HYD Options History — July 2013

In July 2013, HYD traded between $59.10 and $60.84. ATM implied volatility averaged 16.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 9.3% (HV 20d: 26.1%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2013-07-24: Highest Volume — 43 contracts
  • 2013-07-24: Largest IV spike — 24.9% change
  • 2013-07-08: Highest IV Rank — 17.3%
  • 2013-07-08: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.98$59.10$60.84$59.88$59.86
Max Pain$63.27$60.00$66.00$62.00$60.00
ATM IV16.7%12.4%20.5%18.6%15.9%
Expected Move4.8%3.6%5.7%5.3%4.6%
HV 20d26.1%11.1%31.3%31.1%11.1%
HV 60d19.2%18.3%19.5%18.3%19.5%
IV Rank13.4%9.0%17.3%15.3%12.5%
IV Percentile92.0%84.5%97.6%97.2%90.1%
Term Structure-0.0%-1.7%3.8%-1.4%-0.5%
VWIV16.4%14.4%18.9%15.9%14.9%
Skew 25d5.0%-0.9%11.5%11.5%-0.9%
Skew 10d6.6%2.0%14.1%4.6%2.0%
Call IV 25d13.5%10.5%17.8%14.4%13.6%
Put IV 25d18.4%12.7%25.9%25.9%12.7%
Bid-Ask Spread %78.6970.5486.9778.2684.09
Gamma HHI0.380.210.750.370.31
Net GEX-18.8K-75.2K18.3K-3.2K-39.9K
Net DEX606.3K400.9K841.4K590.9K608.5K
Net VEX-2.3K-3.0K-1.7K-2.7K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.002.360.001.38
Total Volume8.091043010
Total OI353.364220416403289

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$59.88$62.0018.6%5.3%31.1%15.3%0.0%11.5%-1.4%-3.2K590.9K-2.7K0.0078.2600173230
2013-07-02$60.80$62.0019.6%5.6%31.3%16.4%15.9%2.4%-0.8%10.4K400.9K-3.0K0.0073.87010173230
2013-07-03$60.36$62.0018.6%5.3%31.2%15.3%0.0%8.3%-0.2%3.7K516.4K-2.9K0.0075.9800173235
2013-07-05$59.46$66.0019.6%5.4%30.9%16.3%0.0%9.3%-1.1%-11.4K720.3K-2.4K0.0070.94017173235
2013-07-08$59.66$66.0020.5%5.7%31.0%17.3%0.0%6.6%-0.6%-3.2K646.9K-2.4K0.0074.8000173227
2013-07-09$59.76$66.0018.4%5.5%30.9%15.2%0.0%4.7%-0.9%-7.5K670.1K-2.3K0.0073.2705173227
2013-07-10$60.00$66.0018.9%5.4%30.8%15.7%18.9%6.2%-1.7%-832622.3K-2.3K0.0077.3103173222
2013-07-11$60.84$66.0018.3%5.3%31.2%15.0%0.0%7.2%-0.5%18.3K466.2K-2.4K0.0079.4600173224
2013-07-12$60.44$66.0017.2%4.9%31.3%13.9%0.0%4.4%-0.0%5.0K590.5K-2.2K0.0084.30010173224
2013-07-15$60.44$66.0017.3%4.9%31.0%13.9%0.0%5.9%-0.4%-10.2K631.0K-2.0K0.0075.71130173229
2013-07-16$60.26$66.0017.2%4.9%30.8%13.9%0.0%8.1%-0.3%-29.2K675.0K-2.0K0.0082.2000186229
2013-07-17$60.48$66.0016.4%4.7%30.9%13.0%16.7%8.3%-0.0%-27.4K633.5K-2.0K0.0086.1101186229
2013-07-18$60.04$66.0016.3%4.7%30.1%13.0%0.0%4.8%-0.8%-75.2K717.7K-1.9K0.0086.97010186230
2013-07-19$59.20$66.0014.3%4.1%28.7%10.9%14.4%5.5%0.7%-53.5K841.4K-1.7K2.3682.39717186226
2013-07-22$59.10$60.0013.6%3.9%26.5%10.2%0.0%1.9%1.8%-14.2K528.1K-1.7K0.0077.6701065155
2013-07-23$59.22$60.0012.4%3.6%24.9%9.0%0.0%3.9%3.8%-15.5K543.1K-1.9K0.0086.180065165
2013-07-24$59.48$60.0015.5%4.4%23.5%12.2%17.6%3.2%-0.7%-15.9K539.9K-1.9K0.0078.7504365165
2013-07-25$59.86$60.0014.6%4.2%15.0%11.2%14.9%2.3%0.9%-30.2K603.4K-2.4K0.0076.1301365207
2013-07-26$60.16$60.0014.4%4.1%14.7%11.0%0.0%3.5%1.1%-35.9K602.4K-2.5K0.0072.190365220
2013-07-29$60.14$60.0015.8%4.5%14.5%12.5%0.0%0.7%0.6%-37.9K608.3K-2.6K0.0084.023065222
2013-07-30$60.16$60.0014.9%4.3%12.3%11.5%0.0%1.9%0.6%-38.9K581.9K-2.6K0.0070.540368222
2013-07-31$59.86$60.0015.9%4.6%11.1%12.5%0.0%-0.9%-0.5%-39.9K608.5K-2.5K1.3884.094668221