HYD Options History — September 2020

In September 2020, HYD traded between $59.56 and $59.86. ATM implied volatility averaged 8.7%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 5.5% (HV 20d: 3.3%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 7.62.

Notable Days

  • 2020-09-28: Highest Volume — 1,730 contracts
  • 2020-09-28: Largest IV drop — 26.2% change
  • 2020-09-09: Highest IV Rank — 11.1%
  • 2020-09-08: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.69$59.56$59.86$59.83$59.71
Max Pain$59.52$59.00$60.00$60.00$60.00
ATM IV8.7%5.6%12.5%8.3%5.6%
Expected Move2.6%1.6%3.7%2.4%1.6%
HV 20d3.3%2.1%3.6%3.6%2.1%
HV 60d3.8%3.2%4.7%4.7%3.2%
IV Rank7.1%3.8%11.1%6.6%3.8%
IV Percentile51.3%38.1%66.7%51.6%38.1%
Term Structure1.6%-0.1%4.9%0.6%4.9%
VWIV12.1%7.7%19.2%10.7%10.2%
Skew 25d3.6%-0.7%12.6%1.9%1.5%
Skew 10d9.5%-2.9%61.7%2.3%-2.9%
Call IV 25d8.7%6.4%11.6%9.5%6.4%
Put IV 25d12.3%7.9%19.5%11.4%7.9%
Bid-Ask Spread %117.65106.32135.76112.51135.76
Gamma HHI0.390.310.560.330.49
Net GEX378.9K-2.6M4.6M-654.4K3.1M
Net DEX-13.9M-20.6M-5.5M-13.1M-16.6M
Net VEX-214.9K-298.7K-133.8K-249.0K-158.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.620.1093.004.090.84
Total Volume154.857131,73016835
Total OI36,270.61932,02239,37039,37032,174

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$59.83$60.008.3%2.4%3.6%6.6%10.7%1.9%0.6%-654.4K-13.1M-249.0K4.09112.513313516,42922,941
2020-09-02$59.86$60.008.3%2.4%3.6%6.7%10.4%-0.7%2.3%-441.6K-11.5M-276.5K3.27119.84154916,10522,682
2020-09-03$59.76$59.009.0%3.2%3.6%7.4%13.5%3.7%-0.1%-364.7K-5.5M-298.7K93.00114.2219316,10022,683
2020-09-04$59.73$59.008.5%3.2%3.5%6.9%12.8%7.2%0.8%-831.2K-10.1M-276.0K0.00116.18012616,10122,629
2020-09-08$59.64$59.0010.0%3.7%3.5%8.4%12.0%4.7%0.5%-1.5M-7.0M-280.3K0.22107.36791716,10022,515
2020-09-09$59.67$59.0012.5%3.6%3.5%11.1%14.9%4.1%0.1%-1.9M-10.7M-266.8K0.00107.4702016,17022,513
2020-09-10$59.73$59.0012.2%3.5%3.3%10.7%16.9%4.7%0.3%-1.2M-12.2M-263.0K0.86107.227616,17022,525
2020-09-11$59.56$59.0011.2%3.2%3.4%9.7%13.3%3.3%0.5%-2.0M-7.6M-253.0K0.32115.0828916,17022,525
2020-09-14$59.64$59.0010.0%2.9%3.4%8.4%11.9%3.1%0.9%-2.1M-10.5M-242.2K4.57116.49146416,17422,526
2020-09-15$59.69$59.0010.4%3.0%3.5%8.9%9.5%3.2%0.8%-1.7M-14.3M-227.5K0.10116.672062016,17322,572
2020-09-16$59.57$59.009.6%2.8%3.5%8.0%16.1%3.3%0.4%-2.6M-13.2M-212.2K0.00124.9001816,37522,573
2020-09-17$59.62$59.009.6%2.7%3.5%8.0%11.2%3.7%1.6%-1.8M-14.8M-207.0K0.19117.13751416,37522,583
2020-09-18$59.70$60.008.3%2.4%3.4%6.7%9.3%3.8%2.2%-616.3K-17.0M-178.2K14.00124.7811416,35422,583
2020-09-21$59.61$60.008.2%2.4%3.2%6.6%9.8%3.9%0.8%3.4M-19.8M-148.9K3.09116.525817915,92116,101
2020-09-22$59.72$60.008.0%2.3%3.1%6.3%11.2%2.2%1.4%2.8M-20.6M-174.0K5.57115.0473915,91516,186
2020-09-23$59.72$60.006.6%1.9%3.1%4.9%19.2%2.7%4.1%2.7M-17.5M-175.5K0.92120.40242215,92116,207
2020-09-24$59.64$60.007.7%2.2%3.1%6.0%10.4%3.2%3.2%4.6M-19.8M-133.8K1.57114.22213315,92716,204
2020-09-25$59.66$60.007.9%2.3%3.1%6.3%7.7%1.5%2.5%2.2M-16.1M-186.4K1.63106.32162615,92816,214
2020-09-28$59.67$60.005.9%1.7%3.0%4.1%10.3%2.9%2.8%3.1M-16.1M-154.1K0.99127.5687086015,94316,224
2020-09-29$59.73$60.006.0%1.7%3.0%4.2%10.2%12.6%3.1%3.8M-17.8M-150.6K2.00134.9061215,94816,224
2020-09-30$59.71$60.005.6%1.6%2.1%3.8%0.0%1.5%4.9%3.1M-16.6M-158.8K0.84135.76191615,95016,224