HYD Options History — December 2016

In December 2016, HYD traded between $57.10 and $59.34. ATM implied volatility averaged 13.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.3% (HV 20d: 13.7%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.31.

Notable Days

2016-12-16: Highest Volume — 508 contracts
2016-12-08: Largest IV spike — 76.3% change
2016-12-13: Highest IV Rank — 24.1%
2016-12-14: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.54	$57.10	$59.34	$57.10	$59.34
Max Pain	$58.29	$58.00	$62.00	$62.00	$58.00
ATM IV	13.4%	8.1%	31.1%	12.6%	8.4%
Expected Move	3.2%	2.3%	4.4%	3.6%	2.4%
HV 20d	13.7%	9.6%	19.0%	16.3%	9.6%
HV 60d	11.3%	10.2%	11.8%	10.2%	11.8%
IV Rank	8.8%	4.3%	24.1%	8.2%	4.5%
IV Percentile	62.6%	34.1%	92.9%	65.9%	38.5%
Term Structure	1.8%	-4.0%	5.7%	1.2%	5.7%
VWIV	11.5%	8.6%	15.8%	11.8%	8.6%
Skew 25d	6.5%	2.5%	11.9%	5.8%	2.5%
Skew 10d	7.5%	2.2%	15.8%	7.9%	4.2%
Call IV 25d	7.5%	6.0%	14.6%	14.6%	6.8%
Put IV 25d	14.0%	9.2%	20.4%	20.4%	9.2%
Bid-Ask Spread %	127.77	100.03	156.63	133.71	142.77
Gamma HHI	0.55	0.40	0.75	0.65	0.40
Net GEX	-351.2K	-696.0K	-119.5K	-353.6K	-154.3K
Net DEX	2.4M	1.4M	4.1M	4.1M	1.4M
Net VEX	-6.3K	-7.4K	-4.9K	-7.3K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	0.56	4.10	1.40	3.01
Total Volume	271.667	176	508	277	293
Total OI	1,131.381	805	1,400	1,400	833

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
2016-12-01	$57.10	$62.00	12.6%	3.6%	16.3%	8.2%	11.8%	5.8%	1.2%	-353.6K	4.1M	-7.3K	1.40	133.71	115	162	414	986
2016-12-02	$57.80	$60.00	13.8%	3.9%	17.2%	9.2%	15.8%	4.8%	-1.0%	-413.2K	3.4M	-7.4K	1.40	144.73	115	162	421	952
2016-12-05	$57.76	$58.00	13.1%	3.8%	17.2%	8.6%	12.8%	7.6%	0.0%	-537.7K	3.3M	-7.4K	0.99	109.88	109	108	421	952
2016-12-06	$58.44	$58.00	16.2%	3.8%	18.1%	11.3%	12.4%	8.9%	-0.9%	-481.2K	3.1M	-7.1K	0.98	111.52	110	108	422	944
2016-12-07	$59.20	$58.00	11.0%	2.4%	19.0%	6.8%	8.8%	7.5%	3.7%	-689.2K	2.1M	-7.2K	0.95	131.78	113	108	423	944
2016-12-08	$58.98	$58.00	19.4%	3.6%	18.7%	14.0%	12.4%	9.8%	0.6%	-423.9K	2.5M	-7.4K	0.94	153.62	113	107	422	944
2016-12-09	$58.50	$58.00	18.4%	3.2%	16.5%	13.1%	11.6%	7.2%	1.6%	-433.1K	2.9M	-7.2K	0.94	119.08	113	107	422	944
2016-12-12	$58.56	$58.00	20.0%	3.1%	16.5%	14.5%	10.6%	6.5%	2.8%	-541.4K	2.8M	-6.4K	0.93	118.77	113	106	422	944
2016-12-13	$58.74	$58.00	31.1%	4.3%	13.4%	24.1%	12.8%	8.8%	1.2%	-571.5K	2.8M	-6.2K	0.57	123.29	113	65	422	946
2016-12-14	$58.72	$58.00	15.5%	4.4%	12.7%	10.7%	15.3%	11.9%	-4.0%	-411.3K	2.6M	-6.6K	0.56	156.63	113	63	422	944
2016-12-15	$58.36	$58.00	10.5%	3.0%	12.5%	6.4%	9.8%	7.7%	2.2%	-696.0K	3.0M	-5.3K	2.50	105.82	113	283	422	945
2016-12-16	$58.42	$58.00	10.9%	3.1%	12.5%	6.7%	11.3%	8.0%	2.1%	-119.5K	2.0M	-4.9K	4.00	114.78	102	406	422	910
2016-12-19	$58.60	$58.00	11.6%	3.3%	11.6%	7.3%	12.2%	7.5%	1.8%	-179.1K	1.8M	-5.7K	4.10	144.68	55	224	208	597
2016-12-20	$58.40	$58.00	12.3%	3.5%	11.7%	7.9%	12.3%	6.4%	0.6%	-187.2K	1.9M	-5.7K	4.10	100.03	55	224	211	599
2016-12-21	$58.68	$58.00	10.0%	2.9%	11.3%	5.9%	10.8%	4.8%	2.6%	-196.2K	1.8M	-5.6K	3.76	122.41	60	224	211	599
2016-12-22	$58.50	$58.00	10.1%	2.9%	11.0%	6.0%	10.6%	3.8%	3.0%	-194.3K	1.8M	-6.0K	3.75	139.87	60	223	216	599
2016-12-23	$58.48	$58.00	10.0%	2.9%	10.9%	5.9%	10.3%	3.4%	3.1%	-194.2K	1.8M	-6.0K	3.75	137.50	60	223	216	599
2016-12-27	$58.48	$58.00	9.9%	2.8%	10.8%	5.8%	10.3%	4.5%	3.2%	-195.2K	1.8M	-5.8K	3.75	137.15	60	223	216	599
2016-12-28	$59.12	$58.00	8.1%	2.3%	10.6%	4.3%	10.9%	4.6%	3.9%	-217.1K	1.6M	-5.5K	3.05	123.38	73	223	216	599
2016-12-29	$59.24	$58.00	8.2%	2.4%	9.9%	4.4%	10.7%	4.6%	4.8%	-186.7K	1.4M	-6.1K	3.08	111.86	73	225	232	599
2016-12-30	$59.34	$58.00	8.4%	2.4%	9.6%	4.5%	8.6%	2.5%	5.7%	-154.3K	1.4M	-6.1K	3.01	142.77	73	220	232	601