HYD Options History — October 2013

In October 2013, HYD traded between $56.44 and $58.56. ATM implied volatility averaged 8.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 1.4% (HV 20d: 9.5%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-10-17: Highest Volume — 86 contracts
  • 2013-10-21: Largest IV spike — 33.4% change
  • 2013-10-25: Highest IV Rank — 10.9%
  • 2013-10-25: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.54$56.44$58.56$57.86$58.14
Max Pain$61.16$58.00$62.00$58.00$58.00
ATM IV8.1%6.4%10.3%7.4%7.4%
Expected Move2.3%1.8%2.7%2.1%2.1%
HV 20d9.5%8.4%11.1%10.8%8.5%
HV 60d9.9%9.5%10.3%10.3%9.8%
IV Rank7.0%3.8%10.9%3.8%7.1%
IV Percentile42.2%15.1%66.7%35.3%29.4%
Term Structure0.8%-1.5%3.8%3.3%1.7%
VWIV11.0%7.4%15.8%15.8%7.4%
Skew 25d1.4%-0.7%3.2%2.5%2.2%
Skew 10d1.7%-0.3%4.7%1.4%3.7%
Call IV 25d7.6%5.6%9.3%7.7%8.3%
Put IV 25d9.0%5.7%11.3%10.2%10.5%
Bid-Ask Spread %70.9326.89112.1492.1935.31
Gamma HHI0.510.320.870.460.43
Net GEX-28.1K-76.6K103.0K7.0K-32.5K
Net DEX861.0K649.8K1.1M649.8K953.0K
Net VEX-2.8K-4.0K-1.8K-2.8K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.009.000.000.00
Total Volume10.1308602
Total OI381.304320437381411

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$57.86$58.007.4%2.1%10.8%3.8%0.0%2.5%3.3%7.0K649.8K-2.8K0.0092.1900112269
2013-10-02$57.70$58.007.9%2.3%10.8%4.4%0.0%1.1%1.3%-9.0K690.8K-2.7K0.0093.1700112269
2013-10-03$57.62$58.008.1%2.3%10.9%4.6%0.0%1.6%0.3%-10.9K741.0K-2.6K0.0089.7850112269
2013-10-04$57.46$0.008.2%2.1%11.0%4.7%0.0%0.2%1.1%-15.2K771.0K-2.6K0.00112.1400112269
2013-10-07$57.08$0.009.8%2.2%10.9%6.3%0.0%2.9%-0.6%-31.6K861.0K-2.3K0.0094.8800112269
2013-10-08$56.66$0.0010.3%2.6%11.1%6.8%0.0%1.4%0.7%-58.9K965.0K-2.2K0.0088.4200112269
2013-10-09$56.94$0.0010.1%2.5%11.1%6.6%15.8%3.0%2.7%-37.8K878.3K-2.4K2.0095.60510112269
2013-10-10$56.86$62.008.3%2.4%9.7%4.7%0.0%0.6%-0.7%-39.7K917.4K-2.1K0.0099.8300117274
2013-10-11$56.64$62.007.1%2.0%9.7%6.7%0.0%0.4%-1.5%-61.1K1.0M-1.8K0.00104.3100117274
2013-10-14$56.44$62.007.4%2.1%9.8%7.1%0.0%2.1%1.9%-76.6K1.0M-1.9K0.0083.6201117274
2013-10-15$56.56$62.007.2%2.1%9.6%6.8%0.0%1.3%2.2%-74.6K995.9K-1.9K0.0089.9000117274
2013-10-16$57.34$62.007.3%2.1%8.8%7.0%0.0%0.3%-0.9%1.7K782.5K-2.2K0.0099.3720117274
2013-10-17$57.40$62.006.4%1.8%8.6%5.3%0.0%0.2%0.5%15.5K765.8K-2.3K0.5426.895630117274
2013-10-18$57.78$62.006.4%1.8%8.5%5.3%0.0%0.7%1.0%103.0K738.2K-2.9K0.0082.3850133304
2013-10-21$57.70$62.008.6%2.5%8.5%9.4%0.0%0.4%0.1%-32.3K760.6K-2.7K1.0064.475581239
2013-10-22$57.92$62.008.3%2.4%8.5%8.9%8.4%3.2%0.6%-27.9K754.2K-2.8K0.0046.6702686244
2013-10-23$58.16$62.008.4%2.4%8.6%9.0%0.0%-0.0%-0.3%-43.1K883.8K-3.6K0.0049.8101986270
2013-10-24$58.40$62.008.9%2.6%8.7%10.0%0.0%1.4%0.0%-34.9K816.4K-3.2K0.0037.1101886270
2013-10-25$58.56$62.009.4%2.7%8.7%10.9%15.0%2.1%-0.5%-42.3K889.5K-3.8K9.0033.9821886287
2013-10-28$58.18$62.008.5%2.4%9.0%9.2%0.0%-0.7%0.1%-42.9K908.3K-3.6K0.0037.340088300
2013-10-29$57.86$62.007.3%2.1%8.4%6.9%0.0%2.7%3.8%-47.9K1.1M-3.5K0.0033.8301088300
2013-10-30$58.10$62.008.4%2.4%8.5%9.0%8.3%2.4%1.2%-54.9K965.4K-3.8K0.2340.4711388310
2013-10-31$58.14$58.007.4%2.1%8.5%7.1%7.4%2.2%1.7%-32.5K953.0K-4.0K0.0035.312099312