HYD Options History — October 2016

In October 2016, HYD traded between $62.94 and $64.06. ATM implied volatility averaged 5.8%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 2.0% (HV 20d: 3.8%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2016-10-26: Highest Volume — 311 contracts
  • 2016-10-17: Largest IV spike — 61.7% change
  • 2016-10-17: Highest IV Rank — 4.2%
  • 2016-10-17: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.50$62.94$64.06$64.06$63.24
Max Pain$67.24$64.00$68.00$68.00$64.00
ATM IV5.8%4.8%8.0%6.0%5.9%
Expected Move1.6%1.4%2.3%1.7%1.7%
HV 20d3.8%3.1%4.4%3.5%3.6%
HV 60d3.0%2.7%3.3%2.8%3.2%
IV Rank2.2%1.2%4.2%2.1%2.4%
IV Percentile11.8%4.0%29.0%9.9%13.9%
Term Structure-0.1%-1.7%2.2%-1.7%-1.5%
VWIV6.8%4.7%8.7%4.7%6.6%
Skew 25d1.3%-4.8%5.1%-4.8%4.5%
Skew 10d-2.8%-13.6%2.7%-5.7%-4.7%
Call IV 25d7.2%3.8%12.0%11.0%7.2%
Put IV 25d8.4%5.6%11.7%6.2%11.7%
Bid-Ask Spread %116.3781.85134.98123.70109.71
Gamma HHI0.360.220.490.470.38
Net GEX-30.8K-197.4K74.6K27.4K-60.3K
Net DEX363.5K-70.8K896.9K-70.8K536.5K
Net VEX-5.7K-9.1K-3.2K-3.2K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.961.542.381.811.58
Total Volume267.714199311199311
Total OI1,285.5241,0651,3901,0651,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$64.06$68.006.0%1.7%3.5%2.1%4.7%-4.8%-1.7%27.4K-70.8K-3.2K1.81123.7071128288777
2016-10-04$63.96$68.005.9%1.7%3.3%2.0%6.2%-3.4%-0.5%20.8K50.8K-3.6K1.54130.9983128288802
2016-10-05$64.00$64.005.6%1.6%3.3%1.8%5.6%-2.9%-1.1%74.6K-57.0K-3.3K2.38130.4383198300802
2016-10-06$63.88$68.004.8%1.5%3.3%1.2%6.9%0.8%-0.0%28.5K43.3K-3.8K2.12134.9883176300877
2016-10-07$63.88$68.005.5%1.4%3.3%1.7%6.1%0.8%0.3%5.2K98.3K-3.7K2.12115.5183176300936
2016-10-10$63.86$68.006.2%1.4%3.1%2.2%6.7%1.1%0.8%-1.6K127.6K-3.5K2.12119.5383176300936
2016-10-11$63.62$68.006.8%1.4%3.2%2.7%6.9%-1.3%1.8%3.1K186.1K-3.3K2.12128.1983176300936
2016-10-12$63.36$68.004.8%1.4%3.4%1.2%6.9%0.8%0.0%24.2K169.2K-4.0K2.23112.2379176300986
2016-10-13$63.34$68.005.5%1.6%3.4%2.0%7.5%0.2%0.1%-65.0K564.7K-7.2K2.25118.9279178301986
2016-10-14$63.12$68.004.9%1.4%3.5%1.6%7.0%2.6%-0.3%-32.3K337.0K-4.4K1.67114.9680133301991
2016-10-17$62.94$68.008.0%2.3%3.5%4.2%7.1%4.2%-1.3%-118.8K896.9K-8.5K2.23102.89801783011,001
2016-10-18$63.32$68.005.5%1.6%4.3%2.0%6.8%4.3%2.2%-61.6K382.4K-3.4K2.1381.85841783011,051
2016-10-19$63.36$68.006.1%1.7%4.4%2.6%8.0%2.4%1.8%-197.4K767.5K-6.8K2.02116.97881783061,051
2016-10-20$63.40$68.005.8%1.7%4.3%2.3%7.8%-1.6%-0.1%-94.4K793.2K-9.1K2.02129.49881783111,051
2016-10-21$63.48$68.006.0%1.7%4.4%2.5%8.1%1.9%-0.7%-59.1K691.2K-7.3K1.99117.641032053111,051
2016-10-24$63.40$68.005.4%1.6%4.4%2.0%8.1%2.9%0.8%-51.0K525.4K-8.8K2.04113.36931903291,031
2016-10-25$63.42$68.006.0%1.7%4.4%2.5%8.7%2.6%-0.0%-28.4K481.3K-7.4K2.04116.27931903311,031
2016-10-26$63.36$68.006.1%1.7%4.3%2.5%6.1%2.6%-0.7%45.5K-37.9K-3.8K1.58108.141211903311,031
2016-10-27$63.20$64.006.0%1.7%4.4%2.4%5.8%3.7%-0.9%-46.2K498.9K-8.0K1.58109.921211903591,031
2016-10-28$63.20$64.005.0%1.4%4.4%1.6%5.5%5.1%-1.3%-60.4K649.3K-8.9K1.58108.041211903591,031
2016-10-31$63.24$64.005.9%1.7%3.6%2.4%6.6%4.5%-1.5%-60.3K536.5K-8.4K1.58109.711211903591,031