HYD Options History — August 2013

In August 2013, HYD traded between $56.58 and $59.74. ATM implied volatility averaged 13.1%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.2% (HV 20d: 8.9%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2013-08-27: Highest Volume — 40 contracts
2013-08-13: Largest IV spike — 58.2% change
2013-08-14: Highest IV Rank — 16.9%
2013-08-15: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.31	$56.58	$59.74	$59.74	$56.58
Max Pain	$63.64	$60.00	$64.00	$60.00	$64.00
ATM IV	13.1%	7.7%	20.2%	14.3%	11.6%
Expected Move	3.9%	2.2%	4.8%	4.1%	3.3%
HV 20d	8.9%	8.1%	10.8%	10.8%	8.9%
HV 60d	19.6%	19.2%	19.9%	19.5%	19.2%
IV Rank	9.7%	4.2%	16.9%	11.0%	8.1%
IV Percentile	79.3%	44.4%	96.8%	85.7%	74.6%
Term Structure	0.6%	-3.6%	4.5%	1.9%	2.0%
VWIV	14.2%	7.7%	25.9%	14.3%	25.9%
Skew 25d	4.8%	0.2%	7.7%	1.0%	2.1%
Skew 10d	3.7%	1.2%	9.3%	3.0%	1.2%
Call IV 25d	11.0%	8.4%	12.9%	12.6%	10.5%
Put IV 25d	15.8%	12.5%	18.7%	13.6%	12.5%
Bid-Ask Spread %	71.60	48.49	104.49	71.54	64.60
Gamma HHI	0.38	0.28	0.75	0.28	0.40
Net GEX	-40.2K	-86.9K	-20.3K	-37.0K	-27.6K
Net DEX	804.9K	596.7K	1.1M	596.7K	1.1M
Net VEX	-2.2K	-2.7K	-2.0K	-2.7K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	1.57	0.00	0.00
Total Volume	8.5	0	40	6	12
Total OI	301.682	268	335	298	335

Daily Data (22 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
2013-08-01	$59.74	$60.00	14.3%	4.1%	10.8%	11.0%	14.3%	1.0%	1.9%	-37.0K	596.7K	-2.7K	0.00	71.54	0	6	72	226
2013-08-02	$59.60	$60.00	14.6%	4.2%	9.4%	11.2%	0.0%	0.2%	0.6%	-41.7K	636.2K	-2.6K	0.00	71.25	0	0	72	232
2013-08-05	$59.44	$64.00	14.3%	4.4%	9.4%	10.9%	0.0%	6.1%	0.8%	-45.9K	669.7K	-2.5K	0.00	79.27	0	0	72	232
2013-08-06	$58.76	$64.00	11.8%	4.4%	10.2%	8.3%	0.0%	4.9%	-1.1%	-50.2K	777.3K	-2.3K	0.00	69.88	0	7	72	232
2013-08-07	$59.00	$64.00	12.5%	4.8%	10.2%	9.1%	0.0%	5.2%	-2.2%	-50.8K	736.1K	-2.3K	0.00	71.99	0	0	72	230
2013-08-08	$59.10	$64.00	9.5%	4.1%	8.6%	6.0%	0.0%	4.8%	-0.6%	-50.9K	735.7K	-2.3K	0.00	81.36	0	5	72	230
2013-08-09	$59.14	$64.00	10.2%	4.1%	8.4%	6.7%	0.0%	5.2%	-1.4%	-52.6K	742.8K	-2.4K	0.00	72.94	2	0	72	235
2013-08-12	$59.30	$64.00	12.4%	4.0%	8.5%	9.0%	0.0%	6.3%	-0.2%	-51.9K	716.3K	-2.3K	0.00	100.95	0	0	74	235
2013-08-13	$58.78	$64.00	19.7%	4.0%	9.0%	16.4%	0.0%	3.5%	0.4%	-55.5K	803.8K	-2.2K	0.00	79.40	0	0	74	235
2013-08-14	$58.72	$64.00	20.2%	4.5%	8.8%	16.9%	12.7%	3.4%	-1.0%	-61.7K	802.7K	-2.2K	0.00	78.88	0	1	74	235
2013-08-15	$58.08	$64.00	16.9%	4.8%	9.2%	13.5%	16.3%	7.2%	-3.6%	-60.7K	885.9K	-2.0K	0.00	61.74	0	25	74	236
2013-08-16	$57.74	$64.00	15.9%	4.6%	8.1%	12.6%	11.4%	7.7%	-2.7%	-86.9K	969.1K	-2.0K	0.00	67.22	0	21	74	246
2013-08-19	$57.78	$64.00	13.7%	3.9%	8.1%	10.2%	20.6%	5.3%	1.3%	-25.7K	799.7K	-2.1K	0.00	59.53	0	6	69	199
2013-08-20	$58.16	$64.00	13.3%	3.8%	8.5%	9.9%	13.4%	4.8%	1.5%	-29.3K	798.9K	-2.1K	1.11	48.49	5	5	69	199
2013-08-21	$57.56	$64.00	11.9%	3.4%	8.9%	8.5%	12.0%	5.5%	1.2%	-24.8K	817.0K	-2.0K	0.15	60.96	14	2	73	199
2013-08-22	$57.72	$64.00	12.4%	3.5%	8.6%	8.9%	0.0%	5.3%	2.0%	-20.3K	798.4K	-2.0K	0.00	94.20	0	0	85	197
2013-08-23	$57.90	$64.00	12.0%	3.4%	8.4%	8.6%	0.0%	4.5%	2.3%	-21.3K	773.8K	-2.1K	0.00	62.66	0	10	85	197
2013-08-26	$57.88	$64.00	12.6%	3.6%	8.4%	9.1%	11.5%	4.3%	2.2%	-22.0K	803.7K	-2.1K	1.57	51.08	7	11	85	202
2013-08-27	$57.72	$64.00	11.6%	3.3%	8.3%	8.1%	0.0%	6.4%	3.1%	-20.9K	841.3K	-2.3K	0.00	60.09	0	40	92	212
2013-08-28	$57.20	$64.00	7.7%	2.2%	8.7%	4.2%	7.7%	6.1%	4.5%	-25.5K	949.0K	-2.5K	0.00	62.71	5	0	92	236
2013-08-29	$57.02	$64.00	9.1%	2.6%	8.7%	5.6%	10.1%	6.0%	1.7%	-22.4K	996.1K	-2.3K	0.00	104.49	0	3	97	236
2013-08-30	$56.58	$64.00	11.6%	3.3%	8.9%	8.1%	25.9%	2.1%	2.0%	-27.6K	1.1M	-2.0K	0.00	64.60	0	12	97	238