HYD Options History — February 2020

In February 2020, HYD traded between $65.08 and $66.19. ATM implied volatility averaged 3.7%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 2.0% (HV 20d: 1.7%). Max pain ranged from $64.00 to $65.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.47.

Notable Days

  • 2020-02-27: Highest Volume — 160 contracts
  • 2020-02-28: Largest IV spike — 93.9% change
  • 2020-02-28: Highest IV Rank — 11.1%
  • 2020-02-28: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.49$65.08$66.19$65.22$65.47
Max Pain$64.47$64.00$65.00$64.00$65.00
ATM IV3.7%2.6%9.3%4.0%9.3%
Expected Move1.0%0.8%2.7%1.1%2.7%
HV 20d1.7%1.5%4.0%1.7%4.0%
HV 60d2.2%2.1%2.8%2.2%2.8%
IV Rank2.7%1.0%11.1%3.1%11.1%
IV Percentile29.9%2.4%91.3%50.0%91.3%
Term Structure0.6%-1.8%2.0%0.1%-0.8%
VWIV4.4%1.4%12.8%4.2%12.8%
Skew 25d1.7%0.4%6.5%0.9%6.5%
Skew 10d2.6%0.7%10.1%1.1%10.1%
Call IV 25d2.8%1.4%4.5%3.3%3.6%
Put IV 25d4.5%2.8%10.1%4.2%10.1%
Bid-Ask Spread %141.9575.29199.65159.48148.00
Gamma HHI0.260.220.310.270.27
Net GEX-342.4K-661.1K-172.8K-205.2K-661.1K
Net DEX486.7K77.9K1.4M282.2K1.4M
Net VEX-10.1K-13.0K-7.1K-12.7K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.029.679.009.67
Total Volume31.263016010119
Total OI1,217.6321,1361,4641,2761,464

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$65.22$64.004.0%1.1%1.7%3.1%4.2%0.9%0.1%-205.2K282.2K-12.7K9.00159.4819328948
2020-02-04$65.12$65.002.8%0.8%1.5%1.4%0.0%0.5%0.4%-299.1K442.9K-13.0K0.00167.4800329957
2020-02-05$65.08$65.002.9%0.8%1.5%1.5%0.0%0.4%0.4%-289.9K501.7K-12.9K0.00181.6201329957
2020-02-06$65.12$64.003.0%0.9%1.5%1.6%0.0%1.4%-0.1%-192.8K243.3K-11.7K0.0075.2903329957
2020-02-07$65.20$64.003.0%1.0%1.5%1.7%0.0%0.7%0.2%-222.7K249.6K-12.1K0.00118.2600329959
2020-02-10$65.26$64.003.6%0.8%1.5%2.6%3.3%1.1%1.4%-281.3K710.4K-9.4K0.00122.1506177959
2020-02-11$65.26$64.003.5%0.8%1.5%2.4%0.0%0.7%1.4%-331.7K762.0K-9.6K0.00124.4300177965
2020-02-12$65.26$64.002.7%0.8%1.5%1.1%0.0%0.9%0.2%-315.4K644.2K-8.9K0.00147.8701177965
2020-02-13$65.30$64.003.1%0.9%1.5%1.7%4.5%1.9%1.9%-367.9K770.7K-9.9K2.33149.5037177966
2020-02-14$65.35$64.002.6%0.8%1.5%1.0%1.4%1.9%1.0%-405.7K550.6K-8.9K0.02125.36531180973
2020-02-18$65.44$64.003.1%0.9%1.5%1.8%2.8%2.5%0.7%-469.0K467.8K-8.5K0.2091.25306177973
2020-02-19$65.51$64.002.8%0.8%1.5%1.3%3.4%1.8%1.6%-479.3K263.8K-7.5K0.25128.214010177979
2020-02-20$65.62$65.002.8%0.8%1.6%1.3%0.0%3.1%1.8%-172.8K77.9K-7.1K0.00119.3700209983
2020-02-21$65.74$65.003.8%1.1%1.6%2.8%3.0%0.5%-0.7%-456.5K505.8K-10.8K0.08159.47121209983
2020-02-24$65.90$65.004.2%1.2%1.7%3.4%4.1%1.7%0.3%-250.9K228.5K-8.1K2.67154.201232172969
2020-02-25$66.13$65.005.2%1.5%1.9%4.9%5.1%2.2%-1.8%-213.2K151.4K-8.3K0.25149.16123184999
2020-02-26$66.19$65.003.3%1.0%1.9%2.1%3.0%2.3%1.2%-297.1K805.6K-10.9K0.22199.6559131931,001
2020-02-27$66.06$65.004.8%1.4%2.1%4.3%5.4%1.1%2.0%-594.2K183.9K-8.6K9.67176.32151452441,081
2020-02-28$65.47$65.009.3%2.7%4.0%11.1%12.8%6.5%-0.8%-661.1K1.4M-12.1K0.00148.0001192521,212