HYD Options History — May 2017

In May 2017, HYD traded between $61.10 and $62.24. ATM implied volatility averaged 7.1%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 4.6% (HV 20d: 2.4%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.15.

Notable Days

  • 2017-05-31: Highest Volume — 458 contracts
  • 2017-05-30: Largest IV spike — 80.6% change
  • 2017-05-03: Highest IV Rank — 9.9%
  • 2017-05-03: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.59$61.10$62.24$61.22$62.24
Max Pain$61.73$60.00$62.00$60.00$62.00
ATM IV7.1%4.1%11.5%8.2%6.6%
Expected Move2.0%1.2%3.3%2.3%1.9%
HV 20d2.4%2.0%2.7%2.6%2.1%
HV 60d3.4%3.2%3.5%3.5%3.2%
IV Rank4.7%1.2%9.9%6.0%4.2%
IV Percentile32.4%0.4%82.9%42.9%31.0%
Term Structure-0.6%-5.5%2.5%-1.1%1.7%
VWIV10.3%5.9%22.1%5.9%11.0%
Skew 25d-93.9%-178.6%1.5%0.8%-5.8%
Skew 10d-96.9%-167.7%5.3%3.9%-10.2%
Call IV 25d102.8%5.2%187.7%7.4%15.1%
Put IV 25d8.9%5.9%12.6%8.2%9.3%
Bid-Ask Spread %186.07127.58197.18178.72127.58
Gamma HHI0.350.240.650.240.29
Net GEX-129-44.1K70.8K-7.1K-44.1K
Net DEX92.3K-252.3K416.1K416.1K69.4K
Net VEX-3.9K-5.2K-2.5K-4.7K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.152.288.403.548.23
Total Volume313.045259458259458
Total OI616.727541787583787

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$61.22$60.008.2%2.3%2.6%6.0%5.9%0.8%-1.1%-7.1K416.1K-4.7K3.54178.7257202122461
2017-05-02$61.26$60.008.5%2.4%2.6%6.3%6.2%0.8%-1.1%-6.6K405.5K-4.7K3.54176.3257202122461
2017-05-03$61.10$60.0011.5%3.3%2.7%9.9%5.9%1.1%-1.5%-40.3K302.1K-4.3K3.54192.4757202122461
2017-05-04$61.12$62.006.1%1.5%2.7%3.5%8.5%-89.2%-1.1%-17.2K174.0K-3.0K3.54188.6757202122461
2017-05-05$61.24$62.009.7%1.5%2.7%7.8%6.4%-97.7%-0.9%-11.5K177.6K-2.8K2.63189.0081212122461
2017-05-08$61.24$62.005.7%2.4%2.7%3.0%6.6%-17.4%-2.9%11.5K54.1K-2.5K2.28184.5097222140401
2017-05-09$61.20$62.006.1%1.6%2.4%3.5%7.5%-129.5%-1.0%4.1K110.9K-3.5K2.28190.3997222175411
2017-05-10$61.32$62.006.3%1.8%2.5%3.8%7.5%-130.5%-0.9%4.6K87.1K-3.6K2.28185.0797222175411
2017-05-11$61.36$62.007.8%2.2%2.5%5.5%9.6%-133.6%-0.6%2.0K89.5K-3.6K2.28195.7297222175411
2017-05-12$61.46$62.007.9%2.3%2.5%5.7%9.3%-135.3%-2.1%-16564.5K-3.7K2.75194.7981222175411
2017-05-15$61.56$62.008.0%2.3%2.6%5.8%8.7%-141.0%-2.1%12.1K-11.8K-3.6K2.75194.0981222193411
2017-05-16$61.64$62.005.7%1.6%2.4%3.0%14.2%-143.2%-1.4%8.6K-28.2K-3.8K2.75195.6681222193411
2017-05-17$61.82$62.008.6%2.5%2.6%6.5%22.1%-0.5%-5.5%69.2K-182.6K-3.1K3.71184.0964236193411
2017-05-18$61.78$62.007.4%2.1%2.6%5.1%19.2%-149.2%-1.8%-22.2K142.7K-5.2K4.71196.9750236194421
2017-05-19$61.78$62.007.2%2.1%2.6%4.8%19.5%-152.1%-1.1%-18.8K117.0K-5.2K4.71197.1850236200421
2017-05-22$61.92$62.007.3%2.1%2.5%4.9%9.2%-140.9%1.9%-10919.4K-4.9K4.65193.9450233200419
2017-05-23$61.92$62.005.0%1.4%2.2%2.3%9.4%-149.3%1.9%-4.3K39.7K-5.0K4.79192.7949233200428
2017-05-24$61.92$62.005.2%1.5%2.2%2.4%9.6%-150.1%1.4%3.5K57.2K-5.1K4.79192.7949233205428
2017-05-25$61.94$62.004.9%1.4%2.2%2.1%8.9%-126.6%1.3%17.2K-252.3K-4.5K4.79192.1449233205428
2017-05-26$61.98$62.004.1%1.2%2.1%1.2%8.6%1.5%2.5%70.8K-139.1K-2.7K8.40191.7549408205428
2017-05-30$62.06$62.007.5%2.1%2.0%5.1%12.6%-178.6%0.3%-34.1K317.9K-2.9K8.40159.0049408134653
2017-05-31$62.24$62.006.6%1.9%2.1%4.2%11.0%-5.8%1.7%-44.1K69.4K-3.8K8.23127.5850408134653