HI Options History — October 2009

In October 2009, HI traded between $19.94 and $21.04. ATM implied volatility averaged 26.8%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.2% (HV 20d: 16.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2009-10-16: Highest Volume — 345 contracts
  • 2009-10-12: Largest IV spike — 84.1% change
  • 2009-10-27: Highest IV Rank — 49.1%
  • 2009-10-06: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.55$19.94$21.04$20.50$19.98
Max Pain$18.30$17.50$20.00$17.50$20.00
ATM IV26.8%15.3%34.9%25.0%28.0%
Expected Move8.2%7.2%8.8%7.2%8.0%
HV 20d16.6%14.1%21.1%15.0%20.3%
HV 60d20.0%18.5%21.3%21.1%19.9%
IV Rank45.5%39.2%49.1%42.7%44.1%
IV Percentile21.4%13.4%25.2%19.8%21.6%
Term Structure1.3%-1.1%5.0%4.9%2.0%
VWIV28.4%26.6%29.5%26.6%28.9%
Skew 25d5.5%-4.7%12.1%3.8%6.0%
Skew 10d11.3%-9.2%25.9%8.0%6.6%
Call IV 25d24.5%22.5%26.9%22.7%25.2%
Put IV 25d30.0%19.8%37.2%26.4%31.2%
Bid-Ask Spread %69.7126.2787.6931.9764.56
Gamma HHI0.740.650.840.800.73
Net GEX133.0K96.1K197.2K168.0K97.8K
Net DEX-3.1M-4.6M-1.6M-3.9M-1.6M
Net VEX-7.4K-8.8K-6.4K-8.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.000.002.00
Total Volume17.9550345140
Total OI2,557.9551,8833,1173,1011,898

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$20.50$17.5025.0%7.2%15.0%0.0%0.0%3.8%4.9%168.0K-3.9M-8.8K0.0031.97N/AN/A0142,989112
2009-10-02$20.17$17.5025.1%7.2%16.1%0.0%0.0%12.1%5.0%177.2K-3.6M-8.7K0.0026.27N/AN/A1002,989126
2009-10-05$20.22$17.5025.8%8.6%15.4%0.0%0.0%2.5%-0.1%186.5K-3.7M-8.4K0.0072.03N/AN/A002,989126
2009-10-06$20.44$17.5023.1%8.8%15.9%0.0%0.0%4.2%-1.1%196.4K-3.9M-8.4K0.0072.13N/AN/A002,989126
2009-10-07$20.54$17.5026.6%8.8%15.8%0.0%0.0%3.2%-0.5%185.6K-4.0M-8.2K0.0071.40N/AN/A002,989126
2009-10-08$20.55$17.5015.3%8.3%15.7%0.0%0.0%6.0%0.0%197.2K-4.2M-7.9K0.6771.20N/AN/A322,989126
2009-10-09$20.70$17.5015.6%8.3%15.9%0.0%0.0%-4.7%0.6%160.3K-4.3M-7.8K0.0038.63N/AN/A002,992124
2009-10-12$21.04$17.5028.7%8.8%16.8%0.0%0.0%8.4%-1.0%133.1K-4.6M-7.6K0.0069.44N/AN/A002,992124
2009-10-13$20.91$17.5027.0%8.5%16.1%0.0%0.0%7.6%0.5%135.5K-4.5M-7.4K0.0069.48N/AN/A102,992124
2009-10-14$20.85$17.5034.9%8.5%15.6%0.0%0.0%6.8%-0.5%150.3K-4.5M-7.4K0.0073.30N/AN/A002,993124
2009-10-15$20.92$17.5029.8%8.5%15.6%0.0%0.0%7.9%0.0%133.6K-4.5M-7.3K0.0073.38N/AN/A502,993124
2009-10-16$21.01$17.5028.6%8.2%14.2%0.0%0.0%6.9%-0.5%118.2K-4.6M-7.2K0.0076.89N/AN/A34502,988124
2009-10-19$20.72$17.5027.4%7.8%14.9%0.0%0.0%5.8%2.1%97.1K-2.0M-7.1K0.0068.21N/AN/A001,82855
2009-10-20$20.77$17.5027.6%7.9%14.1%42.7%0.0%6.6%4.2%97.1K-2.0M-6.9K0.0079.37N/AN/A001,82855
2009-10-21$20.62$17.5026.6%7.6%14.3%39.2%26.6%5.0%4.1%96.6K-2.0M-7.0K0.0080.08N/AN/A031,82855
2009-10-22$21.02$20.0029.4%8.4%15.6%49.0%29.5%7.7%1.4%100.1K-2.2M-7.0K0.0087.69N/AN/A031,82858
2009-10-23$20.67$20.0029.0%8.3%16.8%47.6%0.0%3.1%2.1%100.8K-2.0M-6.9K0.0085.96N/AN/A001,82861
2009-10-26$20.13$20.0028.9%8.3%18.8%47.2%28.9%4.8%0.7%96.1K-1.7M-6.7K2.0085.66N/AN/A361,82861
2009-10-27$20.46$20.0029.5%8.4%19.3%49.1%0.0%6.0%1.0%101.4K-1.9M-6.6K0.0085.89N/AN/A001,83167
2009-10-28$19.94$20.0029.3%8.4%21.1%48.6%0.0%5.7%0.4%97.0K-1.6M-6.5K0.0062.97N/AN/A001,83167
2009-10-29$20.04$20.0027.4%7.9%21.0%41.9%0.0%5.4%2.6%99.8K-1.6M-6.5K0.0087.13N/AN/A001,83167
2009-10-30$19.98$20.0028.0%8.0%20.3%44.1%0.0%6.0%2.0%97.8K-1.6M-6.4K0.0064.56N/AN/A001,83167