HYD Options History — March 2014

In March 2014, HYD traded between $58.62 and $59.24. ATM implied volatility averaged 6.5%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.7% (HV 20d: 4.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 17.11.

Notable Days

  • 2014-03-24: Highest Volume — 60 contracts
  • 2014-03-19: Largest IV spike — 64.8% change
  • 2014-03-19: Highest IV Rank — 7.5%
  • 2014-03-19: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.00$58.62$59.24$59.06$59.10
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV6.5%5.2%8.9%5.9%6.6%
Expected Move1.9%1.5%2.6%1.7%1.9%
HV 20d4.8%3.5%7.5%7.5%3.5%
HV 60d6.3%5.6%6.9%6.9%5.6%
IV Rank2.8%0.2%7.5%1.6%2.8%
IV Percentile16.2%0.4%56.7%2.8%15.1%
Term Structure1.2%-1.9%4.1%-1.1%-1.2%
VWIV6.7%3.9%8.3%4.9%3.9%
Skew 25d0.2%-52.7%5.3%-0.8%2.1%
Skew 10d-4.6%-54.9%13.2%1.5%-54.9%
Call IV 25d8.4%3.5%63.4%6.3%7.5%
Put IV 25d8.5%4.9%11.2%5.5%9.6%
Bid-Ask Spread %74.8417.35192.9723.93192.97
Gamma HHI0.510.290.730.390.73
Net GEX-48.4K-106.4K-8.1K-11.3K-76.9K
Net DEX293.6K149.9K402.6K265.4K338.8K
Net VEX-2.1K-2.3K-1.5K-2.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.110.00100.000.001.67
Total Volume13.23806090
Total OI390.238193461402280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$59.06$60.005.9%1.7%7.5%1.6%0.0%-0.8%-1.1%-11.3K265.4K-2.3K0.0023.9390112290
2014-03-04$58.80$60.008.8%2.5%7.5%7.3%0.0%2.6%-0.4%-25.8K289.1K-2.3K0.0028.2700121290
2014-03-05$58.78$60.005.6%1.6%5.8%1.0%4.9%-1.3%2.1%-40.2K344.7K-2.3K0.0017.35053121290
2014-03-06$58.68$60.007.7%2.2%5.1%5.1%8.1%1.2%1.0%-102.1K399.5K-2.3K0.00116.89020121340
2014-03-07$58.62$60.007.4%2.2%5.0%4.5%0.0%2.3%0.8%-106.4K376.7K-2.2K0.0027.2600121330
2014-03-10$58.80$60.006.6%2.5%4.9%3.0%0.0%3.5%0.7%-81.6K362.3K-2.2K0.0026.1100121330
2014-03-11$58.88$60.005.9%2.5%4.9%1.5%0.0%2.8%0.7%-77.4K320.1K-2.0K0.0024.6100121330
2014-03-12$59.18$60.006.3%1.9%5.2%2.3%0.0%1.4%0.8%-20.3K184.2K-1.7K1.0039.6933121330
2014-03-13$59.24$60.007.6%2.2%5.2%4.9%0.0%2.6%1.3%-9.9K187.5K-1.9K0.0032.5308121330
2014-03-14$59.10$60.005.8%1.6%5.1%1.3%0.0%4.4%1.5%-29.5K213.6K-1.9K0.0031.1003121330
2014-03-17$59.22$60.006.0%1.7%4.2%1.8%0.0%5.3%4.1%-8.1K149.9K-1.5K0.0027.1503121330
2014-03-18$59.06$60.005.4%1.6%4.4%0.6%0.0%3.7%3.0%-40.6K282.3K-2.2K0.00144.7710121330
2014-03-19$58.98$60.008.9%2.6%4.4%7.5%0.0%4.3%0.8%-38.1K402.6K-2.3K0.0090.52010122330
2014-03-20$59.10$60.005.2%1.5%4.2%0.2%0.0%5.1%3.3%-41.8K265.3K-1.8K0.0029.1802122335
2014-03-21$59.04$60.005.3%1.5%4.2%0.3%0.0%4.6%2.5%-56.0K277.7K-1.8K0.0038.43045122337
2014-03-24$59.00$60.007.7%2.2%4.2%5.1%8.1%4.5%2.4%-18.2K160.8K-1.6K0.00115.5306047146
2014-03-25$58.98$60.007.4%2.1%4.1%4.6%8.3%4.3%2.7%-34.3K287.7K-2.1K100.00116.5815047181
2014-03-26$59.12$60.005.4%1.6%4.0%0.6%0.0%4.8%4.0%-71.5K321.9K-2.3K0.00126.500147231
2014-03-27$59.10$60.006.3%1.8%3.6%2.4%0.0%-1.3%-1.3%-73.2K352.2K-2.3K0.00149.131047231
2014-03-28$59.08$60.005.2%1.5%3.6%0.2%3.9%-52.7%-1.9%-53.2K383.0K-2.3K1.67173.192346231
2014-03-31$59.10$60.006.6%1.9%3.5%2.8%0.0%2.1%-1.2%-76.9K338.8K-2.2K0.00192.970046234