HYD Options History — February 2015

In February 2015, HYD traded between $61.56 and $63.02. 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 1.7% (HV 20d: 6.4%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.21.

Notable Days

  • 2015-02-17: Highest Volume — 351 contracts
  • 2015-02-23: Largest IV spike — 26.1% change
  • 2015-02-18: Highest IV Rank — 18.5%
  • 2015-02-18: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.24$61.56$63.02$63.02$62.56
Max Pain$62.32$62.00$64.00$64.00$62.00
ATM IV8.1%6.1%9.8%6.1%8.2%
Expected Move2.3%1.8%2.8%1.8%2.3%
HV 20d6.4%3.5%7.7%3.5%7.7%
HV 60d5.1%4.0%5.6%4.0%5.5%
IV Rank13.6%8.1%18.5%8.1%13.8%
IV Percentile75.1%40.9%96.4%40.9%79.8%
Term Structure0.2%-0.7%2.2%2.2%0.3%
VWIV7.4%5.1%10.6%6.8%7.8%
Skew 25d1.7%-1.6%6.2%0.5%4.4%
Skew 10d2.8%-0.5%9.6%1.5%7.8%
Call IV 25d6.9%4.9%7.9%5.1%7.1%
Put IV 25d8.6%5.6%14.0%5.6%11.5%
Bid-Ask Spread %95.5675.85125.06119.44121.18
Gamma HHI0.450.350.570.560.53
Net GEX-35.8K-119.0K61.3K61.3K-31.5K
Net DEX318.2K-344.3K850.8K-344.3K260.4K
Net VEX-3.4K-5.0K-2.3K-3.4K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.392.920.561.62
Total Volume182.36803510121
Total OI708.684643792677743

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$63.02$64.006.1%1.8%3.5%8.1%0.0%0.5%2.2%61.3K-344.3K-3.4K0.00119.4400273404
2015-02-03$62.42$64.007.4%2.1%5.0%11.8%6.8%3.2%0.9%8.1K-51.3K-3.3K0.5697.96190106273404
2015-02-04$62.62$64.007.7%2.2%5.1%12.6%7.1%1.6%-0.0%19.2K-124.8K-3.2K0.54122.41192103273404
2015-02-05$62.64$62.008.0%2.3%4.9%13.5%5.1%2.0%0.0%29.7K-163.0K-3.3K0.5479.55192104274405
2015-02-06$62.40$62.006.5%2.3%5.1%9.1%5.3%0.9%0.1%9.5K-8.8K-3.9K0.5989.16174104274408
2015-02-09$62.06$62.006.9%2.2%5.3%10.3%6.5%-0.9%-0.2%-28.7K227.5K-3.4K0.5975.85174104274408
2015-02-10$61.56$62.008.6%2.4%5.9%15.0%7.1%0.9%-0.4%-33.0K443.5K-3.2K0.3982.0517468274408
2015-02-11$61.66$62.007.2%2.1%6.0%11.1%6.9%1.8%1.2%-34.1K418.6K-3.1K0.4391.6216571274418
2015-02-12$62.06$62.007.9%2.3%6.5%13.1%6.3%1.9%-0.2%-62.5K542.5K-3.3K0.4083.6317771220423
2015-02-13$61.70$62.007.8%2.2%6.8%12.7%6.7%-1.6%-0.5%-79.3K671.0K-3.2K0.4084.8117771230423
2015-02-17$61.78$62.008.8%2.5%6.8%15.6%7.2%1.7%0.1%-66.3K629.1K-3.2K0.9885.84177174230423
2015-02-18$62.24$62.009.8%2.8%7.4%18.5%10.6%3.7%-0.7%-96.1K684.4K-4.9K0.7794.639775230545
2015-02-19$62.04$62.009.1%2.6%7.5%16.6%0.0%2.8%-0.0%-119.0K850.8K-5.0K0.0084.2600229563
2015-02-20$62.22$62.007.6%2.2%7.5%12.2%0.0%0.3%1.6%-112.7K758.1K-5.0K0.00103.4000229563
2015-02-23$62.38$62.009.6%2.7%7.6%17.8%10.4%0.6%-0.6%-40.0K313.3K-2.6K2.9283.082675177563
2015-02-24$62.52$62.008.9%2.5%7.6%15.8%8.1%1.0%-0.1%-32.9K269.2K-2.5K2.8786.352675177563
2015-02-25$62.50$62.009.1%2.6%7.6%16.4%8.8%1.0%-0.5%-31.2K270.5K-2.5K2.87105.302675180563
2015-02-26$62.26$62.008.5%2.4%7.4%14.7%8.2%6.2%0.0%-40.9K399.9K-2.3K2.87125.062675180563
2015-02-27$62.56$62.008.2%2.3%7.7%13.8%7.8%4.4%0.3%-31.5K260.4K-2.4K1.62121.184675180563