HYD Options History — January 2021

In January 2021, HYD traded between $61.32 and $62.83. ATM implied volatility averaged 5.5%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 2.5% (HV 20d: 3.0%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.80.

Notable Days

2021-01-14: Highest Volume — 217 contracts
2021-01-05: Largest IV drop — 43.3% change
2021-01-04: Highest IV Rank — 8.5%
2021-01-04: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.22	$61.32	$62.83	$61.32	$62.83
Max Pain	$60.84	$60.00	$62.00	$60.00	$62.00
ATM IV	5.5%	4.0%	10.2%	10.2%	4.1%
Expected Move	1.6%	1.1%	2.3%	2.3%	1.2%
HV 20d	3.0%	2.4%	3.2%	2.4%	2.7%
HV 60d	3.2%	3.0%	3.3%	3.0%	3.0%
IV Rank	3.4%	1.4%	8.5%	8.5%	1.5%
IV Percentile	20.2%	7.9%	59.5%	59.5%	7.9%
Term Structure	0.8%	-0.5%	3.6%	-0.3%	0.5%
VWIV	7.8%	5.1%	15.2%	7.0%	5.1%
Skew 25d	2.9%	0.9%	6.6%	3.8%	6.6%
Skew 10d	8.9%	1.0%	18.1%	7.8%	14.9%
Call IV 25d	4.6%	3.3%	6.7%	6.7%	4.9%
Put IV 25d	7.5%	4.5%	11.6%	10.5%	11.6%
Bid-Ask Spread %	116.68	92.08	149.63	92.08	121.30
Gamma HHI	0.63	0.25	0.78	0.25	0.64
Net GEX	314.6K	-35.9K	595.7K	-35.9K	315.3K
Net DEX	-956.2K	-1.5M	-48.6K	-48.6K	-1.2M
Net VEX	-3.4K	-4.2K	-2.5K	-3.3K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.00	4.07	0.03	4.07
Total Volume	34.474	0	217	69	152
Total OI	854.474	719	1,037	769	814

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$61.32	$60.00	10.2%	2.3%	2.4%	8.5%	7.0%	3.8%	-0.3%	-35.9K	-48.6K	-3.3K	0.03	92.08	67	2	214	555
2021-01-05	$61.53	$60.00	5.8%	2.1%	2.5%	3.8%	0.0%	4.0%	0.0%	96.2K	-328.7K	-3.5K	0.00	94.65	0	1	281	556
2021-01-06	$61.90	$60.00	7.9%	2.1%	3.2%	6.0%	7.4%	4.5%	0.5%	129.2K	-597.4K	-3.6K	1.00	100.45	2	2	281	556
2021-01-07	$62.01	$60.00	5.1%	2.1%	3.2%	3.1%	7.8%	3.8%	-0.0%	218.0K	-766.8K	-3.0K	1.00	111.16	1	1	281	556
2021-01-08	$62.01	$60.00	6.2%	2.1%	3.2%	4.3%	11.4%	4.2%	-0.2%	209.9K	-759.8K	-3.0K	0.00	103.92	0	1	282	557
2021-01-11	$62.02	$60.00	6.7%	2.1%	3.2%	4.8%	0.0%	4.1%	-0.5%	240.3K	-804.0K	-2.8K	0.00	103.33	0	3	282	555
2021-01-12	$62.08	$60.00	7.8%	2.0%	3.2%	5.9%	6.8%	3.1%	-0.0%	227.6K	-806.2K	-2.8K	0.00	117.80	5	0	282	552
2021-01-13	$62.11	$60.00	6.1%	1.8%	3.2%	4.2%	0.0%	2.8%	0.3%	321.1K	-904.2K	-2.7K	0.00	106.84	1	0	287	552
2021-01-14	$62.16	$60.00	5.6%	1.6%	3.2%	3.6%	5.6%	1.9%	1.1%	284.5K	-886.5K	-2.5K	1.44	111.03	89	128	276	552
2021-01-15	$62.18	$62.00	4.6%	1.3%	3.1%	2.6%	6.7%	2.6%	2.0%	343.7K	-1.1M	-3.9K	1.00	121.12	2	2	359	678
2021-01-19	$62.25	$62.00	5.2%	1.5%	3.1%	3.2%	0.0%	2.1%	1.4%	275.1K	-758.3K	-3.8K	1.01	131.32	78	79	291	428
2021-01-20	$62.34	$62.00	4.0%	1.2%	3.1%	2.0%	6.8%	2.1%	2.2%	464.7K	-1.1M	-4.2K	0.50	115.51	2	1	368	504
2021-01-21	$62.39	$62.00	4.1%	1.2%	3.1%	2.1%	15.2%	2.1%	1.8%	509.3K	-1.2M	-4.0K	0.00	149.63	5	0	369	505
2021-01-22	$62.48	$61.00	4.2%	1.2%	3.1%	2.2%	0.0%	0.9%	-0.3%	526.5K	-1.3M	-4.0K	0.17	120.93	12	2	374	505
2021-01-25	$62.48	$61.00	4.2%	1.2%	3.0%	1.7%	0.0%	1.2%	-0.1%	478.5K	-1.3M	-3.9K	0.00	125.20	13	0	380	507
2021-01-26	$62.58	$61.00	4.0%	1.1%	3.0%	1.4%	0.0%	0.9%	1.1%	595.7K	-1.5M	-3.5K	0.00	128.26	0	0	393	507
2021-01-27	$62.63	$61.00	4.1%	1.2%	3.0%	1.6%	5.4%	1.7%	2.3%	431.7K	-1.4M	-4.2K	1.00	127.93	2	2	390	507
2021-01-28	$62.80	$62.00	5.3%	1.5%	2.7%	2.8%	0.0%	2.9%	3.6%	346.6K	-1.5M	-3.9K	0.00	134.42	0	0	390	509
2021-01-29	$62.83	$62.00	4.1%	1.2%	2.7%	1.5%	5.1%	6.6%	0.5%	315.3K	-1.2M	-2.7K	4.07	121.30	30	122	305	509