HYD Options History — November 2015

In November 2015, HYD traded between $61.04 and $61.62. ATM implied volatility averaged 21.0%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 18.0% (HV 20d: 3.0%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 3.47.

Notable Days

  • 2015-11-20: Highest Volume — 262 contracts
  • 2015-11-09: Largest IV spike — 254.8% change
  • 2015-11-09: Highest IV Rank — 35.5%
  • 2015-11-03: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.34$61.04$61.62$61.50$61.54
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV21.0%8.4%53.8%42.1%9.7%
Expected Move5.4%2.1%12.8%12.1%2.8%
HV 20d3.0%2.8%3.2%2.9%2.8%
HV 60d4.0%3.0%4.5%4.5%3.0%
IV Rank11.7%2.5%35.5%27.1%3.3%
IV Percentile75.3%49.2%93.7%90.9%70.2%
Term Structure2.4%-10.9%21.2%-10.9%-1.7%
VWIV17.1%9.5%29.6%25.2%17.0%
Skew 25d10.8%-7.3%102.6%22.9%1.2%
Skew 10d9.8%-12.4%107.1%9.0%3.7%
Call IV 25d16.5%8.3%43.3%17.0%13.2%
Put IV 25d27.3%10.9%120.5%40.0%14.4%
Bid-Ask Spread %150.82121.83197.11196.76168.91
Gamma HHI0.370.320.530.340.36
Net GEX-1.8K-41.2K33.1K-5.9K-2.7K
Net DEX142.9K37.8K318.8K37.8K156.5K
Net VEX-2.6K-3.3K-1.7K-3.1K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.471.863.973.441.86
Total Volume167.15026223411
Total OI413.6391421396416

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$61.50$0.0042.1%12.1%2.9%27.1%0.0%22.9%-10.9%-5.9K37.8K-3.1K3.44196.7653181175221
2015-11-03$61.36$0.0044.7%12.8%3.0%28.9%0.0%102.6%-8.8%-6.1K53.4K-3.2K3.44197.1153181175221
2015-11-04$61.38$0.0043.6%12.5%3.0%28.2%0.0%61.1%-10.1%-5.9K51.5K-3.2K3.44196.7653181175221
2015-11-05$61.36$62.0045.1%7.0%3.0%29.2%25.2%-7.3%1.2%-6.0K54.4K-3.2K3.44146.4053181175221
2015-11-06$61.16$62.0015.2%2.1%3.2%7.5%0.0%4.4%-0.0%33.1K129.7K-1.7K0.00142.61025170221
2015-11-09$61.14$62.0053.8%7.3%3.1%35.5%0.0%-6.3%18.3%-11.4K159.5K-3.3K0.00146.3300170246
2015-11-10$61.18$62.0012.9%7.4%3.1%5.7%18.5%2.8%19.4%8.6K117.8K-2.5K3.88145.1153204175246
2015-11-11$61.20$62.0010.1%2.9%3.1%3.7%15.0%3.2%-0.1%-8.6K169.1K-2.7K3.88126.4753204175246
2015-11-12$61.04$62.008.6%2.5%3.1%2.6%9.8%5.9%-1.7%-3.6K281.4K-1.7K3.88142.2753204175246
2015-11-13$61.08$62.009.5%2.7%3.1%3.3%11.1%1.2%-2.5%-41.2K318.8K-2.2K3.88142.7653204175246
2015-11-16$61.10$62.0028.9%8.3%3.1%17.4%0.0%18.8%-2.5%-14.8K203.1K-2.9K0.00144.7700170246
2015-11-17$61.20$62.009.7%2.8%3.2%3.4%15.6%5.5%-6.9%2.8K173.5K-2.7K3.88140.7253204175246
2015-11-18$61.38$62.0010.0%2.9%2.9%3.6%15.1%1.7%20.6%1.9K182.3K-2.8K3.88143.3153204175246
2015-11-19$61.46$62.0010.2%2.9%2.9%3.7%12.9%1.6%-2.5%9.7K149.5K-2.4K3.88121.8353204175246
2015-11-20$61.54$62.0028.8%8.3%2.9%17.3%28.7%-6.0%18.6%-8.1K125.4K-2.9K3.97146.5853209175246
2015-11-23$61.56$62.008.7%2.5%2.9%2.6%9.5%0.1%21.2%1.3K124.9K-2.6K0.00146.0703170251
2015-11-24$61.56$62.008.4%2.4%2.9%2.5%14.7%0.1%-2.0%6.3K160.4K-2.3K0.00140.8305170248
2015-11-25$61.62$62.0011.1%3.2%2.9%4.4%29.6%1.2%0.7%7.2K68.6K-2.4K1.86145.455398175246
2015-11-27$61.54$62.009.4%2.7%2.9%3.1%17.0%1.4%-2.4%6.9K141.3K-2.1K1.86135.305398175246
2015-11-30$61.54$62.009.7%2.8%2.8%3.3%0.0%1.2%-1.7%-2.7K156.5K-2.2K0.00168.91011170246