HYD Options History — March 2020

In March 2020, HYD traded between $43.46 and $65.79. ATM implied volatility averaged 47.2%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 16.4% (HV 20d: 63.6%). Max pain ranged from $58.00 to $65.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.20.

Notable Days

  • 2020-03-09: Highest Volume — 699 contracts
  • 2020-03-12: Largest IV spike — 277.6% change
  • 2020-03-12: Highest IV Rank — 100.0%
  • 2020-03-19: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.21$43.46$65.79$65.79$52.42
Max Pain$61.68$58.00$65.00$65.00$58.00
ATM IV47.2%5.6%97.4%6.7%55.2%
Expected Move13.4%1.8%27.9%1.9%15.8%
HV 20d63.6%4.3%116.6%4.3%116.6%
HV 60d37.1%3.0%66.8%3.0%66.8%
IV Rank56.7%5.5%100.0%7.3%55.8%
IV Percentile95.9%84.9%100.0%86.1%95.6%
Term Structure-8.9%-32.3%3.0%-1.2%-8.0%
VWIV41.4%5.4%91.0%5.4%54.8%
Skew 25d18.5%-0.7%59.0%-0.7%19.1%
Skew 10d26.3%-53.6%72.2%4.6%29.1%
Call IV 25d36.1%3.9%82.9%6.1%46.4%
Put IV 25d54.6%5.4%112.8%5.4%65.5%
Bid-Ask Spread %110.5747.96181.75136.2659.44
Gamma HHI0.210.090.400.380.09
Net GEX-216.0K-778.0K2.1K-631.2K2.1K
Net DEX3.8M1.2M6.6M1.2M3.0M
Net VEX-9.0K-14.9K-2.2K-12.8K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.156.674.230.98
Total Volume213.18215699121305
Total OI1,784.4091,5012,1231,5721,862

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$65.79$65.006.7%1.9%4.3%7.3%5.4%-0.7%-1.2%-631.2K1.2M-12.8K0.00136.2601212261,346
2020-03-03$65.56$65.007.3%2.1%4.5%8.2%6.8%5.1%3.0%-771.4K1.7M-13.4K4.23172.15311312261,437
2020-03-04$65.58$65.006.3%1.8%4.5%6.7%0.0%0.3%-2.6%-778.0K1.2M-12.0K4.00149.693122551,397
2020-03-05$65.64$65.005.6%1.8%4.5%5.5%7.6%2.2%-3.7%-767.3K1.3M-12.6K4.36136.3311482551,409
2020-03-06$64.94$65.0014.1%3.5%6.0%18.5%9.8%3.6%-6.4%-727.2K2.7M-14.9K3.29181.757232571,455
2020-03-09$61.89$65.0018.7%5.3%18.0%25.5%12.1%2.9%-8.1%-548.7K6.6M-12.7K1.44157.372864132641,449
2020-03-10$59.90$65.0020.9%3.3%20.9%46.9%13.9%4.9%0.7%-178.2K6.6M-7.4K4.85142.05874224791,270
2020-03-11$58.07$65.0018.1%5.2%22.8%39.9%19.4%3.8%-0.5%-99.3K6.4M-7.4K1.60148.552323715371,268
2020-03-12$48.92$65.0068.2%19.6%62.9%100.0%48.8%47.0%-6.6%-29.9K5.9M-5.8K1.77123.451292286181,324
2020-03-13$53.07$61.0050.4%14.4%71.4%73.0%42.2%15.9%-10.8%-37.1K5.9M-8.7K0.92105.8291847461,324
2020-03-16$50.70$61.0060.0%17.2%72.4%87.5%53.6%25.0%-18.9%-23.7K5.9M-5.6K1.10108.2931347991,292
2020-03-17$51.40$60.0066.0%18.9%72.8%96.6%72.0%24.7%-17.3%-28.0K5.8M-6.6K0.88102.2824218101,283
2020-03-18$44.78$60.0075.1%21.5%85.2%100.0%40.0%59.0%-8.6%-16.0K5.2M-4.9K6.67116.526408271,296
2020-03-19$43.46$60.0097.4%27.9%84.9%100.0%91.0%13.9%-32.3%-11.8K4.2M-3.8K0.3593.5948178511,060
2020-03-20$46.89$59.0094.0%27.0%91.3%96.5%44.4%38.6%-19.0%-13.8K4.1M-5.6K0.6982.961701189121,053
2020-03-23$43.65$59.0066.5%19.1%93.0%67.7%63.2%16.6%-12.4%-1.9K3.6M-2.2K6.0897.4724146599902
2020-03-24$49.60$59.0071.4%20.5%106.7%72.8%69.4%35.0%-6.5%-7.7K3.2M-7.4K1.4876.273146620909
2020-03-25$53.85$59.0062.4%17.9%112.0%63.4%52.8%30.5%-7.3%-14.4K2.9M-10.3K0.4465.74235103635954
2020-03-26$57.21$59.0060.5%17.3%114.8%61.4%57.4%19.8%-10.1%-31.5K2.1M-13.1K0.6847.961641116271,001
2020-03-27$55.60$59.0058.6%16.8%115.1%59.3%53.9%26.1%-11.3%-25.6K2.3M-12.3K0.1568.20101156811,024
2020-03-30$55.76$58.0054.5%15.6%115.0%55.0%50.6%14.7%-7.8%-10.5K2.4M-10.5K0.2760.4113436724994
2020-03-31$52.42$58.0055.2%15.8%116.6%55.8%54.8%19.1%-8.0%2.1K3.0M-8.0K0.9859.441541518361,026