HI Options History — September 2009

In September 2009, HI traded between $20.31 and $20.97. ATM implied volatility averaged 28.7%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 11.1% (HV 20d: 17.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.09.

Notable Days

  • 2009-09-02: Highest Volume — 1,032 contracts
  • 2009-09-30: Largest IV spike — 28.4% change
  • 2009-09-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.66$20.31$20.97$20.31$20.37
Max Pain$17.62$17.50$20.00$17.50$17.50
ATM IV28.7%20.9%33.9%32.0%26.8%
Expected Move8.3%6.0%9.7%9.2%7.7%
HV 20d17.6%14.3%24.6%24.6%14.9%
HV 60d23.5%21.0%26.5%26.5%21.2%
Term Structure2.2%-0.7%6.6%1.2%3.3%
VWIV29.2%23.7%34.1%32.0%27.0%
Skew 25d5.4%-1.7%10.5%0.1%9.5%
Skew 10d8.7%-3.0%20.9%0.1%18.6%
Call IV 25d23.5%19.4%30.8%28.6%23.9%
Put IV 25d28.9%23.5%33.4%28.7%33.4%
Bid-Ask Spread %75.1525.58200.0090.5325.58
Gamma HHI0.720.530.970.530.81
Net GEX140.9K68.9K167.1K123.9K167.1K
Net DEX-4.4M-6.2M-923.8K-4.4M-3.8M
Net VEX-9.1K-11.8K-1.2K-7.0K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.580.250.01
Total Volume87.04801,03250
Total OI3,222.0957074,1043,0713,101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$20.31$17.5032.0%9.2%24.6%0.0%32.0%0.0%1.2%123.9K-4.4M-7.0K0.2590.53N/AN/A412,958113
2009-09-02$20.39$17.5033.9%9.7%24.6%0.0%34.1%0.0%3.1%111.2K-4.4M-7.1K0.0075.10N/AN/A1,03202,961113
2009-09-03$20.41$17.5031.9%9.1%23.0%0.0%0.0%0.0%1.9%154.0K-5.7M-11.8K0.5876.06N/AN/A69403,991113
2009-09-04$20.66$17.5029.8%9.5%22.6%0.0%0.0%0.0%1.2%142.6K-5.7M-10.7K0.0067.28N/AN/A6903,810125
2009-09-08$20.72$17.5030.0%9.2%19.5%0.0%32.2%0.1%-0.7%150.8K-5.8M-10.4K0.0755.85N/AN/A7453,879125
2009-09-09$20.87$17.5031.5%8.8%19.3%0.0%0.0%6.6%0.4%153.7K-6.0M-10.4K0.1372.63N/AN/A813,943124
2009-09-10$20.97$17.5031.7%9.1%17.1%0.0%0.0%3.0%0.3%153.4K-6.2M-10.2K0.0056.67N/AN/A903,947124
2009-09-11$20.94$17.5031.6%9.1%16.6%0.0%31.8%2.8%0.0%152.2K-6.1M-10.2K0.0084.57N/AN/A033,948124
2009-09-14$20.79$17.5031.8%9.1%16.9%0.0%0.0%2.3%0.4%127.9K-3.9M-9.5K0.0072.81N/AN/A402,834127
2009-09-15$20.50$17.5030.3%8.7%16.2%0.0%0.0%-1.7%2.6%132.5K-3.7M-9.6K0.0056.35N/AN/A1002,834127
2009-09-16$20.76$17.5030.7%8.8%16.3%0.0%30.6%10.5%0.9%130.1K-3.9M-9.4K0.0066.43N/AN/A2802,834127
2009-09-17$20.75$17.5030.5%8.8%15.7%0.0%0.0%10.0%0.8%131.5K-4.0M-9.4K0.0063.88N/AN/A002,862127
2009-09-18$20.40$17.5026.5%7.6%17.2%0.0%26.5%4.2%3.6%146.7K-3.7M-9.3K0.0081.59N/AN/A20502,862126
2009-09-21$20.59$17.5024.8%7.1%15.3%0.0%24.8%5.4%5.3%154.0K-4.0M-9.4K0.0082.36N/AN/A062,990106
2009-09-22$20.86$17.5029.6%8.5%15.8%0.0%29.7%10.1%0.3%142.1K-4.2M-9.4K0.0078.74N/AN/A032,990112
2009-09-23$20.81$17.5023.4%6.7%15.9%0.0%23.7%4.1%6.6%145.5K-4.3M-9.2K0.0050.93N/AN/A032,990109
2009-09-24$20.64$17.5026.9%7.7%15.3%0.0%27.0%8.5%3.0%154.1K-4.0M-9.2K0.0149.85N/AN/A25132,990109
2009-09-25$20.63$17.5025.4%7.3%14.3%0.0%0.0%7.1%3.8%156.2K-4.0M-9.1K0.0069.36N/AN/A002,989112
2009-09-28$20.85$17.5023.6%6.8%14.4%0.0%0.0%3.5%5.3%159.7K-4.3M-8.8K0.00101.63N/AN/A002,989112
2009-09-29$20.57$20.0020.9%6.0%15.2%0.0%0.0%0.0%0.0%68.9K-923.8K-1.2K0.00200.00N/AN/A0065849
2009-09-30$20.37$17.5026.8%7.7%14.9%0.0%0.0%9.5%3.3%167.1K-3.8M-8.8K0.0025.58N/AN/A002,989112