HYD Options History — November 2013

In November 2013, HYD traded between $57.36 and $58.24. ATM implied volatility averaged 8.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.6% (HV 20d: 7.8%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2013-11-04: Highest Volume — 39 contracts
  • 2013-11-06: Largest IV spike — 35.8% change
  • 2013-11-12: Highest IV Rank — 12.1%
  • 2013-11-01: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.78$57.36$58.24$57.50$58.06
Max Pain$61.20$58.00$62.00$58.00$60.00
ATM IV8.4%6.5%10.0%9.7%7.0%
Expected Move2.4%1.9%2.8%2.8%2.0%
HV 20d7.8%6.7%9.4%9.4%6.7%
HV 60d9.5%8.7%10.0%10.0%8.8%
IV Rank8.2%2.9%12.1%11.5%3.8%
IV Percentile42.7%11.1%65.5%63.5%16.7%
Term Structure1.1%-1.0%3.0%-1.0%1.4%
VWIV8.7%8.2%9.3%8.7%8.2%
Skew 25d2.3%-1.5%3.9%-1.5%1.9%
Skew 10d4.9%-2.4%8.3%-2.4%2.9%
Call IV 25d7.9%7.0%9.8%9.8%7.6%
Put IV 25d10.1%7.0%12.0%8.3%9.5%
Bid-Ask Spread %47.1025.29113.6738.10113.67
Gamma HHI0.390.330.720.350.40
Net GEX-36.4K-45.9K-16.7K-36.9K-16.7K
Net DEX1.1M947.1K1.2M1.0M974.0K
Net VEX-3.9K-4.2K-3.6K-3.8K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.003.330.001.33
Total Volume7.103904
Total OI442.2413462413458

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$57.50$58.009.7%2.8%9.4%11.5%0.0%-1.5%-1.0%-36.9K1.0M-3.8K0.0038.1000101312
2013-11-04$57.72$62.007.8%2.4%9.1%8.0%0.0%3.1%1.1%-41.5K947.1K-3.8K0.0048.76039101312
2013-11-05$57.56$62.006.5%2.5%8.7%5.4%0.0%2.3%1.6%-37.9K1.1M-3.8K0.0045.3107101329
2013-11-06$57.80$62.008.8%2.6%8.7%9.9%0.0%2.5%2.0%-35.7K1.0M-3.8K0.0029.6900101329
2013-11-07$57.76$62.009.8%2.7%8.6%11.7%0.0%3.8%1.5%-38.0K1.0M-3.8K0.0030.7600101329
2013-11-08$57.42$62.008.6%2.5%8.8%9.4%0.0%3.7%1.9%-41.1K1.1M-3.8K0.0030.7700101329
2013-11-11$57.52$62.008.5%2.3%8.7%9.3%0.0%3.9%2.1%-34.8K1.1M-3.6K0.0036.6820101329
2013-11-12$57.36$62.0010.0%2.5%8.8%12.1%8.7%3.9%1.8%-39.0K1.1M-3.7K0.0030.76020103329
2013-11-13$57.48$62.009.5%2.4%7.3%11.2%0.0%3.0%3.0%-44.6K1.2M-3.9K0.0030.0500103342
2013-11-14$57.80$62.009.0%2.6%7.6%10.1%9.0%-1.0%0.3%-39.0K1.1M-4.0K0.0051.80180103342
2013-11-15$57.84$62.008.4%2.4%7.2%9.0%0.0%2.9%2.7%-23.1K1.1M-4.1K0.0032.7606120342
2013-11-18$58.04$62.009.0%2.6%7.3%10.3%8.7%3.7%1.1%-45.9K1.0M-4.2K0.3830.0273107331
2013-11-19$57.82$62.008.7%2.5%7.3%9.7%9.3%3.2%-0.2%-41.2K1.1M-4.1K3.3376.9125114334
2013-11-20$57.58$62.008.7%2.5%7.3%7.1%8.5%2.5%-0.2%-41.7K1.1M-3.9K1.6732.4135115334
2013-11-21$57.90$60.008.2%2.4%7.4%6.1%0.0%3.8%0.4%-40.9K1.1M-4.0K0.0035.5305118339
2013-11-22$57.96$60.008.0%2.3%7.3%5.6%0.0%0.1%-0.2%-39.7K1.1M-3.9K0.0068.5505118344
2013-11-25$58.12$60.007.2%2.1%7.1%4.1%0.0%1.9%1.1%-27.2K999.5K-3.6K0.0025.2900118339
2013-11-26$58.24$60.008.2%2.3%6.8%6.0%8.2%0.5%0.4%-41.1K1.0M-4.1K1.3388.7156118339
2013-11-27$58.08$60.006.6%1.9%6.7%2.9%0.0%1.2%1.9%-21.5K992.7K-3.6K0.0065.4000123335
2013-11-29$58.06$60.007.0%2.0%6.7%3.8%0.0%1.9%1.4%-16.7K974.0K-3.6K0.00113.6704123335