HYD Options History — May 2015

In May 2015, HYD traded between $61.38 and $61.84. ATM implied volatility averaged 8.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 4.1% (HV 20d: 4.2%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2015-05-27: Highest Volume — 181 contracts
  • 2015-05-11: Largest IV spike — 38.7% change
  • 2015-05-28: Highest IV Rank — 40.3%
  • 2015-05-26: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.63$61.38$61.84$61.78$61.78
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV8.3%7.2%10.4%7.2%7.8%
Expected Move2.3%2.0%2.5%2.1%2.2%
HV 20d4.2%3.8%4.5%3.9%4.3%
HV 60d5.0%4.3%5.7%5.7%4.4%
IV Rank15.8%10.3%40.3%11.0%34.5%
IV Percentile74.8%50.4%98.0%52.0%65.5%
Term Structure-0.1%-1.5%1.1%-0.5%1.1%
VWIV8.1%5.2%9.5%8.1%8.0%
Skew 25d1.7%-2.5%3.0%1.4%2.1%
Skew 10d1.8%-0.9%4.1%1.3%2.4%
Call IV 25d7.5%6.4%9.4%9.4%7.7%
Put IV 25d9.3%5.7%10.8%10.8%9.7%
Bid-Ask Spread %94.0072.50133.60133.60116.21
Gamma HHI0.660.400.830.710.40
Net GEX-167.1K-213.6K-93.5K-153.1K-93.5K
Net DEX630.5K345.4K859.0K383.9K539.7K
Net VEX-3.7K-4.3K-2.6K-2.9K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.002.121.381.75
Total Volume118.550181126160
Total OI538.8463609466607

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$61.78$62.007.2%2.1%3.9%11.0%8.1%1.4%-0.5%-153.1K383.9K-2.9K1.38133.60537396370
2015-05-04$61.80$62.008.3%2.2%3.9%14.1%0.0%2.0%0.2%-133.8K504.9K-3.4K0.0093.140093370
2015-05-05$61.82$62.008.6%2.3%3.8%15.1%8.0%2.0%-0.2%-169.7K345.4K-2.6K1.2285.18627696370
2015-05-06$61.56$62.009.0%2.3%4.0%16.3%9.0%2.2%0.1%-143.7K639.3K-3.9K1.3484.476283106383
2015-05-07$61.68$62.008.1%2.2%4.1%13.7%8.6%2.5%0.2%-155.1K648.7K-4.1K1.34125.536283106408
2015-05-08$61.84$62.007.2%2.2%4.2%11.2%7.3%2.2%0.0%-155.6K453.6K-3.2K0.0087.0270103408
2015-05-11$61.56$62.0010.0%2.4%4.4%18.9%0.0%1.7%-0.0%-174.0K629.0K-3.8K0.0082.0500109408
2015-05-12$61.56$62.0010.4%2.0%4.4%19.0%7.7%3.0%0.5%-213.6K544.9K-3.5K1.2489.016783113408
2015-05-13$61.50$62.008.2%2.4%4.4%12.6%8.7%1.6%-0.4%-152.6K680.6K-4.0K1.2579.357797113408
2015-05-14$61.62$62.007.9%2.3%4.5%11.8%8.1%1.3%-0.5%-170.8K604.4K-3.8K1.2587.727797133433
2015-05-15$61.64$62.008.2%2.4%4.1%12.6%8.3%1.1%0.4%-182.5K611.5K-3.9K1.1784.617790133433
2015-05-18$61.56$62.008.3%2.4%4.0%13.0%5.2%-2.5%-1.5%-191.8K664.1K-3.9K0.0083.5609104436
2015-05-19$61.42$62.008.4%2.4%4.1%13.1%0.0%1.9%0.2%-176.2K805.5K-4.0K0.0095.3400104440
2015-05-20$61.38$62.008.4%2.4%4.0%13.0%8.9%1.7%-0.1%-174.3K742.5K-4.2K1.9295.8152100112440
2015-05-21$61.68$62.007.8%2.2%4.3%11.6%8.2%1.9%-0.2%-202.8K700.2K-3.9K1.9494.3152100112467
2015-05-22$61.50$62.007.5%2.1%4.3%10.6%7.7%1.8%-0.1%-183.1K859.0K-4.2K1.9497.2352100112467
2015-05-26$61.60$62.008.7%2.5%4.4%14.0%9.5%2.6%-0.5%-170.9K813.8K-4.3K1.7296.0158100112467
2015-05-27$61.66$62.007.4%2.1%4.4%10.3%7.8%2.6%-0.1%-174.4K753.2K-4.2K2.1297.3658123120467
2015-05-28$61.66$62.008.5%2.4%4.5%40.3%8.9%1.9%-0.1%-171.5K685.1K-3.8K2.1272.5058123118491
2015-05-29$61.78$62.007.8%2.2%4.3%34.5%8.0%2.1%1.1%-93.5K539.7K-3.5K1.75116.2158102116491