HI Options History — August 2009 In August 2009, HI traded between $18.02 and $20.25. ATM implied volatility averaged 32.2%. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.5% (HV 20d: 24.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.01.
Notable Days 2009-08-17 : Highest Volume — 1,003 contracts2009-08-13 : Largest IV spike — 34.7% change2009-08-11 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $19.39 $18.02 $20.25 $18.02 $20.02 Max Pain $17.02 $15.00 $17.50 $15.00 $17.50 ATM IV 32.2% 23.0% 38.3% 36.4% 32.7% Expected Move 9.6% 7.6% 11.3% 10.4% 9.4% HV 20d 24.7% 22.8% 27.6% 23.3% 24.5% HV 60d 31.6% 26.4% 34.5% 34.5% 26.4% Term Structure 1.4% -3.5% 11.3% 0.6% 0.9% VWIV 32.7% 25.4% 39.2% 36.4% 33.1% Bid-Ask Spread % 63.42 22.66 109.46 64.64 74.74 Gamma HHI 0.51 0.49 0.54 0.50 0.51 Net GEX 135.4K 91.0K 177.3K 91.0K 126.7K Net DEX -4.6M -6.0M -2.1M -2.1M -4.1M Net VEX -11.8K -15.0K -7.4K -13.3K -7.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.01 0.00 0.11 0.00 0.01 Total Volume 160.095 0 1,003 520 3 Total OI 4,442.571 3,068 5,165 4,468 3,068
Daily Data (21 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-08-03 $18.02 $15.00 36.4% 10.4% 23.3% 0.0% 36.4% 0.0% 0.6% 91.0K -2.1M -13.3K 0.00 64.64 N/A N/A 520 0 3,384 1,084 2009-08-04 $18.25 $15.00 38.3% 11.0% 23.1% 0.0% 0.0% 0.0% -0.6% 96.0K -2.4M -13.3K 0.00 66.01 N/A N/A 10 0 3,404 1,084 2009-08-05 $18.35 $15.00 33.9% 9.7% 22.8% 0.0% 0.0% 0.0% 5.5% 114.7K -3.1M -15.0K 0.00 109.46 N/A N/A 6 0 3,913 1,084 2009-08-06 $18.89 $15.00 26.5% 7.6% 23.7% 0.0% 0.0% 0.0% 11.3% 115.9K -3.9M -14.6K 0.00 89.84 N/A N/A 0 0 3,919 1,084 2009-08-07 $19.24 $17.50 31.9% 9.6% 23.9% 0.0% 0.0% 0.0% -0.2% 117.1K -4.4M -14.2K 0.00 60.62 N/A N/A 0 0 3,919 1,084 2009-08-10 $18.73 $17.50 31.9% 11.1% 26.5% 0.0% 0.0% 0.0% -2.1% 119.0K -3.7M -14.4K 0.00 34.01 N/A N/A 10 0 3,919 1,084 2009-08-11 $18.69 $17.50 32.9% 11.3% 25.6% 0.0% 0.0% 0.0% -3.5% 116.7K -3.6M -14.2K 0.00 61.66 N/A N/A 0 0 3,919 1,084 2009-08-12 $19.25 $17.50 23.0% 9.0% 26.9% 0.0% 30.9% 0.0% 0.5% 124.0K -4.5M -13.5K 0.01 36.39 N/A N/A 145 1 3,919 1,084 2009-08-13 $19.57 $17.50 31.0% 8.9% 26.2% 0.0% 30.9% 0.0% 0.4% 131.8K -5.1M -12.7K 0.00 65.86 N/A N/A 3 0 4,063 1,083 2009-08-14 $19.73 $17.50 34.1% 9.8% 26.1% 0.0% 33.9% 0.0% 0.1% 127.0K -5.2M -12.9K 0.00 39.85 N/A N/A 28 0 4,066 1,083 2009-08-17 $19.36 $17.50 34.3% 9.8% 27.5% 0.0% 39.2% 0.0% 0.3% 127.6K -4.7M -13.4K 0.00 64.10 N/A N/A 0 1,003 4,082 1,083 2009-08-18 $19.27 $17.50 32.7% 9.4% 27.6% 0.0% 0.0% 0.0% 2.1% 177.3K -5.0M -11.7K 0.00 37.19 N/A N/A 0 0 4,082 106 2009-08-19 $19.57 $17.50 30.8% 8.8% 23.2% 0.0% 0.0% 0.0% 4.2% 175.8K -5.4M -11.3K 0.00 35.74 N/A N/A 0 0 4,082 106 2009-08-20 $19.59 $17.50 33.5% 9.6% 23.2% 0.0% 0.0% 0.0% 1.5% 172.5K -5.3M -11.0K 0.00 38.53 N/A N/A 6 0 4,028 103 2009-08-21 $20.08 $17.50 32.0% 9.2% 24.1% 0.0% 0.0% 0.0% 1.1% 162.2K -5.9M -10.2K 0.00 22.66 N/A N/A 0 0 4,002 103 2009-08-24 $20.09 $17.50 33.8% 9.7% 24.2% 0.0% 0.0% 0.0% -0.6% 161.7K -5.9M -9.9K 0.00 88.42 N/A N/A 6 0 3,992 103 2009-08-25 $20.18 $17.50 32.1% 9.2% 23.8% 0.0% 32.1% 0.0% 2.3% 159.6K -6.0M -9.4K 0.00 89.00 N/A N/A 302 0 3,986 103 2009-08-26 $19.91 $17.50 32.6% 9.3% 24.9% 0.0% 25.4% 0.0% 2.9% 153.7K -5.5M -9.7K 0.11 89.06 N/A N/A 265 30 3,838 103 2009-08-27 $20.25 $17.50 32.0% 9.2% 24.2% 0.0% 33.1% 0.0% 1.8% 140.4K -5.5M -8.7K 0.01 89.52 N/A N/A 517 4 3,643 103 2009-08-28 $20.12 $17.50 30.4% 8.7% 24.6% 0.0% 0.0% 0.0% 1.8% 133.4K -4.6M -7.9K 0.01 74.58 N/A N/A 500 3 3,208 107 2009-08-31 $20.02 $17.50 32.7% 9.4% 24.5% 0.0% 0.0% 0.0% 0.9% 126.7K -4.1M -7.4K 0.00 74.74 N/A N/A 0 3 2,958 110
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