HYD Options History — December 2015

In December 2015, HYD traded between $61.16 and $61.82. ATM implied volatility averaged 21.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 17.2% (HV 20d: 3.9%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 10.85.

Notable Days

  • 2015-12-15: Highest Volume — 181 contracts
  • 2015-12-09: Largest IV spike — 479.4% change
  • 2015-12-09: Highest IV Rank — 44.0%
  • 2015-12-09: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.47$61.16$61.82$61.58$61.82
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV21.0%8.5%65.6%10.7%13.4%
Expected Move5.3%2.4%18.8%3.1%3.8%
HV 20d3.9%2.2%4.9%2.4%4.9%
HV 60d3.2%2.8%3.5%2.9%3.5%
IV Rank11.4%2.4%44.0%4.0%5.7%
IV Percentile73.0%46.0%96.8%75.0%73.0%
Term Structure6.5%-10.6%70.0%-2.1%0.4%
VWIV29.0%11.8%46.2%11.8%46.2%
Skew 25d-5.1%-57.7%28.8%1.5%-11.7%
Skew 10d-3.5%-33.2%12.5%-13.0%2.8%
Call IV 25d38.9%12.7%143.0%12.8%25.7%
Put IV 25d33.9%12.6%147.6%14.2%14.0%
Bid-Ask Spread %184.90147.40199.00168.94181.95
Gamma HHI0.390.280.610.370.32
Net GEX4.6K-20.8K84.0K2.9K-20.8K
Net DEX132.0K35.6K331.8K116.8K171.7K
Net VEX-1.4K-2.3K-575-2.1K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.851.4027.671.402.18
Total Volume11201811121
Total OI322.455122477422122

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$61.58$62.0010.7%3.1%2.4%4.0%11.8%1.5%-2.1%2.9K116.8K-2.1K0.00168.9401170252
2015-12-02$61.64$62.0027.5%7.9%2.2%16.3%46.2%-9.6%-0.4%-9.8K89.9K-2.3K1.40170.335374175252
2015-12-03$61.32$0.0041.5%7.3%2.9%26.4%0.0%-0.7%-1.6%-10.3K137.1K-2.3K1.40198.035374175252
2015-12-04$61.60$0.0029.4%5.6%3.3%17.6%0.0%9.2%-2.4%-3.6K93.1K-2.3K1.40196.475374175252
2015-12-07$61.60$0.0043.7%3.4%3.1%28.1%0.0%1.8%19.3%-1.6K35.6K-1.9K0.00196.5000170252
2015-12-08$61.56$0.0011.3%2.9%3.1%4.4%0.0%1.9%-1.2%46.8K88.6K-1.5K1.40182.975374175252
2015-12-09$61.18$0.0065.6%18.8%3.9%44.0%0.0%4.6%70.0%40.5K155.0K-1.5K1.40199.005374175252
2015-12-10$61.20$0.009.3%2.7%3.9%3.0%0.0%-57.7%4.2%30.0K199.3K-1.6K1.40182.855374175252
2015-12-11$61.36$0.0015.2%4.3%3.8%7.2%0.0%7.2%3.4%-4.7K146.4K-1.8K1.40190.815374175252
2015-12-14$61.16$0.0029.4%8.4%4.0%17.7%0.0%-1.9%-6.7%4.8K135.3K-1.5K1.40198.165374175252
2015-12-15$61.16$0.0029.9%8.6%4.0%18.0%0.0%-1.9%-7.1%10.3K126.3K-1.3K2.50195.1852129175252
2015-12-16$61.32$0.0010.4%3.0%4.1%3.8%0.0%2.2%20.9%84.0K174.5K-1.3K2.50166.5352129170307
2015-12-17$61.46$0.008.5%2.4%4.0%2.4%0.0%28.8%-1.7%57.9K138.8K-9532.50147.4052129170307
2015-12-18$61.36$0.009.0%2.6%4.1%2.7%0.0%3.2%20.6%-14.7K331.8K-1.1K2.50183.0052129170307
2015-12-21$61.34$0.0032.4%9.3%4.0%19.8%0.0%-0.7%24.4%-13.6K90.9K-88927.67197.7138310112
2015-12-22$61.34$0.0018.7%5.4%4.0%9.8%0.0%-8.4%14.2%-20.4K156.6K-98727.67197.0938310112
2015-12-23$61.66$0.0013.2%3.8%4.5%5.5%0.0%-3.9%-0.4%-12.9K88.6K-80027.67191.9038310112
2015-12-24$61.78$0.009.0%2.6%4.5%2.5%0.0%-2.2%-0.6%-10.5K41.7K-72127.67165.6338310112
2015-12-28$61.82$0.0010.0%2.9%4.5%3.2%0.0%-8.2%1.1%-16.3K109.9K-81327.67169.8038310112
2015-12-29$61.54$0.0014.5%4.1%4.8%6.5%0.0%-37.1%-10.6%-16.0K137.4K-61327.67196.4238310112
2015-12-30$61.60$0.0010.0%2.9%4.8%3.2%0.0%-27.9%0.1%-19.6K138.7K-57527.67191.2338310112
2015-12-31$61.82$0.0013.4%3.8%4.9%5.7%0.0%-11.7%0.4%-20.8K171.7K-1.0K2.18181.95388310112