HYD Options History — July 2017

In July 2017, HYD traded between $60.98 and $62.22. ATM implied volatility averaged 6.8%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.6% (HV 20d: 6.2%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 4.40.

Notable Days

  • 2017-07-12: Highest Volume — 489 contracts
  • 2017-07-12: Largest IV drop — 53.5% change
  • 2017-07-11: Highest IV Rank — 8.7%
  • 2017-07-03: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.81$60.98$62.22$60.98$61.96
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV6.8%4.4%11.4%9.5%5.4%
Expected Move1.7%1.3%2.7%2.7%1.6%
HV 20d6.2%5.4%7.0%5.4%7.0%
HV 60d4.1%3.8%4.5%3.8%4.5%
IV Rank3.2%0.3%8.7%6.5%1.5%
IV Percentile28.9%0.4%82.1%67.1%9.9%
Term Structure0.2%-2.5%1.0%-2.5%0.2%
VWIV5.3%5.1%5.5%5.1%5.5%
Skew 25d-92.5%-143.5%3.6%3.6%1.8%
Skew 10d-116.8%-174.0%0.7%-73.3%0.7%
Call IV 25d101.6%3.8%153.5%3.8%5.8%
Put IV 25d9.0%7.4%10.7%7.4%7.5%
Bid-Ask Spread %187.19129.34199.00168.22129.34
Gamma HHI0.380.290.630.630.29
Net GEX-20.3K-65.9K43.8K-32.6K-23.6K
Net DEX288.5K-64.1K708.3K317.2K106.7K
Net VEX-4.1K-6.9K-2.0K-2.4K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.404.145.104.145.10
Total Volume463.4419489478419
Total OI692.65644734731644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$60.98$62.009.5%2.7%5.4%6.5%5.1%3.6%-2.5%-32.6K317.2K-2.4K4.14168.2293385169562
2017-07-05$61.34$62.008.8%2.5%5.9%5.6%5.5%-35.8%-1.2%-16.5K229.8K-3.7K4.14171.2593385169565
2017-07-06$61.44$0.008.7%1.6%5.9%5.5%0.0%-121.2%1.0%-53.3K647.5K-6.9K4.14183.9893385169565
2017-07-07$61.54$0.008.0%1.6%6.0%4.7%0.0%-120.6%0.4%-59.3K614.2K-6.7K4.14180.4093385169565
2017-07-10$61.56$0.009.7%1.8%6.0%6.6%0.0%-127.2%0.4%-50.6K616.7K-6.5K4.14188.5393385169565
2017-07-11$61.56$0.0011.4%1.9%6.0%8.7%0.0%-129.1%0.3%-64.9K647.9K-6.1K4.17190.0593388147547
2017-07-12$61.82$0.005.3%1.5%6.2%1.4%0.0%-132.3%0.5%-9.0K120.6K-3.2K4.25195.1593396147550
2017-07-13$61.78$0.006.0%1.7%6.1%2.3%0.0%-133.2%0.4%-58.7K579.3K-6.1K4.25196.3493396147550
2017-07-14$61.96$0.005.8%1.7%6.2%2.0%0.0%-132.5%0.5%12.6K60.1K-3.1K4.16196.1593387147550
2017-07-17$61.92$0.006.1%1.7%6.2%2.3%0.0%-140.5%0.4%-51.7K507.1K-5.6K4.16195.6793387147550
2017-07-18$62.06$0.005.5%1.6%6.3%1.7%0.0%-143.1%0.5%19.0K39.6K-3.0K4.16195.1593387147550
2017-07-19$62.08$0.005.6%1.6%6.3%1.8%0.0%-142.3%0.5%16.9K23.8K-3.0K4.16195.1593387147550
2017-07-20$62.10$0.005.4%1.5%6.2%1.5%0.0%-143.5%0.5%-34.0K414.2K-5.3K4.16199.0093387147550
2017-07-21$62.02$0.006.2%1.8%6.2%2.5%0.0%-66.1%0.4%43.8K97.1K-2.9K4.16184.7193387147550
2017-07-24$62.12$0.006.8%1.9%6.2%3.2%0.0%1.8%0.4%-12.9K75.9K-2.9K4.66184.7277359131547
2017-07-25$62.04$0.005.9%1.7%6.2%2.1%0.0%-119.8%0.3%1.9K22.6K-2.6K4.54198.8677350131522
2017-07-26$62.22$0.004.4%1.3%6.3%0.3%0.0%-109.0%0.5%18.8K-64.1K-2.1K5.10198.8669350131522
2017-07-27$62.14$0.004.9%1.4%6.3%0.9%0.0%-3.5%0.3%14.2K4.7K-2.0K5.10198.3469350122522
2017-07-28$61.62$0.006.0%1.7%6.7%2.2%0.0%-57.7%-0.3%-65.9K708.3K-5.3K5.10193.8669350122522
2017-07-31$61.96$0.005.4%1.6%7.0%1.5%0.0%1.8%0.2%-23.6K106.7K-2.6K5.10129.3469350122522