HYD Options History — January 2020

In January 2020, HYD traded between $64.01 and $65.33. ATM implied volatility averaged 7.4%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 0.9%. IV traded above realized volatility by 5.1% (HV 20d: 2.3%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2020-01-22: Highest Volume — 142 contracts
  • 2020-01-08: Largest IV spike — 315.5% change
  • 2020-01-14: Highest IV Rank — 35.3%
  • 2020-01-29: Largest Expected Move — 1.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.81$64.01$65.33$64.01$65.31
Max Pain$64.00$64.00$64.00$64.00$64.00
ATM IV7.4%2.1%25.2%3.2%3.7%
Expected Move0.9%0.6%1.1%0.9%1.1%
HV 20d2.3%1.6%2.6%2.0%1.6%
HV 60d2.4%2.1%2.5%2.3%2.1%
IV Rank8.3%0.3%35.3%2.0%2.7%
IV Percentile40.7%0.8%99.2%11.9%38.1%
Term Structure0.3%-2.2%1.6%0.7%-1.0%
VWIV3.5%3.5%3.5%3.5%3.5%
Skew 25d-1.9%-13.3%2.3%0.4%2.1%
Skew 10d-3.7%-20.9%3.5%0.4%1.8%
Call IV 25d6.0%1.7%17.0%3.5%3.5%
Put IV 25d4.0%3.0%5.6%3.8%5.6%
Bid-Ask Spread %163.96133.73188.89172.41159.13
Gamma HHI0.330.260.410.370.34
Net GEX-202.5K-615.3K193.1K-615.3K-182.2K
Net DEX100.7K-660.2K797.5K759.3K-58.6K
Net VEX-7.9K-11.7K-3.2K-4.9K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0011.000.000.00
Total Volume22.2860142100
Total OI1,067.3816911,3026911,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$64.01$64.003.2%0.9%2.0%2.0%3.5%0.4%0.7%-615.3K759.3K-4.9K0.00172.41010136555
2020-01-03$64.19$64.003.4%1.0%2.2%2.2%0.0%-6.9%0.1%-575.7K656.2K-4.5K0.00182.9010136565
2020-01-06$64.42$64.004.0%1.0%2.6%3.1%0.0%1.5%-1.0%-370.1K797.5K-5.8K0.00137.06021137565
2020-01-07$64.53$64.004.1%0.8%2.6%3.3%0.0%2.0%1.6%-132.7K224.9K-8.2K0.00133.7300289730
2020-01-08$64.51$64.0017.1%0.9%2.6%23.1%0.0%1.3%0.8%-95.5K260.2K-9.2K0.00160.0520289730
2020-01-09$64.57$64.0017.3%1.0%2.6%23.3%0.0%-0.8%1.2%-66.0K-239.1K-5.4K0.00144.8500291730
2020-01-10$64.63$64.0018.5%1.0%2.6%25.2%0.0%-9.7%0.4%97.3K-392.5K-4.7K0.00176.94021291730
2020-01-13$64.69$64.0023.6%0.8%2.4%32.9%0.0%-9.3%1.2%-286.2K251.8K-7.1K0.30159.54206291751
2020-01-14$64.73$64.0025.2%0.9%2.4%35.3%0.0%-2.2%1.4%-280.7K266.5K-8.1K0.00163.3300291750
2020-01-15$64.74$64.003.0%0.8%2.4%1.6%0.0%-3.7%1.4%179.0K-464.4K-3.4K0.00175.9705291750
2020-01-16$64.80$64.002.9%0.8%2.4%1.5%0.0%-13.3%0.9%-103.7K354.8K-10.3K0.00179.12011291754
2020-01-17$64.81$64.002.8%0.8%2.4%1.4%0.0%-13.3%1.2%193.1K-660.2K-3.2K0.00183.1106291765
2020-01-21$64.88$64.003.2%0.9%2.4%1.9%0.0%2.3%1.0%-64.4K154.1K-9.9K11.00188.8910110291690
2020-01-22$64.92$64.003.0%0.8%2.4%1.6%0.0%0.9%1.1%-282.4K178.4K-7.7K6.10172.9920122301793
2020-01-23$64.95$64.002.1%0.6%2.2%0.3%0.0%0.1%0.9%-215.4K213.3K-8.1K1.13166.381517308915
2020-01-24$65.09$64.003.0%0.9%2.2%1.6%0.0%1.7%0.1%-216.0K411.7K-11.7K0.00163.15340323932
2020-01-27$65.22$64.003.4%1.0%2.2%2.2%0.0%1.6%-2.2%-248.4K-198.2K-9.7K0.00153.5710357945
2020-01-28$65.26$64.003.8%1.1%2.2%2.8%0.0%2.1%-0.6%-292.8K-128.3K-10.6K0.00144.9080357945
2020-01-29$65.33$64.004.0%1.1%1.7%3.1%0.0%1.8%-1.5%-527.3K-153.6K-11.5K0.00163.42250357945
2020-01-30$65.33$64.003.7%1.1%1.8%2.7%0.0%0.9%-1.2%-167.9K-118.3K-10.4K0.00161.7803332945
2020-01-31$65.31$64.003.7%1.1%1.6%2.7%0.0%2.1%-1.0%-182.2K-58.6K-10.5K0.00159.1300332948