HYD Options History — February 2016

In February 2016, HYD traded between $62.02 and $62.56. ATM implied volatility averaged 19.5%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 16.9% (HV 20d: 2.5%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.17.

Notable Days

2016-02-29: Highest Volume — 145 contracts
2016-02-03: Largest IV spike — 316.8% change
2016-02-03: Highest IV Rank — 37.2%
2016-02-03: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.22	$62.02	$62.56	$62.02	$62.26
Max Pain	$62.00	$62.00	$62.00	$62.00	$62.00
ATM IV	19.5%	6.3%	56.5%	23.7%	32.3%
Expected Move	4.6%	1.7%	16.2%	6.8%	9.3%
HV 20d	2.5%	1.9%	3.4%	2.5%	3.4%
HV 60d	3.4%	3.3%	3.7%	3.4%	3.7%
IV Rank	10.1%	0.5%	37.2%	13.2%	19.5%
IV Percentile	61.9%	1.2%	92.9%	71.4%	75.4%
Term Structure	0.4%	-43.3%	23.0%	-17.0%	23.0%
VWIV	19.2%	9.4%	35.0%	14.8%	35.0%
Skew 25d	5.7%	-3.3%	43.3%	12.8%	43.3%
Skew 10d	7.7%	-29.4%	49.8%	49.8%	43.5%
Call IV 25d	18.4%	6.7%	66.1%	47.6%	13.6%
Put IV 25d	24.1%	10.5%	71.8%	60.5%	56.8%
Bid-Ask Spread %	185.02	153.93	198.32	197.05	188.88
Gamma HHI	0.46	0.28	0.87	0.28	0.51
Net GEX	-15	-13.4K	28.4K	-12.1K	14.5K
Net DEX	1.4K	-81.9K	86.5K	86.5K	74.2K
Net VEX	-995	-1.5K	-760	-1.5K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	2.06	2.63	2.17	2.63
Total Volume	125.65	121	145	121	145
Total OI	170.2	160	193	160	193

Daily Data (20 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
2016-02-01	$62.02	$0.00	23.7%	6.8%	2.5%	13.2%	0.0%	12.8%	-17.0%	-12.1K	86.5K	-1.5K	2.17	197.05	38	83	45	115
2016-02-02	$62.06	$0.00	13.6%	3.9%	2.3%	5.8%	0.0%	-3.3%	-7.2%	-6.8K	61.8K	-1.2K	2.17	190.07	38	83	45	115
2016-02-03	$62.14	$0.00	56.5%	16.2%	2.4%	37.2%	0.0%	5.7%	-43.3%	11.6K	-33.2K	-785	2.17	198.32	38	83	45	115
2016-02-04	$62.14	$62.00	13.9%	2.2%	1.9%	6.1%	14.8%	4.4%	2.2%	-2.4K	28.8K	-1.0K	2.17	153.93	38	83	45	115
2016-02-05	$62.26	$62.00	10.2%	1.7%	2.0%	3.4%	13.6%	4.7%	-0.6%	28.4K	-30.8K	-766	2.17	178.04	38	83	45	115
2016-02-08	$62.34	$62.00	34.8%	3.4%	2.0%	21.3%	12.0%	1.9%	4.3%	-10.9K	9.2K	-950	2.06	182.54	40	83	45	115
2016-02-09	$62.34	$62.00	43.2%	2.2%	1.9%	27.5%	9.4%	0.5%	5.2%	-5.2K	-18.0K	-1.1K	2.06	185.58	40	83	50	115
2016-02-10	$62.28	$62.00	17.7%	5.1%	1.9%	8.8%	15.7%	11.4%	0.8%	19.5K	-58.2K	-805	2.06	190.10	40	83	50	115
2016-02-11	$62.06	$62.00	9.4%	2.7%	2.1%	2.7%	21.8%	11.2%	0.3%	-5.4K	-41.9K	-937	2.06	180.90	40	83	50	115
2016-02-12	$62.08	$62.00	22.6%	6.5%	2.1%	12.4%	23.1%	14.4%	11.3%	-13.4K	-38.9K	-802	2.06	187.77	40	83	50	115
2016-02-16	$62.14	$62.00	11.5%	3.3%	2.1%	4.3%	13.1%	-0.1%	-4.0%	-6.3K	-12.1K	-851	2.19	176.34	40	88	50	116
2016-02-17	$62.28	$62.00	10.4%	3.0%	2.2%	3.5%	21.4%	0.5%	-0.9%	3.7K	38.5K	-760	2.10	186.23	40	84	50	121
2016-02-18	$62.56	$62.00	6.3%	1.8%	2.7%	0.5%	13.2%	3.2%	0.6%	3.5K	25.5K	-1.1K	2.10	184.29	40	84	50	122
2016-02-19	$62.42	$62.00	8.5%	2.4%	2.8%	2.1%	22.9%	0.7%	0.3%	-7.6K	24.1K	-1.1K	2.10	192.31	40	84	50	122
2016-02-22	$62.22	$62.00	10.8%	3.1%	3.0%	3.8%	12.6%	1.4%	22.9%	4.3K	-81.9K	-894	2.19	183.25	40	88	50	124
2016-02-23	$62.24	$62.00	29.0%	8.3%	3.1%	17.1%	29.5%	1.6%	12.0%	6.0K	-30.4K	-928	2.11	188.26	40	85	50	129
2016-02-24	$62.08	$62.00	11.3%	3.2%	3.2%	4.1%	12.9%	0.0%	-0.7%	-2.4K	27.2K	-1.1K	2.13	183.46	40	85	50	131
2016-02-25	$62.28	$62.00	11.7%	3.4%	3.4%	4.5%	28.4%	-0.1%	-0.9%	-9.4K	-17.3K	-1.1K	2.38	186.54	40	95	50	133
2016-02-26	$62.20	$62.00	12.1%	3.5%	3.4%	4.8%	26.7%	0.7%	-0.3%	-9.9K	14.8K	-1.2K	2.38	186.53	40	95	50	143
2016-02-29	$62.26	$62.00	32.3%	9.3%	3.4%	19.5%	35.0%	43.3%	23.0%	14.5K	74.2K	-1.0K	2.63	188.88	40	105	50	143