HYD Options History — September 2016

In September 2016, HYD traded between $64.44 and $64.64. ATM implied volatility averaged 8.0%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 5.3% (HV 20d: 2.7%). Max pain ranged from $62.00 to $68.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2016-09-01: Highest Volume — 181 contracts
2016-09-14: Largest IV drop — 55.7% change
2016-09-13: Highest IV Rank — 8.2%
2016-09-21: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.53	$64.44	$64.64	$64.54	$64.56
Max Pain	$66.00	$62.00	$68.00	$62.00	$68.00
ATM IV	8.0%	5.1%	14.5%	7.9%	6.4%
Expected Move	1.8%	1.3%	2.7%	2.3%	1.8%
HV 20d	2.7%	2.2%	2.9%	2.5%	2.2%
HV 60d	2.5%	2.3%	2.7%	2.6%	2.3%
IV Rank	3.5%	1.4%	8.2%	3.4%	2.4%
IV Percentile	22.9%	4.8%	60.3%	19.4%	13.9%
Term Structure	-1.5%	-5.5%	0.9%	-5.4%	-2.1%
VWIV	7.0%	4.5%	10.2%	9.4%	6.2%
Skew 25d	0.9%	-4.3%	2.6%	-1.1%	0.3%
Skew 10d	1.0%	-4.3%	4.2%	1.7%	1.4%
Call IV 25d	6.0%	4.1%	10.4%	9.2%	6.4%
Put IV 25d	6.8%	5.7%	8.2%	8.1%	6.7%
Bid-Ask Spread %	108.15	81.35	123.88	116.59	123.27
Gamma HHI	0.49	0.32	0.86	0.37	0.60
Net GEX	89.0K	39.6K	155.5K	39.6K	99.6K
Net DEX	-421.0K	-942.1K	-54.5K	-885.2K	-182.7K
Net VEX	-3.4K	-5.4K	-1.4K	-1.4K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	1.09	1.56	1.56	1.53
Total Volume	163.857	148	181	181	179
Total OI	1,035.81	982	1,065	1,022	1,065

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
2016-09-01	$64.54	$62.00	7.9%	2.3%	2.5%	3.4%	9.4%	-1.1%	-5.4%	39.6K	-885.2K	-1.4K	1.56	116.59	71	110	296	726
2016-09-02	$64.44	$62.00	7.8%	2.2%	2.5%	3.3%	9.3%	-1.4%	-5.5%	82.7K	-886.4K	-3.0K	1.56	116.64	71	110	296	731
2016-09-06	$64.62	$0.00	8.9%	1.3%	2.7%	4.2%	0.0%	2.1%	-0.4%	53.1K	-942.1K	-1.9K	1.09	123.88	71	77	296	731
2016-09-07	$64.64	$0.00	10.0%	1.3%	2.7%	4.9%	0.0%	1.8%	-0.7%	102.7K	-930.8K	-1.5K	1.18	115.11	71	83	296	733
2016-09-08	$64.50	$0.00	9.5%	1.3%	2.8%	4.6%	0.0%	1.5%	0.3%	64.4K	-206.2K	-4.7K	1.18	110.70	71	83	296	741
2016-09-09	$64.46	$0.00	11.7%	1.6%	2.7%	6.1%	0.0%	1.3%	-1.8%	73.7K	-214.4K	-4.9K	1.21	123.42	71	85	296	743
2016-09-12	$64.62	$0.00	13.1%	1.6%	2.8%	7.2%	0.0%	2.6%	-1.5%	110.6K	-343.7K	-5.4K	1.14	114.46	71	81	296	753
2016-09-13	$64.44	$0.00	14.5%	1.6%	2.9%	8.2%	0.0%	2.3%	0.3%	116.6K	-448.5K	-3.4K	1.17	109.81	71	83	296	759
2016-09-14	$64.50	$0.00	6.4%	1.8%	2.9%	2.4%	0.0%	1.4%	-1.7%	67.7K	-190.9K	-4.7K	1.17	106.60	71	83	296	764
2016-09-15	$64.44	$0.00	5.1%	1.4%	2.9%	1.4%	0.0%	2.6%	0.9%	118.6K	-415.0K	-3.1K	1.17	86.60	71	83	296	764
2016-09-16	$64.48	$0.00	6.0%	1.7%	2.8%	2.1%	6.1%	1.7%	-0.6%	128.5K	-441.3K	-3.2K	1.45	81.35	69	100	296	764
2016-09-19	$64.50	$64.00	7.2%	2.1%	2.7%	3.0%	7.4%	1.6%	0.4%	88.4K	-158.0K	-5.0K	1.34	86.12	66	88	288	694
2016-09-20	$64.52	$64.00	7.3%	2.1%	2.6%	3.0%	7.5%	1.7%	-1.3%	50.1K	-54.5K	-5.1K	1.34	98.50	66	88	288	722
2016-09-21	$64.48	$64.00	9.4%	2.7%	2.5%	4.5%	10.2%	1.1%	-2.1%	155.5K	-721.9K	-1.5K	1.49	86.25	71	105	288	722
2016-09-22	$64.54	$68.00	6.1%	1.8%	2.6%	2.1%	6.2%	1.8%	-1.0%	69.8K	-202.7K	-3.4K	1.49	100.45	71	105	288	742
2016-09-23	$64.50	$68.00	6.3%	1.8%	2.6%	2.3%	6.1%	0.9%	-1.7%	97.3K	-246.3K	-3.6K	1.31	110.79	71	93	288	742
2016-09-26	$64.56	$68.00	6.0%	1.7%	2.6%	2.1%	5.4%	-4.3%	-1.8%	82.3K	-251.4K	-3.6K	1.31	114.82	71	93	288	747
2016-09-27	$64.58	$68.00	6.3%	1.8%	2.5%	2.3%	6.4%	0.3%	-2.1%	108.4K	-226.4K	-3.6K	1.31	120.68	71	93	288	747
2016-09-28	$64.62	$68.00	6.5%	1.9%	2.5%	2.4%	6.6%	0.4%	-2.1%	46.0K	-669.9K	-1.4K	1.45	120.15	71	103	288	747
2016-09-29	$64.56	$68.00	5.4%	1.6%	2.5%	1.7%	4.5%	-0.5%	-2.4%	112.5K	-221.9K	-3.4K	1.52	105.05	71	108	288	767
2016-09-30	$64.56	$68.00	6.4%	1.8%	2.2%	2.4%	6.2%	0.3%	-2.1%	99.6K	-182.7K	-3.5K	1.53	123.27	71	108	288	777