HYD Options History — October 2015

In October 2015, HYD traded between $61.02 and $61.76. ATM implied volatility averaged 57.0%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 54.1% (HV 20d: 2.9%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.40.

Notable Days

  • 2015-10-21: Highest Volume — 234 contracts
  • 2015-10-05: Largest IV spike — 112.8% change
  • 2015-10-07: Highest IV Rank — 100.0%
  • 2015-10-01: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.44$61.02$61.76$61.02$61.76
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV57.0%30.0%142.4%60.0%38.9%
Expected Move9.8%7.1%17.2%17.2%11.2%
HV 20d2.9%2.4%3.8%3.8%2.4%
HV 60d4.6%4.4%4.7%4.7%4.5%
IV Rank49.9%18.3%100.0%72.8%24.8%
IV Percentile91.7%84.5%100.0%98.8%88.9%
Term Structure-8.0%-42.9%26.8%-42.9%-10.4%
VWIV61.2%60.0%62.4%60.0%62.4%
Skew 25d19.9%-0.9%51.1%13.7%51.1%
Skew 10d28.2%7.9%55.0%13.7%54.3%
Call IV 25d27.8%10.1%67.5%66.0%15.7%
Put IV 25d47.6%25.7%79.7%79.7%66.8%
Bid-Ask Spread %196.25190.60197.62197.62196.15
Gamma HHI0.460.340.870.370.34
Net GEX15.8K-6.4K61.5K-5.9K-6.4K
Net DEX-17.9K-238.0K242.9K242.9K11.2K
Net VEX-3.0K-4.0K-1.4K-3.7K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.403.343.443.423.44
Total Volume221.1820234233234
Total OI391.364386396390396

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$61.02$60.0060.0%17.2%3.8%72.8%60.0%13.7%-42.9%-5.9K242.9K-3.7K3.42197.6253180175215
2015-10-02$61.24$60.0036.1%10.3%3.7%41.4%62.4%11.1%5.2%-2.8K172.5K-4.0K3.42197.5853180175215
2015-10-05$61.20$0.0076.8%8.0%3.5%94.6%0.0%7.2%-11.0%681-97.3K-3.8K0.00196.6700175215
2015-10-06$61.24$0.0080.5%8.1%3.2%99.5%0.0%7.5%-11.8%106-127.5K-3.8K3.37196.6653177175215
2015-10-07$61.26$0.0086.2%8.2%3.1%100.0%0.0%8.0%-11.0%762-95.7K-3.7K3.37196.6753177175215
2015-10-08$61.18$0.0090.1%7.1%2.9%100.0%0.0%9.2%26.8%2.0K-186.0K-3.6K3.37190.6053177175215
2015-10-09$61.28$0.0096.0%8.4%2.8%100.0%0.0%7.7%-11.3%984-86.9K-3.7K3.37197.0353177175215
2015-10-12$61.36$0.00125.3%8.6%2.8%100.0%0.0%0.8%-11.6%518-90.4K-3.6K3.37196.6153177175215
2015-10-13$61.38$0.00142.4%8.5%2.8%100.0%0.0%0.2%-11.9%478-95.0K-3.6K3.37196.6053177175215
2015-10-14$61.44$0.0030.0%8.6%2.7%18.3%0.0%-0.9%-11.6%-1.4K-99.2K-3.6K3.37195.8853177175215
2015-10-15$61.30$0.0030.3%8.7%2.7%18.6%0.0%1.9%-10.1%46.6K98.1K-2.4K3.37197.3853177175215
2015-10-16$61.40$0.0031.4%9.0%2.6%19.4%0.0%16.5%-12.6%40.8K-238.0K-2.7K3.37197.4053177175215
2015-10-19$61.36$0.0035.7%10.2%2.6%22.5%0.0%35.2%-12.7%42.9K-193.7K-2.7K3.34197.5253176175211
2015-10-20$61.36$0.0036.2%10.4%2.6%22.8%0.0%35.9%-10.3%54.0K118.3K-1.9K3.34197.5253176175211
2015-10-21$61.64$0.0036.1%10.4%2.7%22.8%0.0%28.5%-10.2%59.7K36.2K-2.1K3.44195.6953181175211
2015-10-22$61.70$0.0035.3%10.1%2.7%22.1%0.0%30.0%-8.9%-5.9K57.2K-3.4K3.44196.1853181175221
2015-10-23$61.64$0.0035.7%10.2%2.8%22.5%0.0%15.5%-3.8%-6.1K61.1K-3.4K3.44193.8253181175221
2015-10-26$61.72$0.0037.3%10.7%2.7%23.6%0.0%34.6%-6.9%-5.9K49.6K-3.3K3.44195.4653181175221
2015-10-27$61.76$0.0038.0%10.9%2.7%24.1%0.0%24.4%-0.8%61.5K14.1K-1.4K3.44196.1653181175221
2015-10-28$61.74$0.0038.8%11.1%2.7%24.7%0.0%49.1%-1.4%60.8K14.3K-1.4K3.44196.1653181175221
2015-10-29$61.64$0.0035.9%10.3%2.6%22.6%0.0%49.5%2.4%10.6K40.3K-1.6K3.44196.1653181175221
2015-10-30$61.76$0.0038.9%11.2%2.4%24.8%0.0%51.1%-10.4%-6.4K11.2K-3.1K3.44196.1553181175221