HYD Options History — June 2017

In June 2017, HYD traded between $61.66 and $62.20. ATM implied volatility averaged 7.7%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 5.3% (HV 20d: 2.5%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 6.61.

Notable Days

  • 2017-06-15: Highest Volume — 543 contracts
  • 2017-06-14: Largest IV drop — 56.9% change
  • 2017-06-13: Highest IV Rank — 13.7%
  • 2017-06-29: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.03$61.66$62.20$62.04$61.80
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV7.7%4.8%15.6%5.5%8.0%
Expected Move1.8%1.4%2.8%1.6%2.3%
HV 20d2.5%2.3%2.8%2.3%2.8%
HV 60d2.5%2.3%3.3%3.3%2.7%
IV Rank4.7%0.8%13.7%2.8%4.6%
IV Percentile40.0%2.8%96.4%12.3%45.2%
Term Structure-1.0%-4.9%2.1%1.1%-1.0%
VWIV7.6%4.1%11.6%11.6%4.1%
Skew 25d-99.5%-174.6%1.8%-43.7%-174.6%
Skew 10d-112.6%-174.6%2.8%-75.5%-174.6%
Call IV 25d108.7%5.0%186.0%52.2%186.0%
Put IV 25d9.2%5.8%12.0%8.5%11.5%
Bid-Ask Spread %188.68116.06199.00176.51195.88
Gamma HHI0.420.270.700.270.35
Net GEX-30.6K-66.9K13.4K-41.2K-39.5K
Net DEX292.2K14.1K755.0K146.2K599.0K
Net VEX-4.8K-7.4K-2.3K-3.7K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.614.378.968.234.38
Total Volume487.045456543458500
Total OI753.318705851788721

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$62.04$62.005.5%1.6%2.3%2.8%11.6%-43.7%1.1%-41.2K146.2K-3.7K8.23176.5150408135653
2017-06-02$62.16$62.008.2%2.4%2.3%6.0%10.3%-2.3%-4.9%-44.9K90.5K-3.4K8.58197.9648408135653
2017-06-05$62.04$0.009.9%1.7%2.5%8.0%0.0%1.8%-2.3%-28.2K60.3K-3.4K8.96181.3148426138643
2017-06-06$62.10$0.008.5%1.6%2.5%6.4%0.0%0.7%-0.2%-13.8K157.3K-2.4K8.96116.0648426138643
2017-06-07$62.08$0.008.3%1.6%2.4%6.2%0.0%-11.5%-0.2%-9.0K129.5K-2.4K8.51191.1050426138643
2017-06-08$61.96$0.008.9%1.7%2.6%6.8%0.0%-118.3%-0.4%-7.1K138.8K-2.4K8.51193.2650426141643
2017-06-09$61.98$0.009.5%1.7%2.6%7.5%0.0%-123.4%-2.4%-63.0K493.5K-6.2K8.51195.1650426141640
2017-06-12$61.94$0.0012.5%1.8%2.6%10.1%0.0%-128.2%-0.6%-7.0K155.7K-2.3K8.51195.1650426141640
2017-06-13$62.02$0.0015.6%1.7%2.5%13.7%0.0%-129.4%-2.6%-3.8K14.1K-2.6K8.51194.8450426141640
2017-06-14$62.08$0.006.7%1.9%2.5%3.1%0.0%-104.2%-1.3%-66.3K376.7K-5.7K8.52177.7550426141640
2017-06-15$62.00$0.006.1%1.7%2.4%2.3%0.0%-86.0%-2.8%-66.9K402.7K-5.6K5.66184.3082461141640
2017-06-16$62.08$0.005.5%1.6%2.4%1.7%0.0%-134.6%-2.0%13.4K334.5K-6.4K5.66194.4682461176675
2017-06-19$62.06$0.005.8%1.7%2.4%2.0%0.0%-140.1%0.5%-59.9K464.7K-6.6K5.27192.0977406153552
2017-06-20$62.12$0.004.8%1.4%2.3%0.8%0.0%-141.6%1.9%-62.9K392.4K-6.4K5.27191.5677406153552
2017-06-21$62.00$0.004.9%1.4%2.4%0.9%0.0%-144.3%1.3%2.0K62.8K-3.3K5.27191.5877406153552
2017-06-22$62.12$0.005.4%1.5%2.5%1.5%0.0%-147.6%1.4%5.4K97.3K-3.3K5.27194.4677406153552
2017-06-23$62.12$0.005.1%1.5%2.5%1.2%0.0%-17.2%2.1%-48.5K586.9K-7.3K5.27195.7477406153552
2017-06-26$62.20$0.006.9%2.0%2.5%3.4%6.9%-158.6%-1.2%7.0K26.0K-3.3K4.37199.0093406153552
2017-06-27$62.08$62.007.1%2.0%2.6%3.5%6.8%-49.2%-1.2%-54.1K357.8K-6.0K4.37197.6093406169552
2017-06-28$61.96$62.007.6%2.2%2.5%4.2%6.5%-165.2%-3.4%-48.6K586.3K-7.1K4.37198.8693406169552
2017-06-29$61.66$62.009.7%2.8%2.8%6.7%6.9%-171.8%-3.1%-36.9K755.0K-7.2K4.37196.3793406169552
2017-06-30$61.80$62.008.0%2.3%2.8%4.6%4.1%-174.6%-1.0%-39.5K599.0K-7.4K4.38195.8893407169552