HYD Options History — October 2014

In October 2014, HYD traded between $61.34 and $62.06. ATM implied volatility averaged 6.6%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.8% (HV 20d: 3.8%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.41.

Notable Days

  • 2014-10-21: Highest Volume — 409 contracts
  • 2014-10-10: Largest IV spike — 70.6% change
  • 2014-10-10: Highest IV Rank — 22.2%
  • 2014-10-13: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.64$61.34$62.06$61.34$61.70
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV6.6%4.0%11.1%4.0%6.1%
Expected Move2.2%1.9%2.5%2.2%2.3%
HV 20d3.8%2.3%4.7%4.7%3.8%
HV 60d4.3%4.0%4.6%4.6%4.1%
IV Rank9.4%1.9%22.2%1.9%7.9%
IV Percentile38.0%2.0%98.0%2.0%27.8%
Term Structure0.1%-1.3%2.8%1.4%-0.1%
VWIV7.8%6.5%12.7%7.9%7.0%
Skew 25d1.6%-1.4%7.4%1.3%7.4%
Skew 10d1.5%-3.0%8.7%1.0%8.7%
Call IV 25d6.3%4.3%8.9%4.7%6.4%
Put IV 25d8.0%5.0%13.8%6.0%13.8%
Bid-Ask Spread %65.0141.44107.7844.8075.71
Gamma HHI0.610.370.850.430.63
Net GEX-21.9K-83.8K68.6K15.9K-83.8K
Net DEX-79.9K-822.4K168.3K-148.1K125.4K
Net VEX-4.0K-5.7K-2.5K-5.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.002.210.331.63
Total Volume183.826040920397
Total OI617.391544703570703

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$61.34$62.004.0%2.2%4.7%1.9%0.0%1.3%1.4%15.9K-148.1K-5.7K0.3344.80155250320
2014-10-02$61.38$62.006.1%2.2%4.6%8.1%0.0%1.9%1.3%35.2K-207.2K-5.2K0.0044.0210265315
2014-10-03$61.44$62.004.5%2.2%4.5%3.4%0.0%1.3%1.4%24.5K-203.8K-5.3K0.0065.80072266315
2014-10-06$61.42$62.005.9%2.3%4.5%7.5%0.0%1.8%0.1%39.7K-240.2K-5.0K0.0049.2500266303
2014-10-07$61.44$62.005.2%2.4%4.5%5.5%0.0%1.7%-0.6%39.2K-240.5K-5.4K0.0066.1300266303
2014-10-08$61.52$62.005.0%2.3%4.2%4.8%7.9%1.0%-0.3%68.6K-822.4K-2.5K2.2150.1668150268303
2014-10-09$61.64$62.006.5%2.3%4.1%9.2%12.7%1.2%-0.1%23.8K-200.2K-5.5K0.1344.937510266333
2014-10-10$61.70$62.0011.1%2.2%3.0%22.2%7.9%4.0%-0.2%-7.5K-401.4K-3.1K1.1793.98128149213334
2014-10-13$61.72$62.009.7%2.5%2.3%18.0%0.0%2.4%-1.2%-5.0K9.7K-5.2K0.0041.4400211333
2014-10-14$61.96$62.007.5%2.4%2.6%12.0%8.1%2.4%0.2%-4.3K-52.1K-5.0K1.0845.60138149213334
2014-10-15$62.06$62.008.7%2.5%2.6%15.4%8.8%2.4%-0.2%-5.2K-132.3K-4.9K1.5446.59146225213334
2014-10-16$61.58$62.006.7%2.4%4.0%9.6%0.0%1.5%-0.0%-57.6K2.4K-3.1K0.0044.55033229409
2014-10-17$61.44$62.006.4%2.2%3.9%8.8%8.4%1.0%-0.2%-48.6K132.7K-3.1K0.0071.33028229438
2014-10-20$61.56$62.005.2%1.9%4.0%5.4%6.5%0.7%2.8%-70.7K42.7K-2.7K0.0074.28043229455
2014-10-21$61.64$62.004.8%2.1%3.8%4.2%7.0%1.9%0.1%-72.6K168.3K-3.4K1.9575.75139270231462
2014-10-22$61.70$62.006.1%2.2%3.8%8.0%7.4%-1.1%0.5%-60.8K67.7K-3.1K2.0671.09131270231420
2014-10-23$61.66$62.006.2%2.1%3.8%8.4%7.0%-1.2%0.6%-71.4K66.9K-3.1K1.9473.70131255231420
2014-10-24$61.78$62.007.6%2.0%3.8%12.3%6.9%1.5%-1.1%-57.8K3.4K-3.1K2.0072.07131262231420
2014-10-27$61.84$62.007.7%2.2%3.8%12.5%0.0%-1.4%-0.5%-60.3K-21.8K-3.2K0.0071.5000229427
2014-10-28$61.70$62.006.8%2.1%3.9%10.0%0.0%-1.3%-0.3%-61.1K85.2K-2.9K0.0072.9008229427
2014-10-29$61.78$62.006.4%2.1%3.8%9.0%7.2%2.0%0.6%-66.1K71.0K-3.0K2.0291.88131264231432
2014-10-30$61.80$62.007.6%2.2%3.8%12.4%7.1%4.6%-1.3%-17.4K56.1K-4.2K1.68107.78151253231432
2014-10-31$61.70$62.006.1%2.3%3.8%7.9%7.0%7.4%-0.1%-83.8K125.4K-3.7K1.6375.71151246251452