HYD Options History — July 2015

In July 2015, HYD traded between $59.48 and $60.72. ATM implied volatility averaged 9.2%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.5% (HV 20d: 6.6%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-07-31: Highest Volume — 198 contracts
  • 2015-07-06: Largest IV spike — 36.6% change
  • 2015-07-13: Highest IV Rank — 75.9%
  • 2015-07-07: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.30$59.48$60.72$59.48$60.64
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV9.2%6.9%12.6%9.3%7.5%
Expected Move2.5%2.0%2.8%2.7%2.1%
HV 20d6.6%4.2%7.2%6.8%4.5%
HV 60d5.4%5.1%5.5%5.1%5.4%
IV Rank45.8%25.9%75.9%46.6%31.1%
IV Percentile76.0%29.8%99.6%90.5%40.5%
Term Structure0.2%-0.9%2.1%-0.1%0.8%
VWIV8.7%7.1%10.0%9.3%7.8%
Skew 25d2.9%-1.4%4.4%2.2%1.9%
Skew 10d2.0%-17.9%9.2%2.9%4.1%
Call IV 25d6.9%5.8%9.5%9.5%6.7%
Put IV 25d9.8%7.1%11.7%11.7%8.6%
Bid-Ask Spread %115.6555.56168.46141.85164.37
Gamma HHI0.710.530.850.580.81
Net GEX-101.0K-143.8K-68.3K-102.6K-107.6K
Net DEX911.1K769.4K1.2M1.2M812.8K
Net VEX-3.4K-3.7K-3.0K-3.4K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.781.601.490.78
Total Volume175.455144198172198
Total OI430.591391455415455

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$59.48$60.009.3%2.7%6.8%46.6%9.3%2.2%-0.1%-102.6K1.2M-3.4K1.49141.8569103110305
2015-07-02$59.54$60.007.3%2.1%6.5%29.3%7.1%-1.4%0.3%-105.6K1.1M-3.4K1.59141.6269110105305
2015-07-06$60.10$60.0010.0%2.6%7.2%52.7%9.4%3.3%-0.3%-121.1K1.0M-3.6K1.6077.7369111105311
2015-07-07$60.10$60.0010.0%2.8%7.2%53.0%10.0%4.0%0.1%-115.4K984.2K-3.7K1.5673.4569108105312
2015-07-08$60.08$60.0010.5%2.7%7.1%57.9%9.6%4.1%-0.2%-117.8K1.0M-3.5K1.5659.7469108105311
2015-07-09$60.08$60.0011.9%2.7%7.1%70.0%9.5%4.1%0.1%-116.1K1.0M-3.5K1.5659.0669108105311
2015-07-10$60.10$60.0011.2%2.7%7.1%63.6%9.6%3.6%0.1%-122.2K1.0M-3.5K1.5655.5669108105311
2015-07-13$60.14$60.0012.6%2.6%7.1%75.9%9.3%3.1%-0.0%-123.2K1.0M-3.3K1.0965.496975105311
2015-07-14$60.36$60.0011.9%2.6%7.2%69.8%9.1%3.8%0.1%-143.8K860.8K-3.4K1.0969.466975105313
2015-07-15$60.34$60.008.8%2.5%7.2%42.6%8.9%4.0%-0.0%-133.7K865.6K-3.3K1.0967.486975105313
2015-07-16$60.36$60.008.9%2.5%7.2%43.3%8.9%4.4%-0.3%-131.3K856.0K-3.2K1.0888.917075105313
2015-07-17$60.46$60.008.3%2.4%7.2%38.4%8.4%4.1%-0.3%-80.8K818.9K-3.1K1.0885.857075106313
2015-07-20$60.32$60.008.4%2.4%7.0%39.2%8.5%3.8%0.1%-78.3K860.9K-3.0K0.80101.2010282103288
2015-07-21$60.48$60.007.7%2.2%7.1%33.1%7.7%2.4%0.8%-71.5K869.0K-3.3K0.85161.4110287153296
2015-07-22$60.48$60.008.2%2.3%7.1%37.2%8.2%1.2%0.4%-68.3K813.4K-3.5K0.85164.4710287153301
2015-07-23$60.70$60.009.0%2.6%7.2%44.0%9.0%2.6%-0.9%-77.1K807.5K-3.3K0.85164.2510287153301
2015-07-24$60.70$60.008.6%2.5%7.2%40.6%8.6%1.9%0.1%-70.4K802.1K-3.5K0.84161.8710387154301
2015-07-27$60.72$60.008.8%2.5%7.1%43.0%8.9%2.4%-0.1%-68.6K769.4K-3.6K0.84138.7910387154301
2015-07-28$60.64$60.008.0%2.3%4.8%35.6%8.1%2.7%0.6%-77.1K819.2K-3.4K0.84165.6910387154301
2015-07-29$60.52$60.008.0%2.3%4.9%35.7%8.1%2.7%0.4%-74.9K834.5K-3.3K0.84168.4610387154301
2015-07-30$60.34$60.006.9%2.0%4.2%25.9%7.5%2.9%2.1%-114.6K869.0K-3.3K0.84167.6910387154301
2015-07-31$60.64$60.007.5%2.1%4.5%31.1%7.8%1.9%0.8%-107.6K812.8K-3.2K0.78164.3711187154301