HYD Options History — November 2014 In November 2014, HYD traded between $61.44 and $61.98. ATM implied volatility averaged 5.7%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.3% (HV 20d: 3.4%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.36.
Notable Days 2014-11-04 : Highest Volume — 375 contracts2014-11-06 : Largest IV drop — 20.4% change2014-11-19 : Highest IV Rank — 10.0%2014-11-06 : Largest Expected Move — 2.4%Monthly Statistics Metric Avg Min Max Open Close Price $61.61 $61.44 $61.98 $61.50 $61.98 Max Pain $62.11 $62.00 $64.00 $62.00 $62.00 ATM IV 5.7% 4.9% 6.8% 5.7% 5.3% Expected Move 2.2% 2.0% 2.4% 2.2% 2.0% HV 20d 3.4% 2.6% 4.1% 4.0% 3.1% HV 60d 4.0% 3.8% 4.2% 4.1% 3.8% IV Rank 6.8% 4.5% 10.0% 7.0% 5.6% IV Percentile 24.5% 11.1% 45.2% 22.2% 20.6% Term Structure 0.6% -0.9% 3.0% -0.2% 1.3% VWIV 7.1% 6.4% 8.1% 7.5% 6.8% Skew 25d 2.1% -1.1% 7.7% 7.7% 5.2% Skew 10d 2.6% -2.1% 9.4% 9.4% 6.8% Call IV 25d 6.1% 4.3% 7.2% 6.8% 5.9% Put IV 25d 8.2% 6.0% 14.4% 14.4% 11.1% Bid-Ask Spread % 75.99 64.62 97.53 70.90 77.64 Gamma HHI 0.56 0.48 0.90 0.60 0.62 Net GEX -31.8K -68.8K -1.5K -44.7K -49.8K Net DEX 300.9K -67.8K 499.9K 427.9K -67.8K Net VEX -4.0K -4.9K -2.7K -4.8K -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.36 0.87 16.67 1.46 16.67 Total Volume 256.158 0 375 370 0 Total OI 671 575 708 693 600
Daily Data (19 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 2014-11-03 $61.50 $62.00 5.7% 2.2% 4.0% 7.0% 7.5% 7.7% -0.2% -44.7K 427.9K -4.8K 1.46 70.90 151 219 241 452 2014-11-04 $61.48 $62.00 6.5% 2.4% 4.0% 9.1% 7.3% -0.3% -0.1% -31.5K 419.4K -4.9K 1.49 69.53 151 224 241 438 2014-11-05 $61.46 $62.00 6.1% 2.4% 4.0% 8.0% 7.3% -1.1% -0.9% -25.9K 499.9K -4.9K 1.49 69.45 151 224 241 448 2014-11-06 $61.44 $62.00 4.9% 2.4% 3.9% 4.5% 7.4% 1.7% 2.0% -17.6K 412.6K -4.8K 1.49 64.62 151 224 241 448 2014-11-07 $61.64 $62.00 5.1% 2.2% 4.1% 5.0% 6.6% 1.1% 0.4% -32.6K 260.6K -4.2K 1.49 69.46 151 224 241 448 2014-11-10 $61.52 $62.00 5.1% 2.4% 4.1% 5.3% 7.1% 1.2% 0.5% -13.1K 343.2K -4.6K 1.46 71.57 151 219 241 448 2014-11-11 $61.50 $64.00 5.3% 2.2% 3.8% 5.9% 6.7% 1.2% 0.3% -13.4K 183.7K -3.8K 1.47 78.72 151 221 238 449 2014-11-12 $61.54 $62.00 5.0% 2.3% 3.8% 5.0% 7.3% 1.3% 0.8% -22.6K 357.3K -4.4K 1.47 75.43 151 221 241 457 2014-11-13 $61.52 $62.00 5.8% 2.2% 2.6% 7.2% 7.4% 1.4% 0.3% -19.5K 412.4K -4.6K 1.47 76.36 151 221 241 457 2014-11-14 $61.74 $62.00 5.9% 2.3% 2.8% 7.4% 8.1% 1.7% 0.5% -38.8K 317.8K -4.5K 0.00 78.94 0 2 238 457 2014-11-17 $61.54 $62.00 6.5% 2.3% 3.0% 9.2% 6.8% 1.9% 0.0% -30.3K 334.8K -4.3K 1.31 78.34 151 198 241 457 2014-11-18 $61.52 $62.00 6.6% 2.4% 2.9% 9.3% 6.9% 1.9% 0.5% -33.9K 401.3K -4.4K 1.36 73.84 151 205 241 462 2014-11-19 $61.62 $62.00 6.8% 2.2% 3.0% 10.0% 0.0% 1.6% -0.1% -41.1K 313.7K -3.3K 0.00 80.95 0 0 238 464 2014-11-20 $61.62 $62.00 6.1% 2.2% 3.0% 7.9% 6.4% 1.8% 0.2% -68.8K 419.9K -3.5K 0.87 79.95 151 132 238 464 2014-11-21 $61.58 $62.00 5.4% 2.2% 2.9% 6.0% 6.5% 2.1% 0.5% -67.3K 471.7K -3.7K 0.89 78.68 151 134 238 470 2014-11-24 $61.72 $62.00 5.7% 2.0% 3.0% 6.9% 0.0% 1.6% 3.0% -12.4K 148.2K -3.0K 0.00 76.97 0 5 190 390 2014-11-25 $61.74 $62.00 5.1% 2.1% 2.9% 5.0% 6.8% 1.8% 2.7% -1.5K 82.9K -3.0K 1.04 74.85 100 104 190 385 2014-11-26 $61.94 $62.00 5.1% 2.1% 3.1% 5.2% 0.0% 6.6% 0.5% -38.7K -21.6K -2.7K 16.67 97.53 2 25 190 385 2014-11-28 $61.98 $62.00 5.3% 2.0% 3.1% 5.6% 0.0% 5.2% 1.3% -49.8K -67.8K -2.8K 0.00 77.64 0 0 190 410
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