HYD Options History — June 2015

In June 2015, HYD traded between $59.86 and $61.52. ATM implied volatility averaged 8.6%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 3.9% (HV 20d: 4.8%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.28.

Notable Days

  • 2015-06-25: Highest Volume — 233 contracts
  • 2015-06-08: Largest IV drop — 28.3% change
  • 2015-06-10: Highest IV Rank — 53.9%
  • 2015-06-10: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.93$59.86$61.52$61.44$59.90
Max Pain$60.27$60.00$62.00$62.00$60.00
ATM IV8.6%6.7%10.0%7.4%7.5%
Expected Move2.4%1.9%2.9%2.1%2.2%
HV 20d4.8%4.1%6.5%4.1%6.5%
HV 60d4.2%4.0%4.9%4.5%4.9%
IV Rank41.5%25.1%53.9%31.2%31.6%
IV Percentile77.1%32.9%97.6%49.6%47.2%
Term Structure0.5%-1.7%3.9%-0.2%0.3%
VWIV9.2%7.1%10.8%7.1%7.8%
Skew 25d2.6%-2.2%4.6%-1.9%1.7%
Skew 10d1.8%-2.6%6.5%-2.6%2.5%
Call IV 25d6.7%4.4%10.3%8.3%8.6%
Put IV 25d9.3%6.3%13.3%6.3%10.2%
Bid-Ask Spread %91.0757.66162.2590.76162.25
Gamma HHI0.700.570.830.650.57
Net GEX-175.1K-258.2K-51.0K-223.7K-127.9K
Net DEX923.3K686.2K1.1M706.9K1.0M
Net VEX-3.6K-4.3K-3.1K-3.6K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.281.763.111.801.76
Total Volume170.3180233159162
Total OI551369646604412

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$61.44$62.007.4%2.1%4.1%31.2%7.1%-1.9%-0.2%-223.7K706.9K-3.6K1.8090.7657102112492
2015-06-02$61.34$62.007.2%2.1%4.2%29.4%0.0%0.9%2.7%-201.0K826.2K-3.8K0.00115.4500108492
2015-06-03$61.28$62.008.4%2.4%4.2%39.7%8.6%3.0%-1.7%-201.9K902.7K-4.1K1.88117.3554102114492
2015-06-04$61.52$60.009.2%2.4%4.2%47.0%10.8%3.2%0.4%-199.1K686.2K-3.8K1.8886.7854102122492
2015-06-05$61.02$60.009.3%1.9%5.0%48.1%9.9%3.1%0.6%-228.5K907.1K-3.8K2.1062.1754114122492
2015-06-08$61.02$60.006.7%2.4%4.9%25.1%10.4%3.1%0.3%-222.6K1.1M-4.3K2.1061.1954114122497
2015-06-09$61.12$60.008.1%2.0%4.7%36.8%9.2%1.0%0.7%-213.7K987.9K-3.9K2.1088.8354114122497
2015-06-10$60.98$60.0010.0%2.9%4.8%53.9%10.2%2.5%-0.3%-228.1K1.1M-4.2K2.1061.4854114122497
2015-06-11$60.98$60.009.5%2.7%4.8%49.3%9.5%1.9%-0.0%-235.4K1.1M-4.1K2.1062.3654114122497
2015-06-12$60.84$60.009.7%2.8%4.7%50.4%9.7%4.2%-0.3%-249.3K1.1M-3.9K2.1057.6654114122497
2015-06-15$60.80$60.009.6%2.8%4.7%49.8%9.6%3.4%-0.3%-257.4K1.1M-3.3K2.4958.0256140122497
2015-06-16$60.92$60.009.2%2.6%4.8%46.3%9.3%4.2%0.3%-258.2K1.1M-4.1K2.4985.3356140131515
2015-06-17$60.94$60.008.7%2.5%4.8%41.5%8.9%3.4%0.8%-253.7K1.0M-3.4K2.4990.3456140131515
2015-06-18$60.88$60.009.0%2.6%4.8%44.7%9.1%3.4%0.1%-254.3K1.0M-3.3K2.4985.3956140131515
2015-06-19$61.16$60.008.0%2.3%4.7%35.5%8.7%4.4%3.9%-51.0K818.0K-3.3K2.49112.9456140131515
2015-06-22$61.00$60.008.2%2.3%4.7%37.0%9.0%3.7%1.6%-59.7K686.8K-3.1K2.4486.0243104109260
2015-06-23$60.92$60.009.3%2.7%4.6%47.1%9.4%4.6%0.3%-66.6K731.1K-3.2K2.1483.424391109272
2015-06-24$60.88$60.008.0%2.3%4.6%35.6%8.7%3.9%1.8%-69.7K759.4K-3.1K1.9796.4357112109275
2015-06-25$60.88$60.007.8%2.2%4.6%33.3%8.5%3.1%2.4%-84.6K820.3K-3.5K3.1193.4557176109304
2015-06-26$60.72$60.009.7%2.8%4.6%50.0%9.7%2.6%-1.1%-84.0K821.3K-3.8K3.0887.7557176109304
2015-06-29$59.86$60.009.6%2.8%6.4%49.6%9.1%-2.2%-1.5%-81.2K995.1K-3.2K2.68158.0657153110304
2015-06-30$59.90$60.007.5%2.2%6.5%31.6%7.8%1.7%0.3%-127.9K1.0M-3.2K1.76162.2559103108304