HYD Options History — March 2013

In March 2013, HYD traded between $65.54 and $66.48. ATM implied volatility averaged 8.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 3.8% (HV 20d: 4.4%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.11.

Notable Days

2013-03-11: Highest Volume — 13 contracts
2013-03-14: Largest IV drop — 38.2% change
2013-03-13: Highest IV Rank — 9.0%
2013-03-06: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.96	$65.54	$66.48	$66.38	$65.76
Max Pain	$66.00	$66.00	$66.00	$66.00	$66.00
ATM IV	8.2%	6.1%	12.4%	7.8%	7.8%
Expected Move	2.2%	1.7%	2.7%	2.2%	2.2%
HV 20d	4.4%	2.4%	5.3%	2.6%	5.2%
HV 60d	6.0%	3.7%	8.6%	8.3%	3.7%
IV Rank	4.6%	2.5%	9.0%	4.3%	4.2%
IV Percentile	54.2%	9.7%	96.6%	55.8%	55.1%
Term Structure	0.2%	-2.6%	2.0%	1.5%	-0.9%
Skew 25d	0.3%	-1.8%	2.4%	1.0%	1.7%
Skew 10d	0.6%	-1.4%	2.9%	1.8%	1.3%
Call IV 25d	7.2%	6.1%	8.7%	8.7%	7.6%
Put IV 25d	7.5%	5.8%	9.8%	9.8%	9.3%
Bid-Ask Spread %	114.59	106.58	120.35	120.35	120.22
Gamma HHI	0.48	0.38	0.57	0.43	0.38
Net GEX	-11.4K	-19.7K	-6.4K	-6.6K	-14.2K
Net DEX	97.5K	36.2K	142.0K	51.8K	116.2K
Net VEX	-662	-759	-439	-651	-759
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	1.11	1.11	1.11	1.11
Total Volume	2.45	0	13	7	0
Total OI	90	84	96	88	91

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
2013-03-01	$66.38	$66.00	7.8%	2.2%	2.6%	4.3%	0.0%	1.0%	1.5%	-6.6K	51.8K	-651	0.00	120.35	0	7	16	72
2013-03-04	$66.48	$0.00	8.1%	2.6%	2.4%	4.5%	0.0%	-0.1%	-0.1%	-6.6K	48.5K	-646	0.00	106.95	0	5	16	72
2013-03-05	$66.48	$0.00	8.5%	2.6%	2.4%	4.9%	0.0%	-0.1%	0.2%	-6.8K	36.2K	-552	0.00	106.58	0	0	16	72
2013-03-06	$66.22	$0.00	9.1%	2.7%	2.7%	5.6%	0.0%	-1.8%	-0.6%	-6.4K	55.3K	-638	0.00	108.89	0	0	16	72
2013-03-07	$66.24	$0.00	9.0%	2.6%	2.7%	5.4%	0.0%	-1.2%	-0.6%	-6.4K	54.2K	-636	0.00	107.41	0	0	16	72
2013-03-08	$65.56	$0.00	8.7%	2.0%	4.5%	5.2%	0.0%	-0.3%	1.7%	-6.7K	76.3K	-575	1.11	118.69	5	5	16	72
2013-03-11	$65.58	$0.00	10.2%	2.2%	4.5%	6.7%	0.0%	2.0%	1.6%	-10.4K	93.8K	-485	0.00	108.18	0	13	12	72
2013-03-12	$65.54	$0.00	11.3%	2.2%	4.5%	7.9%	0.0%	-0.5%	-0.8%	-12.8K	122.2K	-756	0.00	116.02	0	5	12	84
2013-03-13	$65.76	$0.00	12.4%	2.2%	4.7%	9.0%	0.0%	-0.1%	2.0%	-14.9K	115.2K	-645	0.00	116.69	0	0	12	82
2013-03-14	$65.74	$0.00	7.7%	2.2%	4.7%	4.1%	0.0%	-0.4%	1.8%	-19.7K	77.4K	-439	0.00	115.83	0	0	12	82
2013-03-15	$66.06	$0.00	7.2%	2.1%	5.0%	3.6%	0.0%	-0.8%	-2.6%	-14.1K	103.5K	-726	0.00	111.31	0	4	12	82
2013-03-18	$66.26	$0.00	7.0%	2.0%	5.2%	3.5%	0.0%	0.7%	1.1%	-13.0K	121.4K	-709	0.00	116.33	0	0	12	75
2013-03-19	$66.04	$0.00	6.1%	1.7%	5.3%	2.5%	0.0%	2.4%	-1.6%	-12.1K	109.4K	-653	0.00	112.45	0	4	12	75
2013-03-20	$66.04	$0.00	7.0%	2.0%	5.3%	3.5%	0.0%	-0.1%	0.1%	-13.7K	136.4K	-709	0.00	116.03	0	1	12	78
2013-03-21	$65.94	$0.00	7.0%	2.0%	5.3%	3.4%	0.0%	-0.5%	0.0%	-13.7K	142.0K	-709	0.00	114.68	0	0	12	79
2013-03-22	$65.80	$0.00	6.9%	2.0%	5.3%	3.4%	0.0%	1.0%	1.6%	-12.3K	125.0K	-740	0.00	118.69	0	0	12	79
2013-03-25	$65.70	$0.00	6.6%	1.9%	5.3%	3.0%	0.0%	0.5%	-1.4%	-12.4K	120.7K	-745	0.00	119.24	0	0	12	79
2013-03-26	$65.88	$0.00	7.4%	2.1%	5.3%	3.9%	0.0%	1.4%	-0.8%	-12.5K	123.4K	-728	0.00	118.28	0	0	12	79
2013-03-27	$65.82	$0.00	7.4%	2.1%	5.3%	3.8%	0.0%	1.2%	1.7%	-12.8K	121.4K	-740	0.00	119.02	0	0	12	79
2013-03-28	$65.76	$0.00	7.8%	2.2%	5.2%	4.2%	0.0%	1.7%	-0.9%	-14.2K	116.2K	-759	0.00	120.22	0	0	12	79