HYD Options History — March 2016

In March 2016, HYD traded between $61.88 and $62.66. ATM implied volatility averaged 16.0%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 13.0% (HV 20d: 3.1%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.05.

Notable Days

  • 2016-03-18: Highest Volume — 149 contracts
  • 2016-03-08: Largest IV spike — 179.8% change
  • 2016-03-08: Highest IV Rank — 24.5%
  • 2016-03-31: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.22$61.88$62.66$62.06$62.66
Max Pain$60.18$60.00$62.00$62.00$60.00
ATM IV16.0%8.2%39.1%11.7%37.1%
Expected Move4.5%2.3%10.6%3.4%10.6%
HV 20d3.1%2.0%3.6%3.5%2.0%
HV 60d3.1%2.7%3.7%3.7%2.7%
IV Rank7.6%1.9%24.5%4.4%23.0%
IV Percentile58.9%21.4%82.9%58.3%79.4%
Term Structure-4.2%-24.2%14.4%7.2%-24.2%
VWIV21.8%11.7%65.2%23.0%65.2%
Skew 25d0.1%-117.3%38.6%3.6%38.6%
Skew 10d-1.7%-124.4%16.6%9.8%14.7%
Call IV 25d21.3%5.9%134.0%14.9%10.0%
Put IV 25d21.5%12.6%48.6%18.5%48.6%
Bid-Ask Spread %190.28166.97198.23197.94192.80
Gamma HHI0.440.280.700.330.53
Net GEX-17.7K-57.1K-8.3K-14.2K-20.9K
Net DEX104.6K35.7K169.7K125.1K65.9K
Net VEX-1.2K-1.5K-891-1.4K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.932.712.631.37
Total Volume118.5456814914583
Total OI174.5104221203127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$62.06$62.0011.7%3.4%3.5%4.4%23.0%3.6%7.2%-14.2K125.1K-1.4K2.63197.944010550153
2016-03-02$61.92$62.0015.0%4.3%3.6%6.8%22.7%6.2%5.7%-19.5K105.9K-1.4K2.63197.614010550153
2016-03-03$61.92$60.0013.5%4.2%3.5%5.7%12.2%-0.3%-4.4%-16.7K159.6K-1.5K2.63194.514010550153
2016-03-04$61.88$60.0012.4%3.6%3.5%4.9%11.7%1.2%-4.6%-18.7K122.1K-1.4K2.63186.654010550153
2016-03-07$61.96$60.0014.0%4.2%3.5%6.1%12.3%-0.4%-3.6%-8.3K145.1K-1.2K2.63188.634010550153
2016-03-08$62.10$60.0039.1%9.5%3.6%24.5%36.3%2.1%-4.8%-15.5K169.7K-1.4K2.63196.924010550153
2016-03-09$62.10$60.0015.5%4.5%3.6%7.3%12.9%1.6%-7.1%-19.6K116.8K-1.2K2.63178.904010550153
2016-03-10$62.06$60.0010.9%3.1%3.6%3.9%13.0%-117.3%-3.1%-10.7K98.6K-1.3K2.66189.064010750163
2016-03-11$62.08$60.0013.7%3.9%3.3%5.9%16.1%1.1%-2.4%-18.2K149.2K-9692.54191.244010250165
2016-03-14$62.10$60.0013.6%3.9%3.3%5.8%24.7%-12.6%-7.8%-22.6K152.1K-1.3K2.54194.714010250170
2016-03-15$62.10$60.0013.9%4.0%3.3%6.0%25.1%11.1%-8.1%-21.6K133.5K-1.3K2.54194.294010250170
2016-03-16$62.22$60.0020.4%5.9%3.3%10.9%39.7%-5.4%-9.6%-21.7K84.5K-1.2K2.52193.824010150170
2016-03-17$62.36$60.008.2%2.3%3.0%1.9%14.4%-0.2%-3.5%-9.1K75.8K-1.1K2.52169.124010150171
2016-03-18$62.42$60.008.3%2.4%2.9%2.0%14.9%1.2%-3.5%-16.1K35.7K-1.1K2.71188.674010950171
2016-03-21$62.28$60.0010.4%3.0%2.8%3.5%15.4%1.3%14.4%-57.1K83.9K-8911.07197.4335383569
2016-03-22$62.36$60.0014.1%4.1%2.8%6.2%15.9%8.5%-5.1%-18.3K71.8K-1.1K1.07166.9735383572
2016-03-23$62.44$60.0024.1%6.9%2.6%13.5%29.4%19.8%-7.6%-14.0K69.9K-1.1K1.07189.7335383572
2016-03-24$62.40$60.0012.3%3.5%2.4%4.9%16.7%10.5%-3.8%-11.0K65.5K-1.2K0.93189.7135333572
2016-03-28$62.40$60.0013.6%3.9%2.4%5.8%18.5%12.0%-4.8%-11.8K109.9K-1.2K0.93197.9035333577
2016-03-29$62.54$60.0014.0%4.0%2.5%6.1%19.5%9.4%-4.7%-14.8K101.1K-1.1K0.93198.2335333577
2016-03-30$62.52$60.0017.4%5.0%2.1%8.6%20.0%11.0%-7.4%-9.2K58.8K-1.1K1.36191.4035483577
2016-03-31$62.66$60.0037.1%10.6%2.0%23.0%65.2%38.6%-24.2%-20.9K65.9K-1.2K1.37192.8035483592