HYD Options History — June 2014

In June 2014, HYD traded between $60.32 and $60.96. ATM implied volatility averaged 5.3%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.6% (HV 20d: 3.7%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.78.

Notable Days

2014-06-23: Highest Volume — 30 contracts
2014-06-12: Largest IV spike — 46.1% change
2014-06-16: Highest IV Rank — 6.6%
2014-06-16: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.67	$60.32	$60.96	$60.80	$60.32
Max Pain	$60.38	$60.00	$62.00	$62.00	$60.00
ATM IV	5.3%	3.8%	6.8%	5.1%	6.1%
Expected Move	1.6%	1.2%	1.9%	1.5%	1.7%
HV 20d	3.7%	3.2%	4.1%	3.5%	3.5%
HV 60d	3.6%	3.5%	3.8%	3.6%	3.7%
IV Rank	3.9%	1.0%	6.6%	3.5%	5.3%
IV Percentile	13.4%	1.2%	25.8%	7.5%	22.6%
Term Structure	0.9%	-1.8%	2.8%	0.6%	-1.8%
VWIV	8.2%	5.5%	12.0%	10.2%	5.6%
Skew 25d	0.6%	-2.0%	1.8%	0.2%	-2.0%
Skew 10d	1.7%	-1.9%	3.8%	3.8%	-1.9%
Call IV 25d	5.6%	4.6%	8.6%	5.6%	8.6%
Put IV 25d	6.2%	5.1%	7.0%	5.8%	6.5%
Bid-Ask Spread %	117.60	102.00	151.94	116.58	114.03
Gamma HHI	0.63	0.43	0.84	0.53	0.81
Net GEX	43.2K	18.9K	68.3K	34.4K	39.3K
Net DEX	-161.3K	-324.1K	28.1K	-253.6K	28.1K
Net VEX	-5.3K	-5.8K	-5.0K	-5.5K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.00	5.00	1.00	5.00
Total Volume	7.476	0	30	10	24
Total OI	500.714	417	534	507	458

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
2014-06-02	$60.80	$62.00	5.1%	1.5%	3.5%	3.5%	0.0%	0.2%	0.6%	34.4K	-253.6K	-5.5K	0.00	116.58	0	10	241	266
2014-06-03	$60.52	$62.00	4.2%	1.2%	4.0%	1.8%	10.2%	1.4%	2.7%	28.0K	-160.1K	-5.3K	0.00	108.86	0	16	241	260
2014-06-04	$60.62	$62.00	4.1%	1.2%	4.0%	1.7%	10.2%	1.0%	1.9%	18.9K	-73.0K	-5.8K	1.00	135.60	5	5	241	275
2014-06-05	$60.66	$62.00	4.2%	1.2%	4.0%	1.7%	12.0%	0.5%	2.8%	33.6K	-140.9K	-5.4K	0.00	106.92	0	4	246	280
2014-06-06	$60.76	$60.00	5.2%	1.6%	3.9%	3.7%	5.8%	1.1%	0.9%	40.1K	-186.1K	-5.4K	1.67	129.44	2	3	246	278
2014-06-09	$60.56	$60.00	4.4%	1.6%	4.1%	2.2%	0.0%	0.8%	1.0%	42.0K	-106.9K	-5.3K	0.00	108.31	0	8	248	279
2014-06-10	$60.54	$60.00	4.7%	1.6%	4.1%	2.7%	5.5%	0.7%	1.1%	44.0K	-93.0K	-5.3K	0.00	118.19	0	1	248	281
2014-06-11	$60.58	$60.00	3.8%	1.7%	4.1%	1.0%	0.0%	0.9%	0.9%	45.6K	-102.1K	-5.2K	0.00	112.40	0	2	248	281
2014-06-12	$60.60	$60.00	5.5%	1.6%	3.8%	4.3%	0.0%	1.8%	1.4%	31.5K	-113.6K	-5.3K	0.00	112.53	0	5	248	281
2014-06-13	$60.58	$60.00	6.0%	1.7%	3.5%	5.1%	0.0%	0.9%	0.9%	37.8K	-87.2K	-5.3K	0.00	106.38	0	0	248	286
2014-06-16	$60.68	$60.00	6.8%	1.9%	3.5%	6.6%	0.0%	1.4%	0.3%	36.6K	-140.6K	-5.2K	0.00	106.86	0	0	248	286
2014-06-17	$60.66	$60.00	6.3%	1.8%	3.5%	5.8%	0.0%	1.2%	1.1%	41.1K	-121.4K	-5.2K	0.00	103.05	0	0	248	286
2014-06-18	$60.76	$60.00	6.1%	1.7%	3.5%	5.4%	0.0%	1.1%	0.6%	37.1K	-166.4K	-5.3K	0.00	122.60	0	0	248	286
2014-06-19	$60.82	$60.00	5.7%	1.6%	3.5%	4.7%	0.0%	1.7%	1.5%	47.9K	-248.0K	-5.3K	0.00	151.94	0	1	248	275
2014-06-20	$60.78	$60.00	5.2%	1.5%	3.5%	3.6%	0.0%	0.4%	1.7%	47.5K	-218.8K	-5.1K	0.00	134.50	0	0	248	274
2014-06-23	$60.68	$60.00	6.3%	1.8%	3.2%	5.7%	0.0%	1.1%	0.1%	68.3K	-245.4K	-5.0K	1.03	115.72	15	15	243	174
2014-06-24	$60.80	$60.00	4.7%	1.3%	3.2%	2.6%	0.0%	-0.3%	2.2%	60.8K	-324.1K	-5.3K	0.00	102.00	15	0	257	189
2014-06-25	$60.96	$60.00	6.0%	1.7%	3.2%	5.2%	0.0%	0.4%	-1.7%	58.2K	-302.6K	-5.3K	2.00	114.53	3	5	244	189
2014-06-26	$60.80	$60.00	5.5%	1.6%	3.3%	4.2%	0.0%	0.2%	-0.2%	61.9K	-231.4K	-5.2K	0.00	118.27	0	10	247	194
2014-06-27	$60.56	$60.00	5.5%	1.6%	3.6%	4.2%	0.0%	-1.8%	0.1%	52.0K	-99.3K	-5.2K	0.00	130.82	0	8	247	204
2014-06-30	$60.32	$60.00	6.1%	1.7%	3.5%	5.3%	5.6%	-2.0%	-1.8%	39.3K	28.1K	-5.1K	5.00	114.03	4	20	247	211