HYD Options History — March 2017

In March 2017, HYD traded between $59.74 and $61.16. ATM implied volatility averaged 16.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 11.8% (HV 20d: 4.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.41.

Notable Days

  • 2017-03-17: Highest Volume — 458 contracts
  • 2017-03-30: Largest IV spike — 901.2% change
  • 2017-03-30: Highest IV Rank — 100.0%
  • 2017-03-31: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.57$59.74$61.16$60.56$61.14
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV16.3%6.5%87.5%9.6%87.5%
Expected Move4.2%1.6%25.1%2.7%25.1%
HV 20d4.5%2.9%5.2%4.1%4.6%
HV 60d4.9%4.2%6.4%6.4%4.2%
IV Rank20.1%6.5%100.0%12.3%100.0%
IV Percentile57.4%24.6%100.0%55.6%100.0%
Term Structure-1.1%-4.1%1.7%-2.0%-0.9%
VWIV36.3%6.8%171.4%16.6%171.4%
Skew 25d-2.8%-116.8%5.6%2.2%5.6%
Skew 10d-11.6%-158.0%8.4%4.2%5.6%
Call IV 25d11.6%4.5%125.3%6.5%9.0%
Put IV 25d8.8%6.5%14.5%8.7%14.5%
Bid-Ask Spread %170.93105.24198.34178.56198.01
Gamma HHI0.710.520.930.640.58
Net GEX-80.0K-294.7K126.3K-170.4K21.6K
Net DEX64.2K-525.8K864.9K269.4K-407.5K
Net VEX-2.5K-3.4K-1.3K-2.6K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.423.273.270.60
Total Volume303.435226458415240
Total OI740.7395821,044848582

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$60.56$60.009.6%2.7%4.1%12.3%16.6%2.2%-2.0%-170.4K269.4K-2.6K3.27178.5697318271577
2017-03-02$60.36$60.009.9%2.8%3.0%12.9%47.7%2.0%-4.1%-194.3K520.1K-3.4K2.24176.2197218261577
2017-03-03$60.28$60.009.7%2.8%3.0%12.5%13.8%5.3%-4.0%-171.4K566.4K-3.4K2.24184.9497218261578
2017-03-06$60.40$0.0010.3%2.2%3.0%13.6%0.0%1.6%1.0%-201.4K387.2K-2.3K2.24157.6097218261568
2017-03-07$60.40$0.0011.4%2.2%2.9%15.8%0.0%2.4%1.4%-189.6K473.1K-2.4K2.39150.4997232261568
2017-03-08$60.32$0.0012.5%2.0%2.9%17.8%0.0%2.0%1.5%-194.8K541.1K-2.4K2.29112.0997222261567
2017-03-09$59.74$0.0011.4%1.6%4.5%15.8%0.0%0.9%1.7%-228.1K797.1K-3.0K2.25165.0997218261567
2017-03-10$59.88$60.009.8%2.1%4.6%12.7%6.9%0.6%0.3%-230.6K864.9K-3.0K2.23170.9097216261569
2017-03-13$60.04$60.0013.9%2.2%4.7%20.6%7.5%0.9%0.5%-241.7K771.7K-2.8K2.75171.1179216261571
2017-03-14$60.10$60.0017.7%2.2%4.7%27.9%7.7%1.3%0.9%-232.4K702.7K-2.6K1.87170.8479147261566
2017-03-15$60.48$60.008.7%2.5%5.2%10.6%8.5%3.2%-0.4%-294.7K514.7K-2.7K0.81191.86180147261566
2017-03-16$60.56$60.007.7%2.2%5.2%8.7%7.9%1.9%-1.1%-110.6K-108.4K-2.5K1.01184.58224226358566
2017-03-17$60.62$60.007.1%2.0%5.2%7.7%8.0%1.1%-3.0%126.3K-503.9K-2.7K0.98181.17232226398646
2017-03-20$60.62$60.006.5%1.9%5.2%6.5%8.9%0.7%-2.3%36.5K-340.3K-2.8K0.79194.51190151210377
2017-03-21$60.72$60.006.6%1.9%5.2%6.6%7.9%1.5%-1.1%59.4K-487.6K-1.3K0.79127.40190151210380
2017-03-22$60.78$60.007.3%2.1%5.1%8.1%9.9%2.4%-2.6%52.9K-369.1K-2.8K0.42184.1919080210380
2017-03-23$60.84$60.008.2%2.4%5.1%9.7%9.8%1.4%-2.5%30.9K-484.9K-1.3K0.53183.8115080210389
2017-03-24$60.92$60.008.3%2.4%5.1%9.9%9.7%1.6%-2.3%54.0K-350.1K-2.5K0.53183.4015080205389
2017-03-27$61.00$60.009.1%2.6%5.1%11.4%11.5%-116.8%-3.1%28.7K-488.7K-1.3K0.53187.5015080205389
2017-03-28$61.10$60.008.4%2.4%5.1%10.1%161.2%4.8%-0.9%91.5K-525.8K-2.5K0.53173.6715080205389
2017-03-29$61.16$60.008.5%2.4%4.8%10.3%6.8%5.2%-1.2%95.1K-483.9K-2.4K0.56105.2415085205389
2017-03-30$61.10$60.0085.4%24.5%4.6%100.0%168.8%4.5%-1.4%23.5K-380.8K-2.6K0.60198.3415090205385
2017-03-31$61.14$60.0087.5%25.1%4.6%100.0%171.4%5.6%-0.9%21.6K-407.5K-2.2K0.60198.0115090205377