HYD Options History — November 2016

In November 2016, HYD traded between $57.40 and $63.00. ATM implied volatility averaged 12.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.3% (HV 20d: 11.3%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2016-11-28: Highest Volume — 378 contracts
  • 2016-11-07: Largest IV spike — 80.0% change
  • 2016-11-07: Highest IV Rank — 16.9%
  • 2016-11-22: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.24$57.40$63.00$63.00$57.40
Max Pain$63.62$62.00$64.00$64.00$62.00
ATM IV12.5%8.4%22.7%11.5%9.1%
Expected Move3.3%2.4%4.1%3.3%2.6%
HV 20d11.3%3.8%16.3%3.8%16.3%
HV 60d7.3%3.3%10.2%3.3%10.2%
IV Rank8.1%4.5%16.9%7.2%5.1%
IV Percentile64.5%37.3%85.3%62.3%44.0%
Term Structure-0.7%-4.0%2.1%-0.9%1.6%
VWIV17.4%6.7%33.6%6.7%16.5%
Skew 25d4.9%0.8%10.8%5.4%3.7%
Skew 10d4.9%-5.0%12.9%-5.0%-2.6%
Call IV 25d9.6%5.4%15.0%7.1%7.8%
Put IV 25d14.4%11.0%19.7%12.5%11.5%
Bid-Ask Spread %117.1772.81143.7895.70134.51
Gamma HHI0.440.300.660.310.60
Net GEX-298.9K-556.4K-93.5K-138.2K-413.9K
Net DEX2.3M705.5K3.6M874.5K3.3M
Net VEX-9.0K-10.6K-7.1K-9.0K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.632.681.582.21
Total Volume276.667180378311346
Total OI1,404.9051,3491,4581,3851,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$63.00$64.0011.5%3.3%3.8%7.2%6.7%5.4%-0.9%-138.2K874.5K-9.0K1.5895.701211903541,031
2016-11-02$62.82$64.0012.3%3.5%3.8%7.9%9.0%4.6%-4.0%-93.5K705.5K-9.4K1.49108.831211803541,031
2016-11-03$62.98$64.0011.7%2.8%4.0%7.3%10.0%6.1%-0.9%-171.5K947.1K-9.1K1.6985.281071803541,071
2016-11-04$63.00$64.0012.6%2.9%4.0%8.2%10.6%3.2%-1.4%-174.7K999.9K-9.4K1.6972.811071803551,071
2016-11-07$62.92$64.0022.7%2.9%4.0%16.9%10.9%5.9%-0.5%-123.0K743.6K-9.3K1.82100.16841533551,071
2016-11-08$62.84$64.0012.0%2.5%3.8%7.7%9.3%5.7%0.9%-109.2K807.9K-8.7K1.8289.37841533651,068
2016-11-09$62.06$64.008.4%2.4%5.6%4.5%10.7%4.9%-0.6%-212.9K1.1M-8.0K1.5587.22841303651,068
2016-11-10$60.40$64.0011.6%3.3%10.8%7.3%15.7%0.8%-1.8%-383.6K2.4M-9.4K1.1598.851521753651,071
2016-11-11$60.38$64.0012.2%3.5%10.8%7.8%26.4%6.9%-3.5%-307.0K2.3M-10.6K0.76137.891591214151,043
2016-11-14$58.74$64.0012.2%3.5%14.1%7.8%16.0%3.0%-0.1%-360.4K3.1M-9.4K1.09143.781591744151,015
2016-11-15$59.42$64.0010.7%3.1%14.7%6.5%22.2%8.0%-2.1%-324.2K2.9M-9.5K1.47130.78117172415996
2016-11-16$58.92$64.0012.8%3.7%14.7%8.4%18.1%3.1%1.7%-305.1K2.8M-9.2K1.40123.17130181428994
2016-11-17$58.76$64.0013.4%3.8%14.6%8.8%27.4%3.5%-1.1%-317.0K3.0M-9.4K0.71136.7913093441985
2016-11-18$59.50$64.0010.4%3.0%15.7%6.3%27.5%3.5%-1.9%-356.2K2.8M-9.3K0.63135.4912881441993
2016-11-21$59.44$64.0013.2%3.8%15.7%8.7%31.5%2.8%-1.6%-333.6K2.8M-9.4K0.67138.1910872370979
2016-11-22$58.84$64.0014.2%4.1%15.8%9.6%33.6%1.8%1.4%-367.6K2.8M-9.0K0.93132.30108100370991
2016-11-23$58.40$64.0012.6%3.6%15.8%8.1%16.3%0.9%2.1%-393.8K3.3M-8.6K1.63117.18104169372998
2016-11-25$58.70$62.0014.1%4.0%16.1%9.4%22.6%10.8%-1.5%-431.9K3.1M-8.7K1.64123.14104170385980
2016-11-28$58.62$62.0013.9%4.0%16.1%9.3%14.3%10.3%0.5%-402.8K3.1M-8.2K2.68126.75103275385980
2016-11-29$57.94$62.0011.5%3.3%16.3%7.2%10.1%7.0%-0.7%-556.4K3.6M-7.5K1.83142.29108197385993
2016-11-30$57.40$62.009.1%2.6%16.3%5.1%16.5%3.7%1.6%-413.9K3.3M-7.1K2.21134.51108238414971