HYD Options History — May 2014 In May 2014, HYD traded between $59.56 and $61.10. ATM implied volatility averaged 7.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 3.3% (HV 20d: 3.7%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.05.
Notable Days 2014-05-14 : Highest Volume — 102 contracts2014-05-27 : Largest IV spike — 522.5% change2014-05-27 : Highest IV Rank — 67.0%2014-05-27 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $60.49 $59.56 $61.10 $59.56 $61.06 Max Pain $60.10 $60.00 $62.00 $60.00 $62.00 ATM IV 7.0% 3.3% 38.7% 4.7% 7.2% Expected Move 2.0% 1.3% 11.1% 1.3% 2.1% HV 20d 3.7% 3.0% 3.9% 3.9% 3.0% HV 60d 3.9% 3.5% 4.5% 4.5% 3.5% IV Rank 7.0% 0.0% 67.0% 2.3% 7.5% IV Percentile 16.4% 0.0% 99.2% 2.8% 25.8% Term Structure -2.4% -68.2% 2.6% 0.5% -0.4% VWIV 6.1% 4.1% 8.6% 5.0% 4.1% Skew 25d 0.6% -2.6% 4.3% 0.8% 1.7% Skew 10d 2.1% -0.9% 11.3% 1.3% 2.9% Call IV 25d 5.9% 4.8% 9.6% 7.1% 6.5% Put IV 25d 6.5% 3.7% 9.7% 7.9% 8.2% Bid-Ask Spread % 122.47 79.58 169.15 142.52 127.35 Gamma HHI 0.65 0.44 0.86 0.85 0.48 Net GEX 13.7K -83.7K 93.8K -83.7K 37.4K Net DEX -128.5K -477.0K 463.5K 463.5K -306.1K Net VEX -4.7K -5.9K -2.7K -2.7K -5.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.05 0.00 0.29 0.00 0.00 Total Volume 15.905 0 102 3 13 Total OI 502.524 380 603 380 520
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 2014-05-01 $59.56 $60.00 4.7% 1.3% 3.9% 2.3% 0.0% 0.8% 0.5% -83.7K 463.5K -2.7K 0.00 142.52 0 3 65 315 2014-05-02 $59.68 $60.00 6.0% 1.7% 3.9% 4.8% 0.0% -1.3% -1.7% -79.4K 434.6K -2.8K 0.00 150.95 101 0 65 318 2014-05-05 $59.80 $60.00 3.9% 1.6% 3.8% 0.8% 0.0% 1.7% 0.4% -40.2K 123.5K -3.8K 0.00 124.26 0 8 165 318 2014-05-06 $59.84 $60.00 4.1% 1.5% 3.8% 1.2% 0.0% -0.4% 1.0% -34.9K 97.7K -3.7K 0.00 115.88 0 8 165 320 2014-05-07 $59.92 $60.00 4.7% 1.5% 3.8% 2.3% 0.0% -0.4% 1.0% -55.5K 187.1K -4.1K 0.00 128.16 0 8 165 328 2014-05-08 $60.12 $60.00 3.3% 1.5% 3.8% 0.0% 0.0% -0.2% 1.1% -32.5K 72.7K -3.8K 0.00 105.98 0 0 165 335 2014-05-09 $60.18 $60.00 3.4% 1.4% 3.7% 0.2% 0.0% 4.3% 1.6% -18.6K 87.1K -3.9K 0.00 142.02 0 1 165 335 2014-05-12 $60.28 $60.00 4.9% 1.6% 3.7% 3.1% 0.0% 0.1% 1.1% -22.8K 47.2K -3.5K 0.00 139.00 0 0 165 336 2014-05-13 $60.36 $60.00 8.3% 1.4% 3.5% 9.6% 0.0% 0.2% 2.5% -21.5K 19.3K -4.3K 0.00 83.93 0 1 165 336 2014-05-14 $60.60 $60.00 11.1% 1.4% 3.6% 14.8% 5.0% 0.3% 2.6% 4.1K -111.7K -3.6K 0.01 122.14 101 1 165 336 2014-05-15 $60.86 $60.00 6.1% 1.8% 3.7% 5.4% 6.0% 1.2% 1.5% 38.4K -387.8K -5.5K 0.29 118.06 21 6 265 337 2014-05-16 $60.74 $60.00 5.8% 1.7% 3.7% 4.8% 8.6% 0.9% 1.8% 37.7K -345.0K -5.5K 0.00 120.25 0 2 266 337 2014-05-19 $60.76 $60.00 5.1% 1.5% 3.8% 3.6% 0.0% 0.4% 2.4% 93.8K -477.0K -5.3K 0.00 101.22 0 28 266 224 2014-05-20 $60.82 $60.00 4.9% 1.4% 3.7% 3.1% 0.0% 0.2% 2.6% 76.8K -386.8K -5.6K 0.00 79.58 9 0 266 251 2014-05-21 $60.72 $60.00 5.1% 1.5% 3.9% 3.5% 7.4% -2.6% -1.1% 76.4K -312.7K -5.6K 0.00 122.31 1 0 269 251 2014-05-22 $60.82 $60.00 5.1% 1.4% 3.9% 3.4% 5.6% 0.2% 2.2% 82.5K -385.2K -5.6K 0.00 82.27 0 1 269 251 2014-05-23 $61.04 $60.00 6.2% 1.8% 3.9% 5.6% 0.0% 1.3% -0.3% 63.9K -407.6K -5.9K 0.00 134.57 0 6 269 252 2014-05-27 $60.92 $60.00 38.7% 11.1% 3.9% 67.0% 0.0% 4.0% -68.2% 55.7K -341.1K -5.9K 0.00 169.15 0 0 269 252 2014-05-28 $61.10 $60.00 4.6% 1.3% 3.9% 2.5% 0.0% -0.0% -0.8% 56.1K -398.9K -5.6K 0.00 134.11 0 0 254 252 2014-05-29 $61.06 $60.00 4.5% 1.3% 3.9% 2.4% 4.1% 0.1% -0.7% 53.1K -370.7K -5.6K 0.00 128.23 0 15 254 252 2014-05-30 $61.06 $62.00 7.2% 2.1% 3.0% 7.5% 0.0% 1.7% -0.4% 37.4K -306.1K -5.8K 0.00 127.35 13 0 254 266
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