66.00 9.5% 2.7% 3.9% 6.0% 0.0% 1.0% 0.5% -688 3.7K -394 0.00 106.53 0 1 15 58 2013-01-18 $66.68 $66.00 9.4% 2.7% 3.7% 5.9% 0.0% 1.0% 0.8% -903 -8.6K -390 0.00 113.08 0 0 15 58 2013-01-22 $66.72 $66.00 9.8% 2.8% 3.7% 6.3% 9.7% 1.5% 0.3% -3.9K 65.0K -717 0.00 110.19 2 0 10 53 2013-01-23 $66.74 $66.00 8.4% 2.4% 3.7% 4.9% 0.0% 1.3% 2.0% -3.9K 59.2K -727 0.00 117.36 0 5 10 53 2013-01-24 $66.74 $66.00 9.3% 2.7% 3.1% 5.7% 0.0% 0.9% 0.2% -5.2K 77.8K -764 0.00 113.43 0 0 10 56 2013-01-25 $66.66 $66.00 7.7% 2.2% 3.1% 4.2% 0.0% 1.3% 1.3% -3.5K 17.1K -340 0.00 114.92 0 0 10 56 2013-01-28 $66.72 $66.00 8.9% 2.6% 2.8% 5.4% 0.0% 3.2% 3.0% -6.9K 69.4K -730 0.00 114.75 0 0 10 56 2013-01-29 $66.60 $66.00 8.8% 2.5% 2.6% 5.3% 0.0% 3.9% 0.4% -6.1K 71.6K -749 0.00 105.63 0 0 10 56 2013-01-30 $66.54 $66.00 8.1% 2.3% 2.7% 4.5% 0.0% 1.7% 1.1% -6.9K 14.6K -312 0.00 124.02 0 9 10 56 2013-01-31 $66.68 $66.00 7.2% 2.1% 2.7% 3.7% 0.0% 0.8% 2.8% -8.4K 53.5K -518 0.00 120.57 0 0 10 65
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