HYD Options History — June 2016

In June 2016, HYD traded between $63.48 and $64.70. ATM implied volatility averaged 6.5%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 4.2% (HV 20d: 2.3%). Max pain ranged from $62.00 to $66.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 21.32.

Notable Days

2016-06-13: Highest Volume — 230 contracts
2016-06-29: Largest IV spike — 59.8% change
2016-06-30: Highest IV Rank — 3.8%
2016-06-30: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.96	$63.48	$64.70	$63.48	$64.62
Max Pain	$62.20	$62.00	$66.00	$66.00	$62.00
ATM IV	6.5%	3.1%	10.4%	8.2%	8.5%
Expected Move	1.5%	0.9%	2.4%	2.3%	2.4%
HV 20d	2.3%	2.0%	2.8%	2.3%	2.4%
HV 60d	3.4%	2.9%	3.5%	3.5%	3.0%
IV Rank	1.9%	0.0%	3.8%	1.4%	3.8%
IV Percentile	9.8%	0.0%	39.7%	9.5%	18.3%
Term Structure	0.2%	-6.1%	2.3%	1.5%	-6.1%
VWIV	7.5%	5.3%	10.5%	10.3%	9.4%
Skew 25d	0.8%	-3.3%	3.8%	1.3%	-1.5%
Skew 10d	1.0%	-3.2%	2.7%	1.1%	1.2%
Call IV 25d	6.1%	4.3%	8.5%	7.2%	8.5%
Put IV 25d	6.8%	4.6%	9.6%	8.4%	7.0%
Bid-Ask Spread %	119.55	105.72	134.33	125.17	108.39
Gamma HHI	0.53	0.40	0.62	0.54	0.42
Net GEX	-30.9K	-87.3K	24.8K	-75.9K	24.8K
Net DEX	84.4K	-108.1K	251.9K	209.2K	-108.1K
Net VEX	-809	-1.4K	-564	-870	-978
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	21.32	4.03	55.00	4.03	18.33
Total Volume	161.818	105	230	156	146
Total OI	375.045	234	522	234	522

Daily Data (22 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
2016-06-01	$63.48	$66.00	8.2%	2.3%	2.3%	1.4%	10.3%	1.3%	1.5%	-75.9K	209.2K	-870	4.03	125.17	31	125	32	202
2016-06-02	$63.48	$0.00	9.5%	1.6%	2.3%	2.3%	0.0%	-3.3%	-1.1%	-74.7K	210.1K	-868	4.03	133.51	31	125	32	202
2016-06-03	$63.54	$0.00	10.4%	1.1%	2.3%	3.0%	6.7%	1.1%	1.2%	-77.1K	251.9K	-1.3K	4.68	134.33	31	145	32	202
2016-06-06	$63.50	$62.00	9.9%	1.0%	2.3%	2.7%	6.9%	1.5%	2.0%	-87.3K	232.9K	-905	4.68	131.18	31	145	32	222
2016-06-07	$63.52	$62.00	10.4%	1.0%	2.3%	3.0%	6.3%	1.0%	2.0%	-86.4K	228.3K	-862	4.68	131.98	31	145	32	222
2016-06-08	$63.58	$62.00	4.7%	1.3%	2.3%	0.0%	5.8%	-0.3%	0.1%	-82.2K	230.6K	-772	4.68	133.51	31	145	32	222
2016-06-09	$63.66	$62.00	3.1%	0.9%	2.3%	0.0%	5.3%	0.8%	2.1%	-79.7K	212.1K	-766	4.68	112.71	31	145	32	222
2016-06-10	$63.80	$62.00	4.6%	1.3%	2.4%	1.0%	6.0%	0.7%	2.3%	-60.4K	167.0K	-1.1K	36.00	105.72	6	216	32	222
2016-06-13	$63.86	$62.00	5.1%	1.5%	2.0%	1.4%	6.3%	0.6%	0.6%	-36.1K	69.3K	-564	37.33	110.37	6	224	37	293
2016-06-14	$64.00	$62.00	4.7%	1.3%	2.1%	1.1%	6.4%	1.1%	0.6%	-26.5K	62.0K	-632	34.50	116.51	6	207	37	372
2016-06-15	$63.96	$62.00	4.7%	1.4%	2.1%	1.1%	6.4%	1.0%	0.4%	-31.0K	63.1K	-627	33.67	116.64	6	202	37	434
2016-06-16	$63.94	$62.00	4.4%	1.3%	2.1%	0.9%	8.2%	2.2%	1.3%	-30.0K	56.3K	-627	33.67	126.06	6	202	42	434
2016-06-17	$63.82	$62.00	4.8%	1.4%	2.1%	1.2%	10.5%	3.8%	-0.0%	-17.1K	191.4K	-591	29.09	107.79	6	160	42	434
2016-06-20	$63.90	$62.00	4.8%	1.4%	2.1%	1.2%	6.9%	1.3%	2.3%	7.0K	-20.4K	-720	20.00	116.51	5	100	40	395
2016-06-21	$64.08	$62.00	5.3%	1.5%	2.3%	1.6%	7.4%	1.6%	1.9%	14.9K	-34.2K	-699	20.00	115.71	5	100	40	395
2016-06-22	$64.16	$62.00	6.6%	1.9%	2.3%	2.5%	7.7%	0.9%	-1.0%	7.1K	-24.1K	-697	20.50	115.41	5	103	40	395
2016-06-23	$64.10	$62.00	6.8%	1.9%	2.3%	2.6%	7.8%	0.6%	-2.4%	5.5K	-21.0K	-690	20.50	115.82	5	103	40	397
2016-06-24	$64.30	$62.00	6.9%	2.0%	2.5%	2.7%	7.2%	0.9%	-0.2%	18.7K	-50.7K	-756	20.50	119.79	5	103	40	397
2016-06-27	$64.46	$62.00	6.1%	1.7%	2.6%	2.1%	8.2%	0.9%	0.1%	11.5K	-58.2K	-661	55.00	119.27	3	138	40	397
2016-06-28	$64.70	$62.00	5.1%	1.5%	2.8%	1.4%	9.0%	1.0%	1.5%	-19.2K	54.0K	-1.4K	53.20	117.13	3	133	41	447
2016-06-29	$64.66	$62.00	8.2%	2.4%	2.4%	3.6%	9.1%	-0.5%	-4.7%	15.3K	-65.2K	-672	5.39	116.61	26	138	41	450
2016-06-30	$64.62	$62.00	8.5%	2.4%	2.4%	3.8%	9.4%	-1.5%	-6.1%	24.8K	-108.1K	-978	18.33	108.39	8	138	64	458