HI Options History — July 2009

In July 2009, HI traded between $16.70 and $18.12. ATM implied volatility averaged 32.1%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.1% (HV 20d: 28.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.74.

Notable Days

  • 2009-07-24: Highest Volume — 1,036 contracts
  • 2009-07-13: Largest IV spike — 34.6% change
  • 2009-07-13: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.37$16.70$18.12$17.17$18.12
Max Pain$16.90$15.00$20.00$20.00$15.00
ATM IV32.1%26.4%35.6%29.6%33.8%
Expected Move9.5%7.8%10.3%8.5%9.7%
HV 20d28.1%23.4%31.3%30.9%23.4%
HV 60d37.2%34.9%40.0%40.0%35.2%
Term Structure1.3%-1.3%3.3%3.3%0.8%
VWIV30.9%27.8%34.7%34.7%33.2%
Bid-Ask Spread %79.4161.26200.0071.1461.95
Gamma HHI0.760.500.970.950.50
Net GEX38.2K085.5K29.5K85.5K
Net DEX-690.9K-2.0M0-522.7K-2.0M
Net VEX-5.9K-13.3K0-4.9K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.0027.780.000.00
Total Volume108.63601,0360146
Total OI1,894.40904,3221,4874,322

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$17.17$20.0029.6%8.5%30.9%0.0%0.0%0.0%3.3%29.5K-522.7K-4.9K0.0071.14N/AN/A001,366121
2009-07-02$16.92$20.0033.0%9.4%31.3%0.0%0.0%0.0%0.9%28.0K-449.2K-4.7K0.0095.14N/AN/A001,366121
2009-07-06$17.16$17.5032.2%9.6%31.3%0.0%0.0%0.0%2.7%29.0K-506.0K-4.8K0.0067.18N/AN/A001,366121
2009-07-07$17.01$17.5035.4%10.0%31.3%0.0%34.7%0.0%2.2%28.8K-504.6K-4.8K0.0065.48N/AN/A1001,366121
2009-07-08$16.88$0.0027.3%7.8%30.5%0.0%0.0%0.0%0.0%0000.00200.00N/AN/A0000
2009-07-09$16.70$17.5027.3%10.1%29.7%0.0%0.0%0.0%2.2%26.5K-398.0K-4.4K0.0062.65N/AN/A001,366121
2009-07-10$16.71$17.5026.4%10.1%29.7%0.0%0.0%0.0%0.4%26.2K-371.5K-4.2K0.0064.53N/AN/A001,366121
2009-07-13$16.98$17.5035.6%10.3%30.0%0.0%0.0%0.0%0.3%27.8K-451.5K-4.5K0.0067.21N/AN/A001,366121
2009-07-14$17.40$17.5032.6%10.0%29.7%0.0%0.0%0.0%1.5%28.0K-564.4K-4.9K0.0072.74N/AN/A001,366121
2009-07-15$17.68$17.5030.3%10.1%29.8%0.0%0.0%0.0%1.5%27.6K-664.8K-5.2K0.0081.96N/AN/A001,366121
2009-07-16$17.42$17.5034.9%10.0%26.6%0.0%0.0%0.0%2.0%22.4K-588.4K-4.9K0.0082.26N/AN/A001,366121
2009-07-17$17.66$17.5032.8%9.4%26.8%0.0%0.0%0.0%2.0%24.2K-617.9K-4.8K0.0083.35N/AN/A1001,351115
2009-07-20$17.70$17.5030.6%8.8%26.6%0.0%0.0%0.0%1.6%41.9K-619.8K-4.6K0.0084.91N/AN/A0101,34555
2009-07-21$17.82$17.5031.8%9.1%25.3%0.0%0.0%0.0%0.5%43.9K-649.4K-4.8K1.0084.52N/AN/A111,34565
2009-07-22$17.17$17.5031.4%9.0%28.4%0.0%27.8%0.0%0.9%36.2K-482.6K-4.2K1.0885.35N/AN/A12131,34666
2009-07-23$17.40$15.0032.4%9.3%27.2%0.0%0.0%0.0%-1.3%38.6K-544.6K-4.4K0.2584.91N/AN/A2051,35879
2009-07-24$17.53$15.0032.9%9.4%27.2%0.0%28.1%0.0%1.5%39.5K-629.5K-4.8K27.7881.76N/AN/A361,0001,37884
2009-07-27$17.59$15.0034.7%10.0%27.1%0.0%0.0%0.0%0.4%78.2K-1.3M-6.8K0.0061.26N/AN/A50002,132104
2009-07-28$17.50$15.0034.2%9.8%25.3%0.0%0.0%0.0%1.5%50.2K-817.1K-10.8K0.0061.85N/AN/A50102,6321,084
2009-07-29$17.54$15.0034.8%10.0%25.1%0.0%0.0%0.0%0.1%49.9K-786.0K-10.8K0.0062.27N/AN/A1202,6331,084
2009-07-30$17.99$15.0033.2%9.5%24.2%0.0%33.2%0.0%1.5%78.8K-1.8M-12.9K0.0064.57N/AN/A11303,1451,084
2009-07-31$18.12$15.0033.8%9.7%23.4%0.0%0.0%0.0%0.8%85.5K-2.0M-13.3K0.0061.95N/AN/A14603,2381,084