HYD Options History — June 2020

In June 2020, HYD traded between $57.64 and $59.26. ATM implied volatility averaged 15.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 8.8% (HV 20d: 7.2%). Max pain ranged from $55.00 to $62.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 10.40.

Notable Days

  • 2020-06-23: Highest Volume — 1,777 contracts
  • 2020-06-08: Largest IV spike — 46.3% change
  • 2020-06-11: Highest IV Rank — 20.1%
  • 2020-06-11: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.58$57.64$59.26$57.66$59.26
Max Pain$57.32$55.00$62.00$62.00$58.00
ATM IV15.9%10.0%21.1%14.0%10.0%
Expected Move4.6%2.9%6.0%4.0%2.9%
HV 20d7.2%6.2%8.5%8.5%7.6%
HV 60d42.4%13.6%69.4%69.4%13.6%
IV Rank14.7%8.5%20.1%12.7%8.5%
IV Percentile73.9%64.3%81.0%74.6%64.3%
Term Structure0.2%-3.1%2.7%-1.8%2.7%
VWIV17.2%11.4%25.5%14.2%13.0%
Skew 25d3.6%0.3%9.5%4.8%2.5%
Skew 10d9.6%3.4%26.9%11.3%8.1%
Call IV 25d15.3%9.8%20.2%12.3%9.8%
Put IV 25d18.8%12.3%26.7%17.1%12.3%
Bid-Ask Spread %68.5324.82115.22110.78113.93
Gamma HHI0.190.090.400.130.32
Net GEX129.5K-46.3K393.8K-13.0K393.8K
Net DEX1.2M-776.2K2.7M2.6M-776.2K
Net VEX-11.5K-14.6K-8.0K-9.9K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.400.09147.002.219.00
Total Volume231.909121,7776130
Total OI6,608.9092,8238,1677,5104,794

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$57.66$62.0014.0%4.0%8.5%12.7%14.2%4.8%-1.8%-13.0K2.6M-9.9K2.21110.7819428686,642
2020-06-02$57.64$62.0014.5%4.2%8.1%13.2%14.1%4.8%0.2%-18.1K2.7M-10.1K1.79103.9524438786,634
2020-06-03$57.80$62.0014.8%4.2%8.0%13.5%21.5%4.8%-0.0%18.8K2.3M-10.3K1.38105.738119246,601
2020-06-04$58.22$55.0016.1%4.5%7.2%14.8%20.7%4.2%1.9%19.3K2.0M-10.9K4.2734.082129059156,622
2020-06-05$58.80$55.0014.0%5.0%7.1%12.6%16.8%9.5%-3.1%86.5K1.6M-8.0K0.8399.74101849286,629
2020-06-08$58.85$55.0020.4%5.6%7.0%19.4%0.0%5.1%-0.9%-46.3K2.0M-12.5K0.1833.21110209116,694
2020-06-09$58.88$55.0020.8%5.5%6.3%19.8%0.0%4.8%-1.2%-27.9K2.0M-12.7K3.3333.339309286,714
2020-06-10$59.00$55.0018.8%5.4%6.2%17.7%21.5%4.5%-1.5%-33.1K1.9M-14.6K0.0924.825859266,724
2020-06-11$58.66$56.0021.1%6.0%6.6%20.1%25.5%6.7%-0.8%-9.2K2.2M-13.1K147.0046.7211479716,739
2020-06-12$58.64$56.0017.6%5.0%6.2%16.4%0.0%5.8%-0.1%68.8K1.6M-10.9K0.3062.6270219716,870
2020-06-15$58.29$56.0020.7%5.9%6.4%19.7%22.4%2.1%-0.6%110.7K1.7M-11.1K1.1762.7147551,0706,867
2020-06-16$58.45$56.0018.1%5.2%6.3%16.9%19.1%1.8%-0.2%158.5K1.4M-10.9K1.5457.7863971,0456,823
2020-06-17$58.23$56.0017.8%5.1%6.6%16.6%21.4%2.0%0.3%382.1K1.4M-11.5K23.0034.001231,3186,844
2020-06-18$58.09$57.0016.5%4.7%6.5%15.3%18.4%2.3%0.8%288.4K1.6M-10.9K0.0059.640451,3176,838
2020-06-19$58.17$57.0017.1%4.9%6.5%15.9%18.6%2.8%1.6%225.9K1.6M-11.1K2.9655.59451331,3176,850
2020-06-22$58.99$58.0016.3%4.7%7.8%15.1%16.6%2.5%0.8%-32.7K341.3K-10.9K0.6455.772821816172,978
2020-06-23$59.00$58.0012.7%3.6%7.8%11.3%13.1%0.3%2.6%152.7K-354.8K-12.3K1.1862.008159628973,149
2020-06-24$58.94$58.0013.5%3.9%7.9%12.1%14.1%1.7%1.1%248.5K-469.8K-13.0K0.5074.51841,1911,632
2020-06-25$58.94$58.0012.2%3.5%7.9%10.8%12.8%1.8%1.5%267.3K-428.0K-12.2K0.0083.520461,1993,277
2020-06-26$59.08$58.0011.6%3.3%7.7%10.1%11.4%1.8%1.0%307.1K-599.8K-11.9K5.3877.94422261,1993,321
2020-06-29$59.07$58.0012.3%3.5%7.6%10.8%12.1%1.6%0.9%301.7K-570.0K-12.0K1.20115.2235421,2213,543
2020-06-30$59.26$58.0010.0%2.9%7.6%8.5%13.0%2.5%2.7%393.8K-776.2K-11.4K9.00113.933271,2313,563