HYD Options History — September 2017

In September 2017, HYD traded between $62.54 and $62.84. ATM implied volatility averaged 6.8%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 3.8% (HV 20d: 3.1%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.25.

Notable Days

2017-09-15: Highest Volume — 506 contracts
2017-09-13: Largest IV drop — 66.0% change
2017-09-12: Highest IV Rank — 9.6%
2017-09-27: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.63	$62.54	$62.84	$62.64	$62.56
Max Pain	$62.00	$62.00	$62.00	$62.00	$62.00
ATM IV	6.8%	4.4%	13.4%	6.6%	5.7%
Expected Move	1.5%	1.2%	1.9%	1.9%	1.6%
HV 20d	3.1%	2.6%	3.3%	3.0%	2.6%
HV 60d	4.6%	3.6%	4.9%	4.8%	3.6%
IV Rank	2.8%	0.3%	9.6%	2.5%	1.7%
IV Percentile	30.4%	1.2%	92.5%	32.9%	19.0%
Term Structure	-1.7%	-3.8%	0.0%	-3.8%	-2.3%
VWIV	12.3%	12.3%	12.3%	12.3%	12.3%
Skew 25d	-28.3%	-171.6%	2.0%	0.4%	-171.6%
Skew 10d	-29.4%	-170.2%	4.5%	4.5%	-170.2%
Call IV 25d	37.1%	3.6%	182.7%	7.0%	182.7%
Put IV 25d	8.7%	5.1%	11.4%	7.4%	11.1%
Bid-Ask Spread %	180.91	152.06	194.47	188.08	193.67
Gamma HHI	0.58	0.32	0.75	0.32	0.61
Net GEX	-7.8K	-26.0K	16.7K	-16.8K	-21.1K
Net DEX	-50.2K	-385.2K	142.4K	-60.8K	136.5K
Net VEX	-1.1K	-1.5K	-547	-1.5K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.25	1.30	5.52	4.87	1.30
Total Volume	307.8	138	506	456	138
Total OI	399.1	151	631	631	169

Daily Data (20 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
2017-09-01	$62.64	$62.00	6.6%	1.9%	3.0%	2.5%	12.3%	0.4%	-3.8%	-16.8K	-60.8K	-1.5K	4.87	188.08	78	378	110	521
2017-09-05	$62.82	$0.00	8.0%	1.6%	3.1%	4.1%	0.0%	1.6%	-2.0%	744	-304.5K	-684	4.87	152.09	78	378	110	521
2017-09-06	$62.76	$0.00	8.6%	1.6%	3.0%	4.7%	0.0%	1.6%	-2.2%	352	-141.0K	-1.2K	4.97	161.17	78	385	110	521
2017-09-07	$62.84	$0.00	9.7%	1.6%	3.0%	5.8%	0.0%	1.6%	-2.4%	16.7K	-267.1K	-895	4.97	152.06	78	385	110	521
2017-09-08	$62.68	$0.00	10.0%	1.5%	3.2%	6.1%	0.0%	1.8%	-0.2%	13.0K	-227.3K	-887	4.97	171.13	78	385	110	521
2017-09-11	$62.62	$0.00	12.4%	1.3%	3.3%	8.6%	0.0%	-0.3%	-0.5%	9.3K	-229.1K	-800	4.97	185.34	78	385	110	521
2017-09-12	$62.56	$0.00	13.4%	1.2%	3.3%	9.6%	0.0%	0.7%	0.0%	7.6K	-213.9K	-753	4.97	184.39	78	385	110	521
2017-09-13	$62.62	$0.00	4.6%	1.3%	3.3%	0.4%	0.0%	-0.3%	-2.2%	8.0K	-235.4K	-701	4.97	185.34	78	385	110	521
2017-09-14	$62.62	$0.00	4.6%	1.3%	3.2%	0.5%	0.0%	-22.7%	-2.2%	6.5K	-245.0K	-655	4.97	185.31	78	385	110	521
2017-09-15	$62.58	$0.00	4.7%	1.4%	3.3%	0.6%	0.0%	-131.4%	-1.0%	5.9K	-385.2K	-547	5.52	185.34	78	428	110	521
2017-09-18	$62.64	$0.00	4.9%	1.4%	3.2%	0.8%	0.0%	0.7%	-1.2%	-26.0K	142.4K	-1.2K	1.95	182.37	60	117	31	120
2017-09-19	$62.54	$0.00	4.7%	1.3%	3.2%	0.6%	0.0%	-0.3%	-1.0%	-19.6K	123.6K	-1.4K	1.95	175.00	60	117	49	120
2017-09-20	$62.54	$0.00	4.8%	1.4%	3.1%	0.7%	0.0%	1.8%	-1.3%	-18.5K	134.2K	-1.4K	1.95	186.10	60	117	49	120
2017-09-21	$62.64	$0.00	4.4%	1.3%	3.0%	0.3%	0.0%	-51.7%	-0.8%	-19.7K	126.9K	-1.4K	1.30	187.53	60	78	49	120
2017-09-22	$62.58	$0.00	4.9%	1.4%	3.0%	0.8%	0.0%	-25.0%	-1.7%	-19.7K	129.2K	-1.4K	1.30	188.41	60	78	49	120
2017-09-25	$62.72	$0.00	5.9%	1.7%	3.0%	1.8%	0.0%	2.0%	-2.1%	-19.8K	117.3K	-1.4K	1.30	185.34	60	78	49	120
2017-09-26	$62.62	$0.00	5.7%	1.6%	2.9%	1.6%	0.0%	1.9%	-2.1%	-20.3K	124.3K	-1.4K	1.30	188.42	60	78	49	120
2017-09-27	$62.56	$0.00	6.7%	1.9%	2.6%	2.7%	0.0%	-163.2%	-2.7%	-21.3K	137.2K	-1.3K	1.30	194.47	60	78	49	120
2017-09-28	$62.56	$0.00	6.0%	1.7%	2.6%	2.0%	0.0%	-14.8%	-2.9%	-20.5K	134.4K	-1.4K	1.30	186.71	60	78	49	120
2017-09-29	$62.56	$0.00	5.7%	1.6%	2.6%	1.7%	0.0%	-171.6%	-2.3%	-21.1K	136.5K	-1.3K	1.30	193.67	60	78	49	120