HYD Options History — February 2013

In February 2013, HYD traded between $66.36 and $66.66. ATM implied volatility averaged 8.5%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 6.0% (HV 20d: 2.5%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-02-19: Highest Volume — 10 contracts
  • 2013-02-26: Largest IV drop — 16.1% change
  • 2013-02-12: Highest IV Rank — 6.0%
  • 2013-02-01: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.46$66.36$66.66$66.44$66.66
Max Pain$66.00$66.00$66.00$66.00$66.00
ATM IV8.5%7.0%9.5%7.8%7.7%
Expected Move2.5%2.2%2.7%2.7%2.2%
HV 20d2.5%2.0%3.0%3.0%2.3%
HV 60d8.3%8.3%8.4%8.4%8.3%
IV Rank5.0%3.5%6.0%4.2%4.2%
IV Percentile65.9%39.4%79.0%58.0%53.8%
Term Structure0.3%-0.7%2.3%-0.5%0.1%
VWIV6.5%6.5%6.5%6.5%6.5%
Skew 25d0.7%0.3%1.6%0.7%1.6%
Skew 10d0.8%-0.3%3.6%1.9%3.6%
Call IV 25d8.4%7.5%9.9%7.5%9.9%
Put IV 25d9.0%8.2%11.5%8.2%11.5%
Bid-Ask Spread %111.18104.74120.22106.29119.57
Gamma HHI0.510.390.810.410.39
Net GEX-5.5K-9.0K-1.3K-8.9K-7.9K
Net DEX60.0K21.8K99.7K96.3K38.7K
Net VEX-632-878-370-878-572
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.26301003
Total OI80.42175887588

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$66.44$66.007.8%2.7%3.0%4.2%0.0%0.7%-0.5%-8.9K96.3K-8780.00106.29001065
2013-02-04$66.46$66.007.0%2.6%3.0%3.5%0.0%0.5%-0.1%-9.0K96.9K-8630.00106.44001065
2013-02-05$66.42$66.008.0%2.6%2.9%4.4%0.0%0.5%-0.7%-8.8K92.5K-8670.00106.76001065
2013-02-06$66.44$66.008.3%2.6%2.9%4.8%0.0%0.6%-0.0%-5.2K50.1K-4950.00107.89001065
2013-02-07$66.36$66.009.4%2.7%3.0%5.9%0.0%0.4%-0.3%-8.8K98.9K-8580.00106.66001065
2013-02-08$66.38$66.008.9%2.5%2.8%5.4%0.0%0.4%0.2%-8.9K99.7K-8510.00109.83001065
2013-02-11$66.44$66.008.9%2.6%2.8%5.4%0.0%0.6%0.1%-4.0K49.4K-4840.00109.89001065
2013-02-12$66.36$66.009.5%2.7%2.7%6.0%0.0%0.4%-0.4%-4.1K34.7K-3700.00107.66001065
2013-02-13$66.36$66.008.7%2.5%2.7%5.2%0.0%0.5%0.1%-4.5K50.7K-4800.00110.55501065
2013-02-14$66.44$66.009.1%2.6%2.6%5.6%0.0%0.4%0.4%-2.3K23.9K-4120.00110.52001365
2013-02-15$66.46$66.008.9%2.6%2.5%5.4%0.0%0.3%-0.1%-1.3K21.8K-4100.00109.76501365
2013-02-19$66.46$66.008.9%2.6%2.0%5.4%0.0%1.4%0.5%-3.0K33.8K-5820.00104.740101665
2013-02-20$66.38$66.009.2%2.6%2.0%5.7%0.0%0.9%0.0%-6.1K60.6K-6860.00110.75001672
2013-02-21$66.48$66.008.7%2.5%2.1%5.2%0.0%0.3%0.8%-4.7K72.0K-6630.00113.17001672
2013-02-22$66.54$66.008.6%2.5%2.1%5.1%0.0%0.6%0.9%-5.6K51.5K-6690.00114.84001672
2013-02-25$66.44$66.009.0%2.6%2.1%5.5%0.0%0.4%1.0%-4.5K68.7K-6650.00117.79001672
2013-02-26$66.64$66.007.6%2.2%2.4%4.0%0.0%1.1%2.3%-4.9K64.3K-6690.00119.08011672
2013-02-27$66.62$66.007.8%2.2%2.3%4.2%0.0%1.3%2.1%-2.9K36.0K-5430.00120.22001672
2013-02-28$66.66$66.007.7%2.2%2.3%4.2%6.5%1.6%0.1%-7.9K38.7K-5720.00119.57301672