HYD Options History — December 2020

In December 2020, HYD traded between $60.64 and $61.66. ATM implied volatility averaged 6.8%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 4.1% (HV 20d: 2.8%). Max pain ranged from $58.00 to $61.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 9.83.

Notable Days

  • 2020-12-16: Highest Volume — 26,326 contracts
  • 2020-12-29: Largest IV spike — 86.5% change
  • 2020-12-07: Highest IV Rank — 7.4%
  • 2020-12-31: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.37$60.64$61.66$60.64$61.50
Max Pain$60.05$58.00$61.00$60.00$61.00
ATM IV6.8%4.0%9.0%5.5%8.4%
Expected Move2.0%1.1%2.4%1.6%2.4%
HV 20d2.8%2.3%3.9%3.9%2.3%
HV 60d3.0%2.9%3.1%3.0%3.0%
IV Rank5.1%2.2%7.4%3.8%6.6%
IV Percentile33.5%13.1%50.0%26.2%47.6%
Term Structure0.4%-0.5%2.3%1.2%-0.5%
VWIV9.4%5.6%16.1%5.6%8.6%
Skew 25d4.1%-0.7%27.2%-0.7%5.6%
Skew 10d9.5%3.1%45.0%3.1%9.7%
Call IV 25d6.7%3.7%20.9%5.6%4.2%
Put IV 25d10.8%4.9%48.0%4.9%9.9%
Bid-Ask Spread %109.1498.61119.3298.86112.16
Gamma HHI0.750.290.990.990.37
Net GEX16.3M2.1K45.7M26.9M34.5K
Net DEX-35.2M-78.7M-160.4K-28.2M-255.5K
Net VEX-31.2K-76.5K-2.5K-73.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.830.00138.000.180.25
Total Volume1,231.136026,326205
Total OI19,302.81835931,65431,572774

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$60.64$60.005.5%1.6%3.9%3.8%5.6%-0.7%1.2%26.9M-28.2M-73.6K0.1898.8617315,38916,183
2020-12-02$60.68$60.006.0%1.7%3.9%4.3%5.7%2.0%0.2%26.4M-29.4M-70.0K2.58107.26123115,40216,205
2020-12-03$60.88$58.007.2%2.1%3.0%5.6%9.9%1.5%0.8%24.8M-41.2M-76.5K0.50107.602115,41016,235
2020-12-04$61.06$59.007.8%2.1%2.8%6.2%0.0%2.9%0.3%24.3M-48.3M-74.9K0.00105.1771015,41216,236
2020-12-07$61.17$59.009.0%2.3%2.8%7.4%0.0%3.1%-0.4%23.4M-53.6M-66.3K1.43109.0071015,40716,236
2020-12-08$61.27$59.007.5%2.3%2.8%5.9%0.0%2.7%-0.5%25.3M-58.5M-60.2K0.00117.560015,41416,233
2020-12-09$61.31$59.008.2%2.3%2.8%6.6%0.0%2.5%-0.3%34.5M-59.5M-54.7K0.00107.950015,41416,233
2020-12-10$61.39$59.008.1%2.3%2.8%6.4%16.1%2.6%-0.1%25.4M-64.6M-52.0K0.0098.610115,41416,233
2020-12-11$61.44$59.008.2%2.3%2.7%6.5%0.0%3.2%-0.3%25.1M-67.3M-46.4K0.00112.870015,41416,234
2020-12-14$61.48$59.007.6%2.2%2.7%5.9%14.3%3.4%1.0%24.6M-69.2M-33.6K0.00113.930115,41416,234
2020-12-15$61.57$59.006.1%1.8%2.7%4.4%14.0%3.3%0.4%23.9M-76.0M-25.4K0.03103.5635115,41416,235
2020-12-16$61.53$61.006.2%1.8%2.8%4.5%0.0%2.8%0.0%45.7M-78.7M-16.5K0.99103.3113,20413,12215,41816,236
2020-12-17$61.57$61.006.4%1.8%2.8%4.7%0.0%2.5%0.1%15.0M-48.2M-10.3K0.00111.561809,66210,499
2020-12-18$61.66$61.006.1%1.8%2.4%4.4%6.0%3.7%0.0%13.0M-48.2M-4.3K0.01116.497419,63910,499
2020-12-21$61.64$61.006.3%1.8%2.4%4.6%0.0%4.2%1.0%2.1K-160.4K-2.5K0.00119.32150127232
2020-12-22$61.65$61.006.1%1.8%2.4%4.4%8.6%3.1%0.9%17.5K-193.7K-2.6K1.20108.814655142232
2020-12-23$61.55$61.005.6%1.6%2.6%3.8%8.3%3.0%0.8%54.9K-204.3K-3.0K1.97117.0062122188286
2020-12-24$61.64$61.005.6%1.6%2.6%3.9%0.0%27.2%1.7%31.0K-607.2K-2.5K0.00117.4300250403
2020-12-28$61.64$61.004.0%1.1%2.6%2.2%7.2%3.3%2.3%167.6K-512.5K-3.0K0.36103.74145254411
2020-12-29$61.45$61.007.5%2.1%2.9%5.8%7.2%4.5%-0.5%86.8K-309.4K-3.0K138.00105.571138219416
2020-12-30$61.43$61.006.8%2.0%2.3%4.9%11.3%3.7%0.0%22.3K-245.7K-3.1K0.00103.43011220554
2020-12-31$61.50$61.008.4%2.4%2.3%6.6%8.6%5.6%-0.5%34.5K-255.5K-2.9K0.25112.1641220554