HYD Options History — January 2017

In January 2017, HYD traded between $59.28 and $60.36. ATM implied volatility averaged 9.6%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 4.0% (HV 20d: 5.6%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.80.

Notable Days

2017-01-03: Highest Volume — 297 contracts
2017-01-10: Largest IV spike — 26.3% change
2017-01-24: Highest IV Rank — 14.5%
2017-01-24: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.90	$59.28	$60.36	$59.28	$60.14
Max Pain	$58.90	$58.00	$60.00	$58.00	$60.00
ATM IV	9.6%	8.5%	11.3%	9.8%	9.8%
Expected Move	2.8%	2.5%	3.1%	2.8%	2.8%
HV 20d	5.6%	3.5%	8.8%	8.8%	3.7%
HV 60d	11.8%	11.8%	11.9%	11.8%	11.9%
IV Rank	9.8%	4.6%	14.5%	5.7%	12.6%
IV Percentile	50.2%	40.9%	63.1%	48.8%	53.6%
Term Structure	-0.1%	-2.5%	4.7%	4.7%	1.2%
VWIV	9.9%	8.1%	13.0%	8.4%	10.5%
Skew 25d	3.1%	0.0%	6.8%	1.0%	6.8%
Skew 10d	5.1%	1.4%	10.4%	4.6%	8.7%
Call IV 25d	8.6%	6.8%	9.8%	6.8%	8.2%
Put IV 25d	11.7%	7.8%	15.0%	7.8%	15.0%
Bid-Ask Spread %	139.86	102.72	183.72	120.98	180.84
Gamma HHI	0.50	0.42	0.62	0.42	0.52
Net GEX	-175.8K	-218.4K	-143.9K	-166.8K	-218.4K
Net DEX	1.1M	902.9K	1.5M	1.5M	1.0M
Net VEX	-5.0K	-5.9K	-4.5K	-5.6K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	1.80	3.70	3.01	2.07
Total Volume	236.25	137	297	297	181
Total OI	817.1	746	865	833	808

Daily Data (20 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
2017-01-03	$59.28	$58.00	9.8%	2.8%	8.8%	5.7%	8.4%	1.0%	4.7%	-166.8K	1.5M	-5.6K	3.01	120.98	74	223	232	601
2017-01-04	$59.34	$58.00	10.1%	2.9%	8.8%	6.0%	13.0%	5.8%	4.7%	-168.6K	1.5M	-5.8K	3.06	167.99	72	219	233	606
2017-01-05	$59.50	$58.00	8.5%	2.8%	7.9%	4.6%	10.7%	2.8%	-1.3%	-171.6K	1.3M	-5.9K	3.61	119.76	61	219	233	606
2017-01-06	$59.56	$58.00	9.4%	3.0%	6.5%	5.4%	10.4%	3.4%	-1.1%	-192.6K	1.3M	-5.5K	3.61	109.94	61	219	232	606
2017-01-09	$59.80	$58.00	9.0%	2.8%	6.4%	5.0%	10.1%	4.9%	-1.1%	-187.5K	1.2M	-5.2K	3.61	116.21	61	219	232	606
2017-01-10	$59.86	$58.00	11.3%	2.8%	5.5%	7.1%	10.1%	4.2%	-1.1%	-196.4K	1.3M	-5.7K	3.53	127.90	61	214	232	607
2017-01-11	$60.08	$58.00	9.2%	2.6%	5.6%	5.3%	9.6%	5.2%	0.1%	-174.1K	1.0M	-5.0K	3.70	102.72	60	220	231	607
2017-01-12	$60.30	$58.00	9.3%	2.7%	5.6%	11.5%	9.5%	2.9%	-0.4%	-190.9K	960.7K	-5.0K	3.01	127.50	73	220	231	614
2017-01-13	$60.36	$58.00	9.0%	2.6%	5.6%	11.0%	8.5%	3.8%	-0.4%	-186.4K	925.8K	-4.8K	3.21	150.94	69	220	227	614
2017-01-17	$60.30	$58.00	8.7%	2.5%	4.9%	10.4%	8.1%	3.5%	1.8%	-159.3K	902.9K	-4.8K	2.66	138.86	72	190	228	614
2017-01-18	$60.18	$58.00	8.6%	2.5%	5.1%	10.3%	8.6%	4.0%	1.9%	-154.9K	946.4K	-5.1K	2.64	147.28	72	190	244	619
2017-01-19	$60.08	$60.00	9.8%	2.8%	5.2%	12.6%	10.1%	4.5%	-1.5%	-185.5K	1.0M	-4.8K	2.64	117.36	72	190	245	620
2017-01-20	$60.02	$60.00	9.9%	2.8%	4.9%	12.7%	10.6%	5.1%	-1.6%	-149.5K	1.0M	-4.5K	2.83	161.06	72	204	245	620
2017-01-23	$59.78	$60.00	9.6%	2.7%	5.1%	12.0%	9.9%	1.5%	-1.3%	-180.8K	1.2M	-4.6K	1.80	111.66	49	88	235	511
2017-01-24	$59.70	$60.00	10.8%	3.1%	5.0%	14.5%	10.3%	0.2%	-2.5%	-187.6K	1.2M	-4.5K	1.80	162.84	49	88	235	511
2017-01-25	$59.76	$60.00	10.1%	2.9%	5.0%	13.1%	9.7%	0.0%	-1.4%	-168.7K	1.2M	-5.1K	2.20	162.05	49	107	235	513
2017-01-26	$60.00	$60.00	9.8%	2.8%	5.0%	12.6%	9.7%	0.2%	-0.8%	-161.3K	1.1M	-4.7K	2.20	140.39	49	107	235	533
2017-01-27	$60.00	$60.00	9.5%	2.7%	3.5%	12.0%	9.4%	1.2%	-0.6%	-143.9K	1.1M	-4.6K	2.66	147.18	41	109	235	533
2017-01-30	$59.92	$60.00	9.7%	2.8%	3.6%	12.3%	10.0%	0.8%	-0.7%	-171.8K	1.2M	-4.8K	2.07	183.72	59	122	240	533
2017-01-31	$60.14	$60.00	9.8%	2.8%	3.7%	12.6%	10.5%	6.8%	1.2%	-218.4K	1.0M	-4.6K	2.07	180.84	59	122	257	551