HYD Options History — July 2014

In July 2014, HYD traded between $58.46 and $60.54. ATM implied volatility averaged 7.6%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 0.6% (HV 20d: 8.2%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 6.98.

Notable Days

  • 2014-07-08: Highest Volume — 296 contracts
  • 2014-07-30: Largest IV spike — 42.4% change
  • 2014-07-11: Highest IV Rank — 13.2%
  • 2014-07-11: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.56$58.46$60.54$59.40$60.28
Max Pain$60.80$60.00$62.00$62.00$62.00
ATM IV7.6%5.9%10.3%6.2%7.9%
Expected Move2.3%1.7%2.9%1.8%2.4%
HV 20d8.2%4.8%9.2%6.3%4.8%
HV 60d5.8%4.9%6.1%4.9%6.0%
IV Rank8.2%5.1%13.2%5.5%8.8%
IV Percentile43.8%21.0%78.2%23.8%52.8%
Term Structure0.3%-2.2%3.4%-0.3%3.4%
VWIV7.8%4.8%10.0%6.8%10.0%
Skew 25d2.3%0.2%3.9%1.5%3.3%
Skew 10d1.6%-0.2%4.6%1.0%3.1%
Call IV 25d7.0%4.7%9.9%5.4%9.2%
Put IV 25d9.2%6.8%13.7%6.8%12.5%
Bid-Ask Spread %87.2944.22125.97108.8075.58
Gamma HHI0.670.440.950.470.51
Net GEX-214.4K-395.6K13.6K13.6K-364.3K
Net DEX864.9K267.1K1.8M366.1K984.4K
Net VEX-8.5K-11.1K-4.3K-5.1K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.980.0039.751.3810.00
Total Volume78.95502965028
Total OI1,186.3184691,5134691,513

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$59.40$62.006.2%1.8%6.3%5.5%6.8%1.5%-0.3%13.6K366.1K-5.1K1.38108.802129247222
2014-07-02$58.60$60.007.0%2.0%7.6%7.1%0.0%2.7%1.5%-5.8K711.0K-4.3K39.75106.664159268247
2014-07-03$58.46$60.006.9%2.0%7.6%6.9%7.3%0.4%0.7%-50.0K953.7K-5.1K2.70121.2147127267327
2014-07-07$58.66$60.007.0%2.5%7.7%7.1%8.8%2.8%-0.6%-154.8K1.0M-6.4K3.9374.1958228314452
2014-07-08$58.84$60.007.5%2.7%7.9%8.1%9.3%3.6%-0.1%-193.9K1.1M-8.6K0.0076.370296372639
2014-07-09$58.66$60.007.0%2.5%7.9%7.0%0.0%2.5%-0.4%-379.8K1.8M-10.0K0.9476.484441372849
2014-07-10$58.84$60.008.9%2.6%8.0%10.7%8.9%2.9%-0.4%-369.6K1.8M-10.1K0.1377.42486398881
2014-07-11$58.78$60.0010.3%2.9%8.0%13.2%0.0%2.9%-2.2%-310.4K1.6M-11.1K0.00111.96260442886
2014-07-14$58.86$60.007.8%2.2%8.0%8.5%0.0%2.4%0.5%-377.6K1.6M-10.3K0.00116.9200442886
2014-07-15$59.00$60.008.7%2.5%8.1%10.3%6.2%3.9%0.2%-332.8K1.3M-10.9K0.27125.97267442886
2014-07-16$59.44$60.005.9%1.7%8.7%5.1%9.0%3.8%2.5%-275.5K1.1M-10.9K0.0088.8230443888
2014-07-17$59.72$60.007.6%2.2%8.8%8.2%8.4%2.3%0.5%-196.7K572.0K-9.6K5.34101.1125134442888
2014-07-18$60.06$60.006.9%2.0%9.1%6.8%6.8%0.8%0.1%-105.9K380.3K-8.3K7.5096.98430421984
2014-07-21$60.08$0.007.0%2.2%9.1%7.0%0.0%1.0%0.0%-132.7K537.5K-8.4K13.5044.22341410897
2014-07-22$60.16$0.007.8%2.1%9.1%8.5%4.8%2.0%-0.8%-110.3K267.1K-7.4K12.2771.72668413934
2014-07-23$60.40$62.007.6%2.3%9.2%8.3%6.6%2.4%-0.0%-150.4K385.2K-8.0K0.0065.57020362959
2014-07-24$60.34$62.007.0%2.3%9.2%7.1%0.0%0.2%0.7%-207.4K455.4K-7.9K0.0044.64010362969
2014-07-25$60.44$62.008.7%2.4%9.2%10.2%0.0%1.1%-0.0%-191.6K392.3K-8.4K0.0078.3105361979
2014-07-28$60.44$62.006.8%2.4%9.1%6.7%0.0%1.9%1.2%-152.2K756.1K-8.4K0.0090.5100361984
2014-07-29$60.54$62.006.7%2.3%9.0%6.5%0.0%2.1%1.7%-395.6K366.9K-7.6K0.0091.5500361984
2014-07-30$60.22$62.009.5%2.7%7.2%11.9%0.0%3.8%-0.5%-274.2K646.6K-9.7K0.0075.350193361984
2014-07-31$60.28$62.007.9%2.4%4.8%8.8%10.0%3.3%3.4%-364.3K984.4K-10.1K10.0075.583253611,152