HYD Options History — September 2014

In September 2014, HYD traded between $60.50 and $61.50. ATM implied volatility averaged 7.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.5% (HV 20d: 4.8%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2014-09-18: Highest Volume — 38 contracts
  • 2014-09-23: Largest IV spike — 51.2% change
  • 2014-09-10: Highest IV Rank — 19.0%
  • 2014-09-04: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.06$60.50$61.50$60.92$61.50
Max Pain$63.24$62.00$64.00$64.00$62.00
ATM IV7.3%4.6%10.0%7.8%6.0%
Expected Move2.3%2.0%2.5%2.5%2.0%
HV 20d4.8%3.9%5.5%4.4%4.6%
HV 60d6.0%4.5%6.5%6.1%4.5%
IV Rank10.9%3.9%19.0%8.6%7.6%
IV Percentile47.0%7.1%90.9%56.0%23.0%
Term Structure0.4%-1.4%3.0%-0.5%2.2%
VWIV6.0%3.1%7.7%7.7%7.3%
Skew 25d2.7%-1.8%7.8%0.9%1.6%
Skew 10d1.6%-2.7%7.3%1.3%-2.7%
Call IV 25d6.0%3.6%9.5%8.3%4.6%
Put IV 25d8.6%5.6%11.5%9.1%6.3%
Bid-Ask Spread %78.4945.0897.9896.1149.14
Gamma HHI0.410.320.600.370.59
Net GEX-21.3K-47.6K31.2K-12.9K-22.1K
Net DEX-42.2K-860.9K371.5K80.8K-851.1K
Net VEX-4.8K-6.1K-1.5K-5.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.002.000.07
Total Volume7.81038110
Total OI702.429562813749570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$60.92$64.007.8%2.5%4.4%8.6%0.0%0.9%-0.5%-12.9K80.8K-5.7K0.0096.11011229520
2014-09-03$60.92$64.008.1%2.3%4.4%9.2%0.0%0.2%1.2%-17.6K121.7K-5.5K0.0096.4105229524
2014-09-04$60.76$64.008.0%2.5%4.0%13.2%0.0%-1.8%0.8%-22.6K154.4K-5.6K0.0096.6300229524
2014-09-05$60.86$64.009.9%2.4%4.0%18.8%0.0%2.3%-0.1%-22.7K104.5K-5.6K0.0096.3909229524
2014-09-08$60.98$64.008.5%2.4%4.0%14.8%0.0%3.7%1.5%-38.9K134.9K-5.7K0.0097.02011229530
2014-09-09$60.98$64.007.0%2.4%3.9%10.5%7.7%3.3%-1.4%-32.2K192.1K-5.6K2.0097.19510229541
2014-09-10$60.72$64.0010.0%2.4%4.2%19.0%0.0%1.9%-0.4%-45.8K272.1K-5.8K0.0096.8900234541
2014-09-11$60.92$64.007.7%2.3%4.4%12.4%0.0%1.1%-0.6%-34.9K191.3K-5.6K0.0096.4700234541
2014-09-12$60.50$64.009.1%2.5%4.8%16.4%0.0%1.3%-1.1%-47.6K371.5K-5.6K0.0094.7530234541
2014-09-15$60.86$64.007.5%2.0%5.3%12.1%0.0%2.5%-1.3%-31.6K319.2K-5.3K0.0097.98027234541
2014-09-16$60.88$64.009.2%2.4%5.3%16.6%3.1%3.3%-1.0%-35.8K233.4K-5.6K0.0045.6450234536
2014-09-17$60.94$64.007.0%2.4%5.3%10.6%0.0%0.7%-0.9%-29.8K208.1K-5.7K0.0075.4603239536
2014-09-18$60.98$64.008.4%2.4%5.3%14.5%5.8%3.1%-0.2%-37.4K237.9K-5.6K0.0067.78380239536
2014-09-19$61.22$62.006.1%2.0%5.4%8.0%0.0%4.1%-1.1%-6.8K-81.9K-5.7K0.0777.3171277536
2014-09-22$61.26$62.004.8%2.3%5.4%4.3%0.0%4.2%-1.3%20.8K-14.8K-6.1K0.0069.9601255311
2014-09-23$61.48$62.007.2%2.0%5.5%11.1%0.0%1.2%2.4%-25.2K-860.9K-1.5K0.0067.6500255312
2014-09-24$61.42$62.004.6%2.0%5.2%3.9%7.3%3.6%2.0%-30.8K-832.1K-1.5K0.0069.81013250312
2014-09-25$61.38$62.005.2%2.1%5.2%5.4%0.0%7.8%3.0%-31.6K-825.0K-1.5K0.0045.0800250324
2014-09-26$61.36$62.005.1%2.1%5.2%5.1%0.0%4.0%1.8%26.3K11.7K-5.0K0.0064.3606250324
2014-09-29$61.38$62.005.9%2.2%5.2%7.5%0.0%6.9%3.0%31.2K-53.6K-5.3K0.0050.1409250318
2014-09-30$61.50$62.006.0%2.0%4.6%7.6%0.0%1.6%2.2%-22.1K-851.1K-1.5K0.0049.1400250320