HYD Options History — April 2015

In April 2015, HYD traded between $62.16 and $62.66. ATM implied volatility averaged 7.4%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 3.8% (HV 20d: 3.6%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-04-06: Highest Volume — 136 contracts
  • 2015-04-30: Largest IV drop — 25.1% change
  • 2015-04-07: Highest IV Rank — 14.7%
  • 2015-04-06: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.48$62.16$62.66$62.48$62.16
Max Pain$63.24$62.00$64.00$62.00$62.00
ATM IV7.4%5.6%8.5%8.1%5.6%
Expected Move2.1%1.6%2.6%2.3%1.6%
HV 20d3.6%2.8%5.4%5.3%3.3%
HV 60d5.9%5.6%6.0%6.0%5.6%
IV Rank11.6%6.6%14.7%13.7%6.6%
IV Percentile58.9%19.4%83.7%77.4%19.4%
Term Structure0.4%-0.7%2.4%0.1%2.4%
VWIV6.0%4.8%8.8%8.0%4.9%
Skew 25d1.6%0.3%3.8%3.4%1.8%
Skew 10d2.2%-3.3%8.2%8.2%1.9%
Call IV 25d6.6%5.6%9.4%7.2%8.2%
Put IV 25d8.2%6.5%10.6%10.6%10.0%
Bid-Ask Spread %104.4765.09157.94150.29155.09
Gamma HHI0.480.300.650.530.30
Net GEX-20.6K-70.9K34.5K-45.5K-31.4K
Net DEX70.6K-79.6K222.8K47.9K198.0K
Net VEX-2.1K-3.3K-1.7K-2.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.471.780.471.60
Total Volume114.9050136115119
Total OI455.381432471432466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$62.48$62.008.1%2.3%5.3%13.7%8.0%3.4%0.1%-45.5K47.9K-2.4K0.47150.297837108324
2015-04-02$62.38$64.007.8%2.4%5.4%12.7%4.8%3.8%-0.1%-40.8K79.9K-2.7K0.4770.097837108324
2015-04-06$62.36$64.007.3%2.6%4.1%11.5%5.1%0.6%-0.3%-44.2K222.8K-3.3K0.7565.707858108324
2015-04-07$62.48$64.008.5%2.4%4.1%14.7%4.8%1.4%-0.1%-51.7K206.3K-3.3K0.7574.087858108349
2015-04-08$62.50$64.008.1%2.3%3.9%13.7%0.0%0.9%-0.0%-70.9K87.9K-2.0K0.0065.090088349
2015-04-09$62.36$64.007.6%2.2%4.0%12.4%5.4%0.3%-0.2%-48.9K44.8K-2.1K0.9166.886458108349
2015-04-10$62.46$64.007.7%2.2%3.9%12.6%5.1%0.9%0.1%-39.2K25.4K-2.2K0.9188.316458110349
2015-04-13$62.48$64.007.7%2.2%3.9%12.6%5.4%0.8%0.4%11.9K-20.7K-1.8K0.9191.136458110349
2015-04-14$62.52$64.007.8%2.2%3.7%12.8%5.3%1.1%0.2%-5.7K-33.6K-1.8K0.91157.946458110349
2015-04-15$62.48$64.007.6%2.2%3.7%12.3%5.5%0.9%0.3%7.6K-33.3K-1.8K0.9188.116458110349
2015-04-16$62.38$64.007.5%2.1%2.8%11.8%5.9%0.4%0.6%34.5K-26.7K-1.7K0.9192.976458110349
2015-04-17$62.66$64.006.9%2.0%3.2%10.1%5.5%2.4%1.2%-1.7K-79.6K-1.7K0.91114.686458110349
2015-04-20$62.66$64.007.3%2.1%3.2%11.5%5.8%2.4%0.5%-2.3K41.6K-1.7K1.7890.66397090348
2015-04-21$62.54$64.006.9%2.0%3.3%10.2%6.7%2.3%0.9%-18.2K113.7K-1.9K1.42108.18497090365
2015-04-22$62.38$62.007.5%2.2%3.1%12.1%7.2%0.6%-0.2%-10.6K91.3K-1.9K1.4293.434970100365
2015-04-23$62.56$62.008.3%2.4%3.2%14.2%8.8%0.3%-0.7%-65.6K184.3K-2.6K1.42101.204970100365
2015-04-24$62.62$62.006.3%1.8%3.1%8.5%6.3%1.9%1.4%-28668.2K-1.9K1.39118.325070100365
2015-04-27$62.60$62.006.8%2.0%2.9%10.0%6.8%2.1%0.6%-2.5K78.5K-1.9K1.49119.295075101365
2015-04-28$62.50$62.006.3%1.8%2.9%8.5%6.1%2.7%1.7%-2.4K88.1K-1.9K1.30127.275065101370
2015-04-29$62.46$62.007.5%2.1%2.9%11.9%7.5%2.6%-0.4%-5.4K97.7K-1.8K1.44155.224666101370
2015-04-30$62.16$62.005.6%1.6%3.3%6.6%4.9%1.8%2.4%-31.4K198.0K-2.1K1.60155.09467396370