HYD Options History — February 2017

In February 2017, HYD traded between $59.66 and $60.84. ATM implied volatility averaged 8.7%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 4.3% (HV 20d: 4.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.95.

Notable Days

2017-02-28: Highest Volume — 415 contracts
2017-02-21: Largest IV spike — 35.7% change
2017-02-01: Highest IV Rank — 17.4%
2017-02-01: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.30	$59.66	$60.84	$59.66	$60.84
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	8.7%	6.1%	12.4%	12.4%	9.8%
Expected Move	2.4%	1.8%	3.6%	3.6%	2.8%
HV 20d	4.4%	3.8%	4.9%	4.8%	3.8%
HV 60d	9.0%	6.4%	12.0%	12.0%	6.4%
IV Rank	10.5%	5.8%	17.4%	17.4%	12.7%
IV Percentile	43.9%	18.7%	74.6%	74.6%	57.5%
Term Structure	0.3%	-3.9%	2.5%	-3.9%	-1.9%
VWIV	13.0%	7.0%	23.6%	12.2%	21.9%
Skew 25d	3.4%	1.1%	5.7%	1.7%	3.6%
Skew 10d	4.0%	-0.1%	9.5%	2.9%	-0.1%
Call IV 25d	6.7%	5.9%	10.5%	10.5%	6.5%
Put IV 25d	10.1%	7.1%	12.3%	12.2%	10.2%
Bid-Ask Spread %	155.08	92.38	182.69	175.72	181.13
Gamma HHI	0.65	0.47	0.92	0.53	0.61
Net GEX	-209.9K	-310.5K	-104.8K	-222.8K	-137.4K
Net DEX	737.1K	203.4K	1.4M	1.4M	203.4K
Net VEX	-4.1K	-5.3K	-2.4K	-5.2K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.95	1.09	3.45	2.07	3.27
Total Volume	256	181	415	181	415
Total OI	847.263	808	863	808	844

Daily Data (19 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
2017-02-01	$59.66	$60.00	12.4%	3.6%	4.8%	17.4%	12.2%	1.7%	-3.9%	-222.8K	1.4M	-5.2K	2.07	175.72	59	122	257	551
2017-02-02	$59.78	$60.00	9.3%	2.6%	4.9%	11.5%	12.1%	2.8%	1.0%	-211.5K	1.2M	-5.3K	2.10	155.71	59	124	257	551
2017-02-03	$59.94	$60.00	10.1%	2.3%	4.9%	13.3%	9.6%	3.7%	1.5%	-215.9K	1.1M	-5.1K	1.56	152.60	80	124	257	574
2017-02-06	$60.08	$60.00	11.4%	2.5%	4.9%	15.7%	10.2%	3.5%	1.0%	-210.5K	1.1M	-5.0K	1.39	127.94	90	124	268	574
2017-02-07	$60.12	$60.00	10.7%	2.7%	4.7%	14.4%	10.7%	3.2%	0.5%	-211.3K	1.0M	-4.8K	1.39	157.43	90	124	278	574
2017-02-08	$60.04	$60.00	7.8%	2.2%	4.7%	8.9%	8.7%	4.1%	1.5%	-231.5K	949.4K	-4.9K	1.34	92.38	90	120	278	574
2017-02-09	$60.06	$60.00	6.9%	2.0%	4.6%	7.2%	8.6%	3.9%	2.1%	-254.4K	974.5K	-5.0K	1.25	168.00	90	112	278	573
2017-02-10	$60.10	$60.00	7.0%	2.0%	4.4%	7.4%	9.4%	1.1%	2.1%	-270.3K	928.9K	-4.6K	1.26	143.99	90	113	278	575
2017-02-13	$60.14	$60.00	6.7%	1.9%	4.3%	6.7%	7.4%	1.1%	2.1%	-276.9K	901.6K	-4.4K	1.15	152.01	98	113	278	575
2017-02-14	$60.32	$60.00	7.4%	2.1%	4.5%	8.1%	8.0%	5.7%	1.2%	-238.2K	673.6K	-3.4K	1.44	105.82	78	113	286	575
2017-02-15	$60.36	$60.00	6.5%	1.9%	4.4%	6.4%	12.1%	1.3%	2.2%	-262.2K	604.9K	-3.3K	1.44	150.89	78	113	288	575
2017-02-16	$60.42	$60.00	6.1%	1.8%	4.4%	5.8%	14.9%	5.3%	1.8%	-262.7K	545.6K	-3.2K	1.44	169.75	78	112	288	575
2017-02-17	$60.46	$60.00	6.4%	1.8%	4.3%	6.2%	7.0%	1.2%	2.5%	-310.5K	615.1K	-3.9K	1.09	161.27	95	104	274	576
2017-02-21	$60.56	$60.00	8.7%	2.5%	4.0%	10.6%	12.1%	5.2%	-0.2%	-171.4K	467.8K	-3.3K	1.23	136.67	95	117	277	566
2017-02-22	$60.66	$60.00	8.9%	2.6%	4.0%	11.0%	19.5%	5.2%	-2.1%	-169.8K	458.0K	-3.4K	3.35	182.69	95	317	277	577
2017-02-23	$60.70	$60.00	9.1%	2.6%	4.0%	11.4%	18.0%	2.8%	-1.9%	-104.8K	213.6K	-2.7K	3.35	175.57	95	317	277	577
2017-02-24	$60.80	$60.00	9.4%	2.7%	3.8%	11.9%	20.7%	3.9%	-1.4%	-116.1K	340.9K	-3.7K	3.45	178.97	92	318	277	577
2017-02-27	$60.74	$60.00	10.1%	2.9%	3.9%	13.3%	23.6%	4.6%	-2.0%	-109.2K	306.2K	-3.6K	3.45	177.94	92	318	285	577
2017-02-28	$60.84	$60.00	9.8%	2.8%	3.8%	12.7%	21.9%	3.6%	-1.9%	-137.4K	203.4K	-2.4K	3.27	181.13	97	318	267	577