HYD Options History — January 2015

In January 2015, HYD traded between $61.88 and $63.24. ATM implied volatility averaged 8.1%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.9% (HV 20d: 4.2%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2015-01-22: Highest Volume — 334 contracts
2015-01-09: Largest IV spike — 43.2% change
2015-01-13: Highest IV Rank — 18.6%
2015-01-20: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.60	$61.88	$63.24	$61.88	$63.24
Max Pain	$62.00	$62.00	$62.00	$62.00	$62.00
ATM IV	8.1%	6.3%	9.9%	7.7%	7.4%
Expected Move	2.3%	2.1%	2.6%	2.1%	2.1%
HV 20d	4.2%	3.1%	4.8%	4.7%	3.1%
HV 60d	4.0%	3.8%	4.2%	4.1%	3.9%
IV Rank	13.6%	8.5%	18.6%	12.5%	11.7%
IV Percentile	72.8%	42.9%	94.0%	70.2%	60.7%
Term Structure	0.0%	-1.2%	2.8%	-0.8%	2.8%
VWIV	6.8%	4.5%	8.7%	7.8%	4.5%
Skew 25d	1.5%	-1.7%	5.2%	3.5%	5.2%
Skew 10d	0.8%	-2.1%	5.2%	5.2%	2.1%
Call IV 25d	6.7%	5.2%	8.8%	7.5%	5.2%
Put IV 25d	8.1%	5.9%	11.0%	11.0%	10.4%
Bid-Ask Spread %	83.83	48.16	137.13	48.16	118.46
Gamma HHI	0.49	0.32	0.58	0.38	0.49
Net GEX	16.7K	-59.1K	59.3K	-58.8K	51.2K
Net DEX	-164.2K	-617.7K	297.2K	297.2K	-617.7K
Net VEX	-3.0K	-4.0K	-2.5K	-2.9K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	1.91	1.91	0.56
Total Volume	181.85	0	334	184	296
Total OI	604.55	489	695	489	695

Daily Data (20 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
2015-01-02	$61.88	$0.00	7.7%	2.1%	4.7%	12.5%	0.0%	3.5%	-0.8%	-58.8K	297.2K	-2.9K	1.91	48.16	63	121	126	363
2015-01-05	$62.06	$0.00	6.6%	2.2%	4.7%	9.5%	7.8%	-0.4%	-0.2%	-59.1K	244.6K	-2.9K	0.00	69.03	18	0	126	365
2015-01-06	$62.20	$62.00	8.3%	2.3%	4.7%	14.2%	0.0%	0.4%	-0.3%	-37.5K	158.1K	-3.0K	0.00	70.45	18	0	144	365
2015-01-07	$62.46	$62.00	6.3%	2.4%	4.8%	8.5%	0.0%	0.1%	-0.9%	-9.5K	83.3K	-3.1K	0.00	64.86	29	0	162	365
2015-01-08	$62.48	$62.00	6.6%	2.4%	4.8%	9.4%	8.4%	0.2%	-1.0%	-5.4K	-164.4K	-2.6K	1.02	65.23	119	121	191	365
2015-01-09	$62.64	$62.00	9.4%	2.4%	4.8%	17.4%	8.4%	1.0%	-1.2%	8.8K	-252.2K	-2.5K	1.02	64.42	119	121	191	365
2015-01-12	$62.72	$62.00	9.0%	2.3%	4.8%	16.2%	8.7%	-1.7%	0.7%	10.0K	-297.6K	-2.6K	0.68	73.98	177	121	191	365
2015-01-13	$62.72	$62.00	9.9%	2.3%	4.8%	18.6%	6.2%	1.5%	0.4%	26.8K	-273.0K	-2.8K	0.68	67.88	177	121	226	365
2015-01-14	$62.72	$62.00	8.2%	2.3%	4.7%	13.8%	8.7%	-1.5%	0.3%	24.4K	-279.7K	-2.8K	0.68	72.04	177	121	226	365
2015-01-15	$62.68	$62.00	8.4%	2.4%	4.7%	14.5%	6.6%	1.2%	0.6%	24.5K	-277.6K	-2.7K	0.68	68.55	177	121	226	365
2015-01-16	$62.68	$62.00	7.8%	2.2%	4.1%	12.9%	0.0%	2.8%	0.7%	23.3K	-241.8K	-2.6K	0.00	72.05	0	0	226	363
2015-01-20	$62.56	$62.00	9.2%	2.6%	4.2%	16.7%	0.0%	1.0%	-0.4%	33.9K	-123.3K	-3.1K	0.36	127.31	86	31	226	338
2015-01-21	$62.54	$62.00	8.6%	2.5%	4.2%	15.2%	0.0%	0.7%	-0.0%	43.0K	-183.3K	-3.4K	0.00	70.27	0	28	286	368
2015-01-22	$62.54	$62.00	8.1%	2.3%	4.2%	13.5%	6.7%	2.6%	0.1%	36.9K	-134.4K	-3.3K	0.77	72.12	188	146	286	396
2015-01-23	$62.62	$62.00	8.3%	2.4%	3.5%	14.2%	6.4%	1.8%	-0.0%	46.3K	-208.3K	-3.4K	0.77	103.07	188	146	286	397
2015-01-26	$62.60	$62.00	8.2%	2.4%	3.3%	13.9%	0.0%	2.7%	-0.1%	34.8K	-120.6K	-3.2K	1.78	98.59	5	8	286	397
2015-01-27	$62.72	$62.00	7.7%	2.2%	3.3%	12.5%	0.0%	-0.9%	-0.1%	26.3K	-216.4K	-3.0K	0.00	137.13	1	0	290	404
2015-01-28	$63.06	$62.00	8.1%	2.3%	3.3%	13.6%	4.7%	4.8%	0.2%	59.3K	-390.9K	-4.0K	0.56	107.81	191	106	291	404
2015-01-29	$62.98	$62.00	7.8%	2.2%	3.3%	12.9%	4.9%	4.1%	-0.1%	53.5K	-285.4K	-4.0K	0.56	105.26	190	106	291	404
2015-01-30	$63.24	$62.00	7.4%	2.1%	3.1%	11.7%	4.5%	5.2%	2.8%	51.2K	-617.7K	-2.9K	0.56	118.46	190	106	291	404