HYD Options History — August 2016

In August 2016, HYD traded between $64.36 and $64.78. ATM implied volatility averaged 6.6%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 4.3% (HV 20d: 2.3%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.21.

Notable Days

  • 2016-08-15: Highest Volume — 252 contracts
  • 2016-08-10: Largest IV drop — 47.6% change
  • 2016-08-05: Highest IV Rank — 4.7%
  • 2016-08-31: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.56$64.36$64.78$64.40$64.78
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV6.6%4.5%9.6%6.4%9.0%
Expected Move1.7%1.2%2.6%1.8%2.6%
HV 20d2.3%2.0%2.7%2.3%2.2%
HV 60d2.4%2.4%2.5%2.5%2.4%
IV Rank2.5%1.0%4.7%2.4%4.2%
IV Percentile11.8%0.8%31.0%6.7%29.8%
Term Structure-1.9%-7.5%1.1%-2.8%-7.5%
VWIV7.3%4.3%10.3%4.7%10.1%
Skew 25d0.9%-3.8%3.9%-3.8%-1.3%
Skew 10d2.6%-3.8%6.3%-3.8%2.1%
Call IV 25d6.3%4.2%11.4%11.4%9.4%
Put IV 25d7.2%5.9%8.7%7.6%8.1%
Bid-Ask Spread %102.4580.33128.60127.92117.26
Gamma HHI0.480.331.000.490.38
Net GEX86.7K14.6K150.9K105.7K120.1K
Net DEX-503.1K-1.1M-209.9K-240.5K-695.7K
Net VEX-2.4K-4.3K-361-1.5K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.211.001.521.021.52
Total Volume174.7390252132178
Total OI960.0437721,0607721,060

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$64.40$0.006.4%1.8%2.3%2.4%0.0%-3.8%-2.8%105.7K-240.5K-1.5K1.02127.926567183589
2016-08-02$64.36$0.008.0%2.3%2.3%3.5%0.0%-2.7%-4.2%123.6K-265.0K-1.7K1.02125.866567216619
2016-08-03$64.42$0.007.3%2.1%2.3%3.0%0.0%-2.8%-4.5%70.5K-209.9K-1.5K1.02123.856567216619
2016-08-04$64.52$62.007.4%1.3%2.3%3.1%4.7%3.4%-0.9%61.9K-283.0K-3611.0280.956567216619
2016-08-05$64.44$62.009.6%1.2%2.2%4.7%4.3%3.3%0.1%133.0K-319.6K-1.8K1.1497.298092218619
2016-08-08$64.44$62.008.2%1.4%2.2%3.6%5.0%3.9%-0.3%114.4K-296.3K-2.2K1.2480.33110137233644
2016-08-09$64.46$62.008.6%1.3%2.0%3.9%6.2%1.5%0.1%94.6K-374.3K-3.3K1.2492.24110137278689
2016-08-10$64.58$62.004.5%1.3%2.1%1.0%6.5%1.9%-0.3%19.8K-376.2K-1.9K1.2694.88110139278689
2016-08-11$64.50$62.005.5%1.6%2.1%1.7%7.4%2.1%-1.7%56.0K-576.2K-6991.26112.20110139278684
2016-08-12$64.64$62.005.2%1.5%2.2%1.5%6.8%1.4%-2.1%23.1K-388.8K-1.8K1.2691.39110139278684
2016-08-15$64.56$62.005.2%1.5%2.3%1.5%7.2%1.9%-1.2%93.4K-377.7K-3.1K1.2996.09110142278684
2016-08-16$64.48$62.005.0%1.4%2.3%1.3%6.9%1.2%-0.4%61.9K-306.4K-2.6K1.2993.58110142278696
2016-08-17$64.44$62.005.4%1.5%2.3%1.6%0.0%1.4%-1.7%79.8K-408.5K-3.4K0.00100.4000278696
2016-08-18$64.60$62.004.7%1.3%2.5%1.1%0.0%1.3%-1.3%14.6K-395.8K-1.7K1.0092.182020278696
2016-08-19$64.46$62.004.5%1.3%2.6%1.0%6.5%1.0%0.1%95.2K-295.4K-3.9K1.3891.6385117298716
2016-08-22$64.54$62.005.5%1.6%2.6%1.7%7.4%0.9%-0.5%47.6K-388.5K-3.0K1.0893.198592298691
2016-08-23$64.66$62.005.5%1.6%2.7%1.7%7.4%1.4%-0.1%96.0K-807.5K-1.7K1.0794.57100107298691
2016-08-24$64.66$62.005.2%1.5%2.7%1.5%0.0%1.6%1.1%97.2K-1.1M-2.1K0.0099.7500333726
2016-08-25$64.66$62.007.4%2.1%2.7%3.1%8.9%1.1%-3.0%150.9K-625.6K-4.3K1.07128.60100107333726
2016-08-26$64.66$62.007.1%2.0%2.7%2.9%8.8%0.9%-2.9%94.0K-1.1M-2.1K1.07102.63100107333726
2016-08-29$64.78$62.008.1%2.3%2.2%3.5%9.3%0.6%-4.0%101.2K-1.1M-1.6K1.52101.6471107333726
2016-08-30$64.76$62.008.8%2.5%2.2%4.1%10.3%-0.5%-5.3%139.1K-697.1K-4.1K1.52118.0071107334726
2016-08-31$64.78$62.009.0%2.6%2.2%4.2%10.1%-1.3%-7.5%120.1K-695.7K-4.3K1.52117.2671107334726