HYD Options History — March 2015

In March 2015, HYD traded between $61.22 and $62.84. ATM implied volatility averaged 7.7%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.7% (HV 20d: 7.0%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.39.

Notable Days

2015-03-18: Highest Volume — 315 contracts
2015-03-25: Largest IV spike — 33.8% change
2015-03-17: Highest IV Rank — 16.0%
2015-03-17: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.16	$61.22	$62.84	$62.02	$62.62
Max Pain	$61.82	$60.00	$62.00	$62.00	$62.00
ATM IV	7.7%	5.7%	8.9%	7.0%	7.4%
Expected Move	2.2%	1.6%	2.6%	2.0%	2.1%
HV 20d	7.0%	5.3%	8.1%	8.0%	5.3%
HV 60d	6.0%	5.8%	6.2%	5.8%	6.0%
IV Rank	12.5%	7.0%	16.0%	10.5%	11.7%
IV Percentile	68.6%	26.6%	89.7%	57.1%	59.5%
Term Structure	0.6%	-0.3%	3.4%	0.2%	1.3%
VWIV	8.2%	7.0%	10.3%	7.5%	7.0%
Skew 25d	0.8%	-1.3%	3.0%	-0.9%	0.7%
Skew 10d	1.1%	-1.6%	5.3%	-1.3%	3.5%
Call IV 25d	7.0%	5.8%	9.2%	9.2%	7.2%
Put IV 25d	7.9%	5.8%	10.4%	8.2%	7.9%
Bid-Ask Spread %	105.88	71.45	168.92	127.58	116.62
Gamma HHI	0.52	0.36	0.83	0.36	0.47
Net GEX	-119.9K	-232.7K	26.3K	-130.0K	-38.0K
Net DEX	599.7K	-36.5K	1.5M	680.8K	-19.6K
Net VEX	-3.9K	-6.7K	-1.5K	-4.6K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.00	3.82	3.47	0.47
Total Volume	84.364	0	315	206	115
Total OI	728.091	363	913	763	432

Daily Data (22 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
2015-03-02	$62.02	$62.00	7.0%	2.0%	8.0%	10.5%	7.5%	-0.9%	0.2%	-130.0K	680.8K	-4.6K	3.47	127.58	46	160	200	563
2015-03-03	$61.74	$62.00	8.7%	2.5%	8.1%	15.2%	8.6%	-0.7%	-0.3%	-202.4K	1.1M	-6.2K	3.47	98.92	46	160	200	689
2015-03-04	$61.66	$62.00	7.3%	2.1%	7.4%	11.4%	7.1%	-1.3%	-0.3%	-220.9K	1.3M	-6.5K	3.82	126.47	46	176	200	689
2015-03-05	$61.76	$62.00	7.8%	2.4%	7.3%	12.7%	8.1%	1.8%	0.1%	-217.0K	1.3M	-6.7K	3.82	73.91	46	176	200	707
2015-03-06	$61.22	$62.00	7.8%	2.3%	7.8%	12.7%	7.3%	1.0%	0.7%	-232.7K	1.5M	-6.0K	3.45	77.54	46	159	200	707
2015-03-09	$61.28	$62.00	6.8%	2.3%	7.8%	9.9%	9.1%	0.9%	0.1%	-220.9K	1.5M	-5.9K	0.00	86.45	7	0	199	707
2015-03-10	$61.58	$60.00	7.7%	2.3%	7.9%	12.5%	7.4%	1.6%	0.7%	-220.4K	1.3M	-5.9K	0.00	97.92	20	0	206	707
2015-03-11	$61.68	$60.00	8.2%	2.3%	7.4%	13.8%	0.0%	1.2%	0.3%	-211.6K	1.2M	-5.8K	0.00	89.05	0	0	206	707
2015-03-12	$61.84	$62.00	6.6%	1.9%	7.4%	9.3%	0.0%	-0.8%	1.8%	-195.1K	1.1M	-5.7K	0.00	76.72	0	0	201	707
2015-03-13	$61.92	$62.00	7.5%	2.1%	7.0%	11.9%	0.0%	-0.6%	0.7%	-231.2K	1.1M	-6.3K	0.00	81.31	0	0	201	707
2015-03-16	$62.16	$62.00	7.1%	2.0%	6.8%	11.0%	0.0%	1.4%	1.0%	-156.0K	337.0K	-2.1K	0.00	82.39	5	0	199	707
2015-03-17	$62.24	$62.00	8.9%	2.6%	6.8%	16.0%	8.6%	-0.1%	-0.1%	-179.0K	823.0K	-5.2K	0.33	71.45	3	1	204	707
2015-03-18	$62.66	$62.00	8.0%	2.3%	6.7%	13.3%	0.0%	1.7%	0.4%	-95.8K	-13.5K	-1.7K	0.00	112.21	0	315	203	708
2015-03-19	$62.54	$62.00	8.6%	2.5%	6.6%	15.2%	0.0%	1.8%	-0.1%	-101.7K	30.0K	-1.7K	0.00	93.43	0	0	203	570
2015-03-20	$62.58	$62.00	8.0%	2.3%	6.6%	13.4%	0.0%	1.5%	0.8%	-66.9K	130.3K	-3.1K	1.00	100.71	5	5	203	570
2015-03-23	$62.64	$62.00	7.2%	2.1%	6.5%	11.1%	0.0%	2.5%	1.5%	820	108.4K	-1.5K	0.81	125.67	35	28	44	319
2015-03-24	$62.84	$62.00	5.7%	1.6%	6.6%	7.0%	0.0%	-0.2%	3.4%	11.7K	-12.2K	-1.7K	0.59	125.79	17	10	73	320
2015-03-25	$62.66	$62.00	7.7%	2.2%	6.7%	12.5%	0.0%	1.6%	0.7%	14.2K	-8.2K	-1.8K	0.00	120.86	0	0	86	320
2015-03-26	$62.52	$62.00	8.8%	2.5%	6.6%	15.7%	10.3%	1.1%	-0.1%	12.3K	15.0K	-1.8K	0.57	159.64	63	36	86	320
2015-03-27	$62.70	$62.00	8.1%	2.3%	6.4%	13.5%	0.0%	1.6%	1.0%	16.2K	-20.0K	-1.9K	0.00	168.92	15	0	93	320
2015-03-30	$62.60	$62.00	8.7%	2.5%	5.6%	15.2%	8.6%	3.0%	0.2%	26.3K	-36.5K	-2.0K	0.47	115.85	78	37	108	320
2015-03-31	$62.62	$62.00	7.4%	2.1%	5.3%	11.7%	7.0%	0.7%	1.3%	-38.0K	-19.6K	-2.2K	0.47	116.62	78	37	108	324