HYD Options History — May 2016

In May 2016, HYD traded between $62.98 and $63.74. ATM implied volatility averaged 14.1%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 10.7% (HV 20d: 3.4%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 123.81.

Notable Days

2016-05-18: Highest Volume — 203 contracts
2016-05-04: Largest IV spike — 758.1% change
2016-05-04: Highest IV Rank — 36.2%
2016-05-04: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.45	$62.98	$63.74	$62.98	$63.70
Max Pain	$65.33	$60.00	$66.00	$60.00	$66.00
ATM IV	14.1%	6.5%	55.5%	16.9%	9.5%
Expected Move	3.4%	1.9%	15.9%	4.9%	2.7%
HV 20d	3.4%	2.0%	4.0%	4.0%	2.0%
HV 60d	3.6%	3.4%	3.8%	3.8%	3.4%
IV Rank	5.8%	0.1%	36.2%	7.8%	2.3%
IV Percentile	35.9%	0.4%	91.7%	59.9%	27.8%
Term Structure	-3.0%	-51.5%	2.4%	-7.3%	-0.6%
VWIV	14.7%	9.6%	61.6%	15.3%	14.0%
Skew 25d	-1.8%	-29.9%	13.8%	1.5%	2.3%
Skew 10d	-0.9%	-26.4%	13.8%	5.6%	-1.4%
Call IV 25d	14.9%	4.8%	61.6%	15.1%	11.6%
Put IV 25d	13.0%	7.7%	75.4%	16.6%	13.9%
Bid-Ask Spread %	175.82	102.96	198.21	191.83	116.48
Gamma HHI	0.51	0.35	0.73	0.65	0.56
Net GEX	-51.4K	-66.7K	-24.4K	-24.9K	-57.2K
Net DEX	271.6K	25.4K	412.3K	25.4K	161.9K
Net VEX	-1.4K	-2.4K	-616	-924	-867
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	123.81	3.61	303.00	169.00	4.03
Total Volume	148.476	86	203	86	156
Total OI	216.81	150	285	162	223

Daily Data (21 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
2016-05-02	$62.98	$60.00	16.9%	4.9%	4.0%	7.8%	15.3%	1.5%	-7.3%	-24.9K	25.4K	-924	169.00	191.83	1	85	35	127
2016-05-03	$63.16	$62.00	6.5%	1.9%	4.0%	0.1%	11.6%	6.4%	-1.5%	-51.5K	159.8K	-616	229.00	181.60	1	115	1	149
2016-05-04	$63.14	$62.00	55.5%	15.9%	4.0%	36.2%	61.6%	13.8%	-51.5%	-24.4K	192.3K	-1.6K	259.00	198.21	1	130	35	172
2016-05-05	$63.18	$66.00	14.3%	2.7%	4.0%	5.9%	11.6%	2.3%	0.3%	-62.3K	368.3K	-1.5K	259.00	195.41	1	130	1	186
2016-05-06	$63.26	$66.00	20.0%	3.5%	3.7%	10.1%	17.0%	8.0%	1.1%	-59.6K	343.8K	-1.5K	255.00	187.30	1	128	1	186
2016-05-09	$63.26	$66.00	18.0%	2.9%	3.7%	8.6%	13.9%	6.6%	1.0%	-64.7K	289.3K	-1.1K	255.00	184.01	1	128	1	193
2016-05-10	$63.30	$66.00	35.6%	3.3%	3.6%	21.6%	11.8%	1.9%	-2.5%	-66.7K	375.5K	-1.5K	256.00	196.01	1	128	1	193
2016-05-11	$63.30	$66.00	10.5%	3.0%	3.2%	3.1%	11.3%	1.0%	-2.8%	-64.5K	358.1K	-1.5K	264.00	195.17	1	132	1	194
2016-05-12	$63.26	$66.00	10.0%	2.9%	3.2%	2.7%	11.0%	1.1%	-1.8%	-59.2K	363.3K	-1.3K	303.00	195.06	1	152	1	206
2016-05-13	$63.52	$66.00	8.3%	2.4%	3.4%	1.5%	11.6%	2.1%	0.6%	-64.6K	315.0K	-1.5K	303.00	194.06	1	152	1	226
2016-05-16	$63.52	$66.00	10.1%	2.9%	3.4%	2.8%	12.5%	-1.0%	2.1%	-63.8K	390.0K	-1.5K	4.97	196.27	31	152	1	226
2016-05-17	$63.54	$66.00	11.2%	3.2%	3.4%	3.7%	13.0%	-28.7%	-3.9%	-45.7K	251.7K	-1.9K	4.97	196.19	31	152	31	226
2016-05-18	$63.46	$66.00	9.7%	2.8%	3.4%	2.5%	13.2%	-29.9%	-0.5%	-44.5K	412.3K	-2.4K	5.53	196.04	31	172	32	226
2016-05-19	$63.58	$66.00	8.8%	2.5%	3.4%	1.9%	13.1%	-29.7%	0.4%	-49.8K	273.8K	-1.1K	5.13	195.84	31	159	32	246
2016-05-20	$63.70	$66.00	9.0%	2.6%	3.4%	2.0%	12.6%	1.6%	0.5%	-37.1K	360.6K	-2.1K	5.13	194.19	31	159	32	253
2016-05-23	$63.70	$66.00	9.6%	2.7%	3.4%	2.4%	13.5%	1.5%	2.4%	-39.1K	286.3K	-1.4K	3.61	188.60	31	112	32	191
2016-05-24	$63.72	$66.00	8.6%	2.5%	3.4%	1.7%	9.9%	-2.1%	0.8%	-46.9K	152.2K	-692	3.61	129.14	31	112	32	191
2016-05-25	$63.70	$66.00	8.4%	2.4%	3.0%	1.6%	9.6%	-0.1%	0.1%	-46.4K	150.7K	-654	3.61	128.98	31	112	32	191
2016-05-26	$63.74	$66.00	8.2%	2.4%	3.0%	1.4%	10.0%	0.7%	0.4%	-41.1K	144.1K	-633	3.61	128.98	31	112	32	191
2016-05-27	$63.72	$66.00	7.5%	2.2%	3.0%	0.9%	10.1%	2.8%	0.2%	-65.2K	329.2K	-2.2K	3.87	102.96	31	120	32	191
2016-05-31	$63.70	$66.00	9.5%	2.7%	2.0%	2.3%	14.0%	2.3%	-0.6%	-57.2K	161.9K	-867	4.03	116.48	31	125	32	191