HYD Options History — September 2015

In September 2015, HYD traded between $59.80 and $61.26. ATM implied volatility averaged 45.6%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 39.7% (HV 20d: 5.9%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.71.

Notable Days

2015-09-29: Highest Volume — 233 contracts
2015-09-03: Largest IV spike — 270.1% change
2015-09-04: Highest IV Rank — 75.5%
2015-09-30: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.60	$59.80	$61.26	$59.80	$61.14
Max Pain	$60.19	$60.00	$62.00	$62.00	$60.00
ATM IV	45.6%	16.1%	62.1%	40.3%	60.8%
Expected Move	12.3%	4.6%	17.4%	11.6%	17.4%
HV 20d	5.9%	3.6%	6.8%	6.1%	3.6%
HV 60d	5.6%	4.7%	6.0%	5.8%	4.7%
IV Rank	54.1%	15.8%	75.5%	47.2%	73.9%
IV Percentile	97.5%	96.0%	99.6%	98.4%	99.2%
Term Structure	-17.2%	-42.2%	16.7%	-13.7%	-42.2%
VWIV	42.9%	22.3%	58.1%	57.8%	33.9%
Skew 25d	3.9%	-13.8%	11.8%	-9.8%	-13.8%
Skew 10d	5.8%	-0.4%	12.5%	-0.4%	11.3%
Call IV 25d	48.3%	15.5%	65.8%	63.2%	65.8%
Put IV 25d	52.2%	17.5%	74.8%	53.4%	52.0%
Bid-Ask Spread %	195.35	176.44	197.64	189.71	196.00
Gamma HHI	0.40	0.33	0.56	0.34	0.37
Net GEX	-19.0K	-85.5K	13.2K	-25.8K	-6.9K
Net DEX	214.9K	-96.0K	509.1K	313.5K	236.4K
Net VEX	-3.8K	-4.7K	-2.3K	-4.6K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	1.25	3.66	1.27	3.42
Total Volume	148.81	0	233	166	233
Total OI	433	310	501	501	390

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-09-01	$59.80	$62.00	40.3%	11.6%	6.1%	47.2%	57.8%	-9.8%	-13.7%	-25.8K	313.5K	-4.6K	1.27	189.71	73	93	201	300
2015-09-02	$59.88	$62.00	16.1%	4.6%	6.1%	15.8%	22.3%	2.0%	16.7%	-76.0K	380.1K	-4.2K	1.27	176.44	73	93	201	297
2015-09-03	$60.16	$60.00	59.5%	10.0%	6.4%	72.2%	34.7%	2.7%	-4.9%	-15.3K	404.0K	-4.6K	1.27	196.75	73	93	201	297
2015-09-04	$60.42	$60.00	62.1%	10.1%	6.5%	75.5%	35.3%	3.0%	-5.0%	-16.0K	368.8K	-4.7K	1.27	196.89	73	93	201	297
2015-09-08	$60.24	$60.00	43.5%	10.4%	6.5%	51.3%	0.0%	3.1%	-5.5%	-20.4K	379.1K	-4.4K	0.00	196.67	0	0	201	297
2015-09-09	$60.40	$60.00	36.5%	10.5%	6.5%	42.3%	36.6%	3.4%	-6.5%	-21.1K	369.6K	-4.4K	1.27	196.64	73	93	201	297
2015-09-10	$60.20	$60.00	37.2%	10.7%	6.6%	43.2%	37.2%	2.9%	-10.2%	-42.3K	437.6K	-4.2K	1.27	196.64	73	93	201	297
2015-09-11	$60.34	$60.00	37.1%	10.6%	6.7%	43.1%	37.4%	3.2%	-9.3%	-23.5K	307.2K	-4.3K	1.27	196.64	73	93	201	297
2015-09-14	$60.28	$60.00	38.1%	10.9%	6.6%	44.4%	37.9%	2.7%	-7.7%	-25.5K	390.1K	-4.0K	1.25	196.78	73	91	201	297
2015-09-15	$60.34	$60.00	38.7%	11.1%	6.6%	45.2%	0.0%	3.4%	-10.3%	-79.4K	328.4K	-3.8K	0.00	196.66	0	0	201	293
2015-09-16	$60.34	$60.00	39.4%	11.3%	6.6%	46.0%	39.7%	3.4%	-23.5%	-28.7K	509.1K	-3.5K	1.25	196.63	73	91	201	293
2015-09-17	$60.58	$60.00	40.1%	11.5%	6.7%	47.0%	40.1%	3.3%	-13.8%	-85.5K	218.2K	-3.5K	1.25	196.71	73	91	201	293
2015-09-18	$60.76	$60.00	39.8%	11.4%	6.8%	46.6%	39.5%	3.9%	-33.3%	13.2K	411.1K	-2.3K	1.28	196.64	71	91	201	293
2015-09-21	$60.80	$60.00	51.5%	14.8%	6.8%	61.8%	50.8%	6.9%	-19.2%	9.2K	-68.3K	-3.4K	1.69	197.01	45	76	160	155
2015-09-22	$60.90	$60.00	44.2%	12.7%	5.2%	52.3%	40.7%	7.1%	-14.5%	9.9K	-83.3K	-3.3K	1.69	193.71	45	76	160	150
2015-09-23	$61.14	$60.00	51.5%	14.8%	5.1%	61.7%	50.7%	9.4%	-26.4%	10.2K	-93.4K	-3.3K	1.69	195.98	45	76	160	150
2015-09-24	$61.20	$60.00	53.0%	15.2%	5.1%	63.8%	52.9%	10.9%	-28.2%	8.7K	-89.3K	-3.3K	1.69	197.64	45	76	160	150
2015-09-25	$61.26	$60.00	52.6%	15.1%	4.6%	63.2%	53.5%	11.6%	-29.6%	8.0K	-96.0K	-3.3K	1.42	197.24	54	76	160	150
2015-09-28	$61.16	$60.00	56.4%	16.2%	4.0%	68.1%	56.5%	11.8%	-34.1%	8.9K	-83.6K	-3.2K	3.66	197.24	49	180	160	150
2015-09-29	$61.18	$60.00	59.0%	16.9%	4.0%	71.5%	58.1%	11.2%	-40.4%	-803	-26.1K	-3.8K	3.42	197.62	53	180	162	215
2015-09-30	$61.14	$60.00	60.8%	17.4%	3.6%	73.9%	33.9%	-13.8%	-42.2%	-6.9K	236.4K	-3.6K	3.42	196.00	53	180	175	215