HYD Options History — June 2013

In June 2013, HYD traded between $57.14 and $65.52. ATM implied volatility averaged 18.8%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.2% (HV 20d: 15.6%). Max pain ranged from $58.00 to $66.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.09.

Notable Days

2013-06-26: Highest Volume — 287 contracts
2013-06-20: Largest IV spike — 55.3% change
2013-06-24: Highest IV Rank — 36.2%
2013-06-24: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.15	$57.14	$65.52	$65.52	$61.18
Max Pain	$62.10	$58.00	$66.00	$66.00	$62.00
ATM IV	18.8%	10.7%	39.0%	10.7%	16.0%
Expected Move	5.3%	3.1%	11.2%	3.1%	4.6%
HV 20d	15.6%	5.0%	30.5%	5.0%	30.5%
HV 60d	9.9%	4.8%	17.9%	4.8%	17.9%
IV Rank	15.5%	7.3%	36.2%	7.3%	12.6%
IV Percentile	97.3%	91.7%	99.2%	91.7%	95.6%
Term Structure	-2.3%	-10.6%	0.7%	-0.2%	0.7%
VWIV	18.8%	7.4%	37.4%	8.4%	20.2%
Skew 25d	5.1%	-0.5%	14.1%	-0.5%	6.5%
Skew 10d	7.5%	-0.4%	19.4%	4.0%	9.2%
Call IV 25d	14.6%	8.2%	35.2%	9.5%	15.4%
Put IV 25d	19.7%	8.9%	41.5%	8.9%	21.9%
Bid-Ask Spread %	62.82	34.30	84.32	55.37	73.75
Gamma HHI	0.51	0.29	0.79	0.77	0.45
Net GEX	63.2K	-145.7K	216.5K	78.4K	12.4K
Net DEX	101.0K	-738.0K	1.4M	-60.7K	341.9K
Net VEX	-2.1K	-3.0K	-913	-1.3K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.00	20.00	0.18	20.00
Total Volume	87.55	0	287	3	11
Total OI	506.85	218	896	218	396

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
2013-06-03	$65.52	$66.00	10.7%	3.1%	5.0%	7.3%	8.4%	-0.5%	-0.2%	78.4K	-60.7K	-1.3K	0.00	55.37	0	3	110	108
2013-06-04	$64.18	$66.00	13.1%	3.8%	8.6%	9.7%	7.4%	2.6%	-1.2%	30.6K	143.0K	-913	0.18	34.30	84	15	110	109
2013-06-05	$63.50	$66.00	14.6%	4.2%	9.2%	11.3%	14.8%	4.2%	-1.6%	35.2K	195.8K	-1.3K	0.63	41.66	81	51	156	124
2013-06-06	$64.36	$62.00	13.7%	3.9%	10.5%	10.3%	12.7%	1.6%	-0.1%	76.9K	-211.3K	-2.0K	0.00	65.86	10	0	237	171
2013-06-07	$64.12	$62.00	13.9%	3.7%	10.6%	10.5%	14.6%	5.0%	-1.3%	65.3K	-79.2K	-1.9K	0.00	67.62	20	0	227	171
2013-06-10	$63.46	$62.00	15.5%	3.2%	11.0%	12.2%	0.0%	5.5%	0.2%	31.9K	130.6K	-1.7K	0.00	69.01	0	0	207	171
2013-06-11	$62.58	$62.00	16.4%	4.5%	11.7%	13.1%	15.6%	2.5%	-2.6%	12.8K	294.7K	-1.6K	0.05	47.60	188	10	207	171
2013-06-12	$62.70	$62.00	18.1%	4.7%	11.7%	14.8%	0.0%	3.9%	-2.9%	131.9K	-170.1K	-2.3K	8.82	55.76	9	75	394	181
2013-06-13	$62.46	$62.00	18.0%	5.2%	11.6%	14.7%	18.4%	4.4%	-5.6%	116.8K	-93.0K	-2.3K	0.52	57.32	76	40	403	231
2013-06-14	$63.04	$62.00	14.8%	4.2%	12.3%	11.4%	0.0%	4.2%	-2.5%	198.8K	-588.9K	-2.8K	0.05	62.31	11	1	478	270
2013-06-17	$63.50	$62.00	14.0%	4.0%	12.8%	10.6%	15.0%	1.9%	-3.1%	216.5K	-738.0K	-2.3K	0.24	68.65	21	5	477	270
2013-06-18	$63.48	$62.00	12.7%	3.6%	12.6%	9.2%	12.3%	5.1%	-2.4%	216.0K	-642.8K	-2.1K	1.60	83.31	10	16	456	265
2013-06-19	$62.10	$62.00	14.5%	4.2%	14.4%	11.1%	14.1%	4.8%	-1.5%	158.5K	98.5K	-2.1K	0.21	59.79	28	6	466	272
2013-06-20	$60.30	$62.00	22.5%	6.5%	16.9%	19.3%	22.3%	5.0%	-5.2%	-39.4K	813.2K	-1.9K	2.26	53.10	58	130	474	276
2013-06-21	$58.48	$62.00	33.0%	9.5%	19.1%	30.1%	32.5%	14.1%	-10.6%	-145.7K	1.4M	-1.9K	0.60	84.32	170	102	517	379
2013-06-24	$57.14	$60.00	39.0%	11.2%	19.7%	36.2%	37.4%	6.3%	-2.9%	6.5K	564.3K	-2.2K	0.65	60.47	98	64	196	197
2013-06-25	$58.54	$58.00	37.4%	10.7%	22.7%	34.5%	33.6%	10.2%	-3.6%	13.7K	362.2K	-2.7K	0.93	65.41	28	26	216	200
2013-06-26	$61.54	$58.00	17.3%	5.0%	30.3%	14.0%	16.8%	7.2%	0.3%	33.5K	-154.4K	-2.8K	0.10	71.73	261	26	232	215
2013-06-27	$60.86	$62.00	20.3%	5.8%	30.4%	17.1%	22.6%	7.0%	-1.1%	12.4K	366.9K	-3.0K	0.83	79.10	9	8	185	212
2013-06-28	$61.18	$62.00	16.0%	4.6%	30.5%	12.6%	20.2%	6.5%	0.7%	12.4K	341.9K	-2.8K	20.00	73.75	1	10	176	220