HYD Options History — August 2015

In August 2015, HYD traded between $59.50 and $60.82. ATM implied volatility averaged 21.1%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 16.8% (HV 20d: 4.3%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-08-13: Highest Volume — 243 contracts
  • 2015-08-24: Largest IV spike — 789.5% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.35$59.50$60.82$60.56$60.02
Max Pain$61.71$60.00$62.00$60.00$62.00
ATM IV21.1%6.9%80.9%6.9%40.1%
Expected Move6.1%2.0%23.2%2.0%11.5%
HV 20d4.3%3.3%6.2%3.3%6.2%
HV 60d5.5%5.3%5.9%5.4%5.7%
IV Rank51.0%25.9%100.0%25.9%46.9%
IV Percentile79.4%29.8%100.0%29.8%98.4%
Term Structure-4.7%-25.9%3.9%2.3%3.9%
VWIV21.7%6.4%69.3%6.4%58.7%
Skew 25d-4.1%-86.4%5.0%1.4%-7.7%
Skew 10d-4.6%-86.4%5.8%4.8%-19.8%
Call IV 25d24.5%5.4%98.5%6.8%61.4%
Put IV 25d20.4%8.1%56.9%8.1%53.7%
Bid-Ask Spread %149.66102.22193.65168.30192.30
Gamma HHI0.430.330.520.500.36
Net GEX-60.8K-102.1K-10.3K-87.1K-47.6K
Net DEX654.8K439.9K893.5K751.5K516.9K
Net VEX-3.7K-4.9K-3.0K-3.8K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.7212.0012.001.18
Total Volume171.61972437168
Total OI481.095443501483501

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$60.56$60.006.9%2.0%3.3%25.9%6.4%1.4%2.3%-87.1K751.5K-3.8K12.00168.3016182301
2015-08-04$60.30$60.008.3%2.4%3.7%37.9%8.3%0.9%-0.1%-92.0K893.5K-3.0K0.73168.9011080182295
2015-08-05$60.28$60.007.6%2.2%3.7%31.7%7.6%2.5%0.8%-87.2K778.1K-3.7K0.72170.6511079182295
2015-08-06$60.34$62.009.1%2.5%3.7%45.4%8.1%3.9%-0.1%-87.4K866.6K-3.4K0.72104.3011079182299
2015-08-07$60.54$62.007.5%2.4%3.8%31.1%7.2%3.7%0.5%-96.7K763.3K-3.6K0.78129.3510885182299
2015-08-10$60.48$62.008.2%2.3%3.9%37.6%7.3%3.6%0.8%-102.1K771.0K-3.4K0.78102.2210885180300
2015-08-11$60.64$62.007.5%2.5%3.8%30.9%0.0%5.0%-0.3%-77.2K710.7K-3.6K0.00130.16050180300
2015-08-12$60.52$62.009.7%2.8%3.8%50.3%8.2%4.3%-1.0%-74.1K590.9K-3.2K1.15122.62108125180263
2015-08-13$60.56$62.009.8%2.8%3.8%50.9%8.1%4.3%-1.4%-75.8K591.7K-3.0K1.25116.35108135180263
2015-08-14$60.64$62.008.8%2.5%3.8%56.1%7.4%4.4%-0.3%-69.9K627.4K-3.3K1.43108.2491129180278
2015-08-17$60.70$62.008.8%2.5%3.7%55.8%7.4%4.4%-0.2%-64.2K598.0K-3.3K1.31131.1599129195277
2015-08-18$60.64$62.009.2%2.6%3.6%60.8%6.7%2.5%-0.3%-59.3K564.2K-3.4K1.09129.9699108203277
2015-08-19$60.82$62.009.1%2.6%3.8%59.7%0.0%3.0%-0.4%-62.1K580.5K-3.6K0.00137.15013203292
2015-08-20$60.72$62.009.3%2.7%3.6%61.4%6.8%3.0%-0.5%-60.4K563.6K-3.7K1.09137.7999107203289
2015-08-21$60.64$62.009.1%2.6%3.7%59.5%7.1%1.9%-0.3%-67.1K585.6K-3.6K1.17130.7592107203289
2015-08-24$59.94$62.0080.9%23.2%5.5%100.0%69.3%-86.4%-25.9%-16.0K760.6K-3.0K1.06193.659197205284
2015-08-25$59.80$62.0029.5%8.5%5.5%33.2%52.5%-11.0%-19.4%-10.3K653.7K-4.1K1.29190.467799205289
2015-08-26$59.80$62.0052.7%15.1%5.5%63.3%42.3%-9.5%-17.3%-10.4K579.5K-4.4K1.29192.887799201291
2015-08-27$59.50$62.0054.5%15.6%5.7%65.7%48.7%-10.3%-18.4%-14.2K562.8K-4.4K1.18192.507791201291
2015-08-28$59.98$62.0055.6%15.9%6.2%67.1%43.9%-10.4%-21.7%-14.9K439.9K-4.9K1.18193.107791201300
2015-08-31$60.02$62.0040.1%11.5%6.2%46.9%58.7%-7.7%3.9%-47.6K516.9K-4.6K1.18192.307791201300