HYD Options History — January 2016 In January 2016, HYD traded between $61.96 and $62.24. ATM implied volatility averaged 35.4%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 31.7% (HV 20d: 3.6%). Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.33.
Notable Days 2016-01-04 : Highest Volume — 221 contracts2016-01-06 : Largest IV spike — 235.1% change2016-01-12 : Highest IV Rank — 83.0%2016-01-27 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $62.16 $61.96 $62.24 $61.98 $62.18 ATM IV 35.4% 13.9% 119.1% 65.9% 19.7% Expected Move 5.8% 2.9% 14.2% 9.1% 5.6% HV 20d 3.6% 2.6% 4.6% 4.6% 2.6% HV 60d 3.6% 3.4% 3.6% 3.6% 3.4% IV Rank 21.8% 6.1% 83.0% 44.1% 10.3% IV Percentile 78.2% 68.7% 99.2% 96.8% 70.2% Term Structure -9.4% -36.9% 3.6% -24.8% -10.4% Skew 25d 0.0% -19.8% 11.1% -3.6% 0.2% Skew 10d -1.5% -19.8% 15.1% -3.6% 0.8% Call IV 25d 20.8% 9.8% 39.1% 14.9% 20.7% Put IV 25d 20.8% 11.0% 34.6% 11.3% 20.9% Bid-Ask Spread % 190.13 174.56 198.49 191.98 192.48 Gamma HHI 0.74 0.44 0.95 0.44 0.46 Net GEX 31.5K -16.3K 116.5K 9.8K -16.3K Net DEX -228.1K -633.1K -4.9K -218.1K -79.7K Net VEX -1.0K -2.2K -761 -2.2K -853 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.33 0.57 2.17 0.60 2.17 Total Volume 172.316 116 221 221 121 Total OI 212 160 260 257 160
Daily Data (19 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 2016-01-04 $61.98 $0.00 65.9% 9.1% 4.6% 44.1% 0.0% -3.6% -24.8% 9.8K -218.1K -2.2K 0.60 191.98 138 83 145 112 2016-01-05 $61.96 $0.00 21.5% 3.1% 4.3% 11.6% 0.0% 4.5% -3.7% 78.1K -263.5K -1.6K 0.60 181.23 138 83 145 112 2016-01-06 $62.20 $0.00 72.1% 5.7% 4.5% 48.6% 0.0% -19.8% 3.6% 31.0K -424.9K -1.2K 0.60 198.49 138 83 145 112 2016-01-07 $62.14 $0.00 32.7% 3.2% 4.5% 19.8% 0.0% -13.5% 1.7% 57.1K -369.1K -1.2K 0.59 196.80 138 81 145 112 2016-01-08 $62.22 $0.00 23.3% 2.9% 3.8% 12.9% 0.0% 2.1% -0.9% 74.6K -364.4K -1.2K 0.59 174.56 138 81 145 115 2016-01-11 $62.14 $0.00 70.4% 4.0% 3.9% 47.4% 0.0% 4.7% -1.6% 44.8K -373.4K -1.1K 0.59 192.94 138 81 145 115 2016-01-12 $62.24 $0.00 119.1% 5.5% 3.8% 83.0% 0.0% 7.0% -1.6% 36.1K -425.3K -1.0K 0.59 193.06 138 81 145 115 2016-01-13 $62.10 $0.00 28.9% 8.3% 3.7% 17.0% 0.0% 0.9% -19.3% 43.5K -355.3K -1.1K 0.59 197.44 138 81 145 115 2016-01-14 $62.16 $0.00 14.5% 4.1% 3.7% 6.5% 0.0% -6.3% -7.8% 116.5K -390.0K -975 0.57 196.59 138 78 145 115 2016-01-15 $62.22 $0.00 25.7% 7.4% 3.6% 14.7% 0.0% 1.3% -15.8% 39.2K -633.1K -837 0.57 196.19 138 78 145 115 2016-01-19 $62.12 $0.00 17.6% 5.0% 3.7% 8.7% 0.0% 0.4% -9.1% 10.9K -62.7K -860 2.05 192.22 38 78 45 115 2016-01-20 $62.12 $0.00 13.9% 4.0% 3.6% 6.1% 0.0% 0.6% -5.9% 15.1K -6.1K -813 2.17 180.34 38 83 45 115 2016-01-21 $62.14 $0.00 16.6% 4.7% 3.6% 8.0% 0.0% 11.1% -6.1% 10.7K -28.2K -850 2.17 179.83 38 83 45 115 2016-01-22 $62.22 $0.00 15.6% 4.5% 3.6% 7.3% 0.0% 1.2% -7.7% 11.4K -4.9K -761 2.17 182.66 38 83 45 115 2016-01-25 $62.22 $0.00 18.7% 5.4% 3.1% 9.6% 0.0% 0.5% -9.3% 10.7K -70.1K -833 2.17 190.88 38 83 45 115 2016-01-26 $62.24 $0.00 25.7% 7.4% 3.1% 14.6% 0.0% 9.3% -12.1% 8.5K -83.9K -811 2.17 197.84 38 83 45 115 2016-01-27 $62.18 $0.00 49.5% 14.2% 3.1% 32.1% 0.0% 0.6% -36.9% 8.0K -91.0K -775 2.17 197.58 38 83 45 115 2016-01-28 $62.18 $0.00 21.3% 6.1% 2.6% 11.5% 0.0% -0.5% -11.3% 8.6K -90.4K -802 2.17 179.42 38 83 45 115 2016-01-29 $62.18 $0.00 19.7% 5.6% 2.6% 10.3% 0.0% 0.2% -10.4% -16.3K -79.7K -853 2.17 192.48 38 83 45 115
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