HYD Options History — January 2014

In January 2014, HYD traded between $56.74 and $58.44. ATM implied volatility averaged 8.4%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.8% (HV 20d: 6.6%). Max pain ranged from $56.00 to $60.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.01.

Notable Days

2014-01-23: Highest Volume — 105 contracts
2014-01-15: Largest IV spike — 27.7% change
2014-01-27: Highest IV Rank — 10.6%
2014-01-27: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.82	$56.74	$58.44	$56.74	$58.26
Max Pain	$58.19	$56.00	$60.00	$60.00	$58.00
ATM IV	8.4%	6.4%	10.5%	8.6%	10.0%
Expected Move	2.5%	1.5%	3.0%	2.5%	2.9%
HV 20d	6.6%	5.0%	7.7%	7.6%	5.2%
HV 60d	7.2%	6.6%	7.8%	7.8%	6.6%
IV Rank	6.5%	2.5%	10.6%	6.8%	9.5%
IV Percentile	43.1%	6.7%	69.8%	46.0%	66.7%
Term Structure	0.7%	-0.6%	4.8%	2.5%	0.7%
VWIV	8.4%	7.0%	9.7%	8.5%	8.9%
Skew 25d	2.0%	-1.3%	4.9%	2.9%	2.4%
Skew 10d	2.5%	-0.1%	6.1%	2.4%	3.9%
Call IV 25d	7.4%	4.3%	8.5%	6.9%	8.5%
Put IV 25d	9.4%	6.5%	11.8%	9.8%	11.0%
Bid-Ask Spread %	38.89	28.70	62.57	40.39	33.55
Gamma HHI	0.37	0.26	0.68	0.37	0.27
Net GEX	-56.6K	-106.9K	21.1K	-99.8K	16.7K
Net DEX	579.5K	232.3K	964.2K	964.2K	259.5K
Net VEX	-3.3K	-4.4K	-2.4K	-3.3K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.01	0.00	5.97	0.00	0.00
Total Volume	25.048	0	105	0	7
Total OI	479.952	389	638	426	638

Daily Data (21 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
2014-01-02	$56.74	$60.00	8.6%	2.5%	7.6%	6.8%	0.0%	2.9%	2.5%	-99.8K	964.2K	-3.3K	0.00	40.39	0	0	111	315
2014-01-03	$56.86	$60.00	8.6%	2.5%	7.5%	6.9%	0.0%	1.8%	1.5%	-106.9K	938.5K	-3.1K	0.00	41.03	1	0	111	315
2014-01-06	$57.02	$56.00	6.4%	1.5%	7.6%	2.5%	8.5%	4.9%	4.8%	-105.0K	900.3K	-3.4K	0.00	34.87	0	15	111	315
2014-01-07	$57.12	$60.00	7.5%	2.3%	7.6%	4.7%	7.5%	4.2%	1.7%	-96.9K	900.7K	-3.3K	2.00	41.51	5	10	111	311
2014-01-08	$57.34	$58.00	7.0%	2.5%	7.2%	3.8%	8.6%	1.5%	0.6%	-91.2K	832.9K	-3.4K	0.00	37.92	5	0	116	311
2014-01-09	$57.38	$58.00	7.5%	2.3%	7.1%	4.8%	0.0%	2.0%	0.4%	-92.1K	822.2K	-3.3K	0.00	30.96	0	10	121	311
2014-01-10	$57.84	$58.00	7.2%	2.3%	7.7%	4.2%	8.1%	2.7%	0.3%	-68.5K	635.3K	-2.8K	3.30	45.62	5	17	121	301
2014-01-13	$57.84	$58.00	8.2%	2.4%	7.4%	6.1%	0.0%	3.3%	1.1%	-62.3K	597.4K	-3.0K	0.00	30.54	0	0	126	285
2014-01-14	$57.86	$58.00	7.3%	2.5%	7.2%	4.3%	0.0%	-0.8%	-0.3%	-70.4K	625.5K	-2.9K	0.00	62.57	0	0	126	285
2014-01-15	$57.78	$58.00	9.3%	2.4%	7.1%	8.2%	7.0%	-1.3%	-0.2%	-69.8K	633.9K	-2.8K	5.25	60.15	10	53	126	285
2014-01-16	$58.08	$58.00	8.4%	2.4%	7.2%	6.5%	0.0%	-0.5%	-0.5%	-77.1K	542.7K	-3.1K	4.80	36.89	5	24	136	335
2014-01-17	$58.26	$58.00	8.0%	2.3%	6.9%	5.7%	0.0%	1.1%	-0.6%	-80.8K	543.5K	-3.0K	0.95	55.87	30	29	141	332
2014-01-21	$58.00	$58.00	7.7%	2.2%	6.2%	5.0%	7.8%	2.1%	0.6%	-67.8K	544.8K	-2.7K	3.87	33.42	8	29	104	285
2014-01-22	$57.90	$58.00	7.0%	2.0%	6.2%	3.8%	0.0%	2.2%	0.5%	-53.8K	531.7K	-2.4K	0.00	29.92	25	0	111	311
2014-01-23	$58.26	$58.00	8.3%	2.4%	5.7%	6.2%	9.6%	0.2%	-0.2%	-41.2K	438.8K	-2.6K	5.97	37.11	15	90	127	311
2014-01-24	$58.44	$58.00	9.6%	2.7%	5.7%	8.7%	9.5%	3.2%	0.2%	-55.9K	432.2K	-3.5K	0.00	28.70	81	0	142	380
2014-01-27	$58.18	$58.00	10.5%	3.0%	6.1%	10.6%	7.1%	2.4%	-0.2%	-13.4K	292.5K	-4.2K	0.00	35.02	40	0	223	380
2014-01-28	$58.26	$58.00	9.7%	2.8%	5.1%	8.9%	9.7%	2.2%	0.3%	13.4K	263.6K	-4.1K	0.00	29.77	7	0	253	380
2014-01-29	$58.34	$58.00	10.2%	2.9%	5.1%	10.0%	8.9%	2.5%	0.9%	12.5K	237.1K	-4.4K	0.00	36.67	0	5	258	380
2014-01-30	$58.44	$58.00	9.8%	2.8%	5.0%	9.2%	0.0%	2.8%	0.8%	21.1K	232.3K	-4.3K	0.00	34.23	0	0	258	380
2014-01-31	$58.26	$58.00	10.0%	2.9%	5.2%	9.5%	0.0%	2.4%	0.7%	16.7K	259.5K	-4.1K	0.00	33.55	0	7	258	380