HYD Options History — September 2013

In September 2013, HYD traded between $55.26 and $58.46. ATM implied volatility averaged 12.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.8% (HV 20d: 10.7%). Max pain ranged from $58.00 to $64.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.57.

Notable Days

2013-09-16: Highest Volume — 109 contracts
2013-09-04: Largest IV drop — 80.0% change
2013-09-03: Highest IV Rank — 53.8%
2013-09-03: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.95	$55.26	$58.46	$55.84	$58.46
Max Pain	$60.30	$58.00	$64.00	$64.00	$58.00
ATM IV	12.5%	5.5%	56.2%	56.2%	8.9%
Expected Move	3.7%	1.6%	16.1%	16.1%	2.6%
HV 20d	10.7%	8.8%	12.4%	9.6%	11.2%
HV 60d	15.9%	10.1%	19.3%	19.3%	10.1%
IV Rank	9.1%	1.9%	53.8%	53.8%	5.4%
IV Percentile	63.5%	4.4%	99.6%	99.6%	54.0%
Term Structure	1.9%	-3.8%	41.4%	41.4%	1.1%
VWIV	10.8%	7.5%	16.1%	11.1%	9.6%
Skew 25d	5.3%	-1.3%	74.4%	74.4%	3.6%
Skew 10d	5.7%	-2.1%	71.5%	71.5%	5.2%
Call IV 25d	10.3%	7.6%	26.4%	26.4%	8.5%
Put IV 25d	15.6%	6.5%	100.8%	100.8%	12.1%
Bid-Ask Spread %	86.26	54.65	154.65	154.65	72.71
Gamma HHI	0.50	0.32	0.71	0.32	0.63
Net GEX	3.9K	-38.7K	93.4K	-18.6K	35.2K
Net DEX	912.9K	440.4K	1.3M	776.4K	545.3K
Net VEX	-2.6K	-3.5K	-1.7K	-3.2K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.57	0.00	29.00	0.63	0.33
Total Volume	14.4	0	109	10	0
Total OI	404.45	345	525	345	386

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
2013-09-03	$55.84	$64.00	56.2%	16.1%	9.6%	53.8%	0.0%	74.4%	41.4%	-18.6K	776.4K	-3.2K	0.00	154.65	0	10	97	248
2013-09-04	$55.78	$64.00	11.2%	3.2%	9.1%	7.8%	11.1%	0.5%	3.1%	-29.3K	1.2M	-1.9K	0.00	54.65	0	7	97	258
2013-09-05	$55.84	$64.00	12.6%	3.6%	8.9%	9.2%	12.6%	-1.3%	2.2%	-31.2K	1.2M	-1.9K	0.63	108.37	4	3	97	263
2013-09-06	$55.98	$62.00	11.7%	4.2%	8.9%	8.3%	0.0%	5.3%	-3.8%	-31.2K	1.2M	-2.0K	0.83	82.07	3	3	101	263
2013-09-09	$55.56	$62.00	11.9%	4.0%	9.0%	8.4%	0.0%	3.4%	-2.5%	-29.2K	1.2M	-1.9K	0.00	75.25	0	0	104	264
2013-09-10	$55.26	$62.00	11.7%	3.8%	8.8%	8.2%	0.0%	3.6%	-3.0%	-28.1K	1.3M	-1.7K	0.14	80.91	4	1	104	264
2013-09-11	$55.46	$62.00	11.1%	3.6%	8.9%	7.7%	16.1%	4.7%	-3.0%	-27.9K	1.2M	-1.8K	0.00	72.86	0	11	107	264
2013-09-12	$56.36	$62.00	13.1%	3.7%	11.2%	9.7%	0.0%	0.9%	-2.0%	-29.5K	1.1M	-2.2K	29.00	68.99	1	15	107	265
2013-09-13	$56.20	$62.00	12.0%	3.4%	10.7%	8.5%	0.0%	2.2%	-0.6%	-30.5K	1.2M	-2.2K	0.00	92.24	0	5	108	274
2013-09-16	$56.24	$62.00	12.5%	3.6%	10.6%	9.1%	8.3%	2.1%	-1.5%	-38.7K	1.2M	-2.2K	0.16	81.91	94	15	108	279
2013-09-17	$56.60	$58.00	11.1%	3.2%	10.9%	7.7%	0.0%	1.1%	-0.2%	-5.9K	1.1M	-2.7K	0.00	86.05	0	16	201	286
2013-09-18	$57.58	$58.00	9.1%	2.6%	12.4%	5.5%	0.0%	1.4%	1.5%	38.9K	881.7K	-3.0K	0.00	80.16	8	0	201	285
2013-09-19	$57.90	$58.00	8.2%	2.4%	12.0%	4.7%	10.4%	0.8%	2.5%	46.3K	762.6K	-3.3K	0.00	127.80	0	62	200	285
2013-09-20	$58.30	$58.00	9.4%	2.7%	12.2%	5.9%	0.0%	1.9%	-0.2%	36.7K	610.8K	-3.5K	1.07	66.77	8	8	200	325
2013-09-23	$58.10	$58.00	5.5%	1.6%	12.3%	1.9%	0.0%	-1.1%	2.4%	93.4K	486.5K	-3.0K	0.00	93.70	0	0	160	266
2013-09-24	$58.32	$58.00	7.4%	2.1%	12.3%	3.9%	7.5%	1.4%	1.2%	71.1K	440.4K	-3.2K	0.00	81.79	0	3	160	266
2013-09-25	$58.46	$58.00	9.6%	2.7%	12.3%	6.0%	0.0%	0.3%	-0.3%	37.7K	482.6K	-3.1K	0.00	82.46	0	0	160	269
2013-09-26	$58.36	$58.00	7.3%	2.1%	11.8%	3.7%	0.0%	0.8%	-0.2%	21.7K	622.5K	-2.8K	0.00	80.89	3	0	115	269
2013-09-27	$58.34	$58.00	9.6%	2.8%	11.7%	6.1%	9.6%	0.9%	-1.3%	-3.0K	659.8K	-2.8K	0.33	80.87	3	1	114	269
2013-09-30	$58.46	$58.00	8.9%	2.6%	11.2%	5.4%	0.0%	3.6%	1.1%	35.2K	545.3K	-2.8K	0.00	72.71	0	0	117	269