HI Options History — December 2009

In December 2009, HI traded between $18.48 and $19.68. ATM implied volatility averaged 19.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 12.1% (HV 20d: 31.2%). 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 20 of 22 days. Put/call ratio averaged 2.75.

Notable Days

  • 2009-12-11: Highest Volume — 77 contracts
  • 2009-12-03: Largest IV spike — 71.9% change
  • 2009-12-03: Highest IV Rank — 47.7%
  • 2009-12-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.97$18.48$19.68$18.48$18.84
Max Pain$19.20$17.50$20.00$20.00$20.00
ATM IV19.0%14.8%29.1%27.6%17.6%
Expected Move5.5%4.2%8.3%7.9%5.1%
HV 20d31.2%18.2%35.9%35.4%18.2%
HV 60d25.9%24.9%26.2%24.9%25.9%
IV Rank13.3%0.0%47.7%42.6%9.7%
IV Percentile6.1%0.0%31.2%21.9%6.8%
Term Structure5.4%-16.1%12.3%-1.2%2.9%
VWIV24.8%16.0%42.4%42.4%16.6%
Skew 25d2.4%-3.1%10.7%9.3%1.5%
Skew 10d3.0%-3.5%10.0%7.1%2.6%
Call IV 25d18.3%14.1%21.8%16.6%19.1%
Put IV 25d20.7%15.6%28.5%25.9%20.7%
Bid-Ask Spread %53.8113.5484.0444.0567.70
Gamma HHI0.880.810.930.910.86
Net GEX102.0K57.7K172.3K76.0K78.2K
Net DEX-447.2K-1.1M-48.0K-406.5K-159.9K
Net VEX-2.9K-4.3K-1.6K-3.3K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0020.007.500.00
Total Volume16.818077170
Total OI2,064.0912,0022,1502,0022,108

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$18.48$20.0027.6%7.9%35.4%42.6%0.0%9.3%-1.2%76.0K-406.5K-3.3K7.5044.05N/AN/A2151,849153
2009-12-02$18.93$20.0016.9%4.8%35.4%5.5%42.4%6.9%1.7%95.1K-685.7K-3.8K2.0061.84N/AN/A241,851157
2009-12-03$18.71$20.0029.1%8.3%35.4%47.7%0.0%10.7%-16.1%92.6K-569.9K-3.4K0.1114.72N/AN/A2831,853153
2009-12-04$19.08$17.5017.6%6.1%35.9%8.0%0.0%4.5%5.5%109.2K-676.1K-3.7K0.0049.35N/AN/A011,881156
2009-12-07$19.13$17.5019.2%5.8%35.3%13.4%30.1%8.0%6.0%109.8K-712.5K-3.8K0.0039.36N/AN/A041,881157
2009-12-08$19.03$17.5021.2%5.0%35.3%20.3%20.7%5.8%5.8%101.9K-702.5K-3.8K20.0043.51N/AN/A1201,881157
2009-12-09$19.32$17.5017.1%5.5%35.4%6.3%0.0%-1.7%7.2%133.9K-670.6K-3.5K0.0058.47N/AN/A1601,882177
2009-12-10$19.59$17.5019.5%5.6%35.8%14.7%29.1%0.2%6.4%157.2K-933.6K-4.1K0.0048.28N/AN/A501,896177
2009-12-11$19.68$17.5021.6%6.2%34.6%21.9%22.0%-0.7%5.8%151.2K-1.1M-4.3K0.3550.04N/AN/A57201,896177
2009-12-14$19.49$17.5019.9%5.7%34.8%15.9%0.0%7.8%6.1%165.2K-893.5K-3.8K0.0054.65N/AN/A1701,953197
2009-12-15$19.49$20.0020.2%5.8%34.6%16.8%0.0%0.3%6.1%172.3K-879.6K-3.9K0.0051.30N/AN/A001,900197
2009-12-16$18.91$20.0021.8%6.2%35.3%22.5%21.3%-3.1%4.3%114.3K-417.0K-3.1K0.0056.65N/AN/A041,900187
2009-12-17$18.80$20.0015.6%4.5%35.2%0.9%16.0%1.1%10.1%94.2K-142.6K-2.3K0.2667.47N/AN/A46121,900191
2009-12-18$18.65$20.0016.6%4.8%34.9%4.4%16.6%0.7%12.3%71.5K-62.6K-1.9K4.0066.98N/AN/A281,935197
2009-12-21$18.65$20.0016.7%4.8%34.3%4.8%0.0%-2.2%11.6%68.0K-118.9K-1.8K0.0066.73N/AN/A0101,871159
2009-12-22$18.70$20.0017.4%5.0%34.3%7.2%0.0%-0.6%10.7%72.9K-118.0K-1.8K0.0067.09N/AN/A001,871169
2009-12-23$18.79$20.0014.8%4.2%23.0%0.0%0.0%0.4%5.3%82.8K-145.6K-1.9K5.0066.85N/AN/A151,871169
2009-12-24$18.64$20.0017.8%5.1%22.6%10.5%0.0%-0.8%10.7%65.3K-92.5K-1.8K0.0084.04N/AN/A1501,871174
2009-12-28$18.84$20.0016.2%4.6%19.8%4.8%0.0%1.0%6.2%89.1K-166.5K-1.9K2.0067.12N/AN/A10201,886174
2009-12-29$18.70$20.0018.4%5.3%20.0%12.4%0.0%1.8%6.6%57.7K-48.0K-1.6K0.0044.03N/AN/A4001,896194
2009-12-30$18.90$20.0015.7%4.5%20.1%3.3%0.0%2.1%5.4%85.4K-173.7K-2.0K0.0013.54N/AN/A201,936170
2009-12-31$18.84$20.0017.6%5.1%18.2%9.7%0.0%1.5%2.9%78.2K-159.9K-1.9K0.0067.70N/AN/A001,938170