HI Options History — January 2010

In January 2010, HI traded between $17.85 and $19.48. ATM implied volatility averaged 23.4%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.4% (HV 20d: 19.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.30.

Notable Days

  • 2010-01-08: Highest Volume — 49 contracts
  • 2010-01-11: Largest IV spike — 128.0% change
  • 2010-01-13: Highest IV Rank — 79.5%
  • 2010-01-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.49$17.85$19.48$19.00$18.35
Max Pain$18.82$17.50$20.00$20.00$17.50
ATM IV23.4%13.2%37.8%17.5%19.9%
Expected Move6.8%5.7%7.4%6.6%5.7%
HV 20d19.0%16.4%21.1%17.9%19.6%
HV 60d26.3%25.5%27.1%26.0%25.9%
IV Rank32.1%0.0%79.5%9.5%21.8%
IV Percentile22.8%0.0%84.8%6.8%12.3%
Term Structure0.1%-2.0%1.8%-0.9%-2.0%
VWIV21.5%16.9%24.1%23.5%16.9%
Skew 25d5.5%3.4%10.4%4.4%10.4%
Skew 10d8.7%5.6%16.6%5.6%16.6%
Call IV 25d17.4%15.8%19.1%16.4%15.8%
Put IV 25d22.9%20.8%26.2%20.8%26.2%
Bid-Ask Spread %46.9720.0486.4446.7860.54
Gamma HHI0.570.390.940.870.44
Net GEX36.6K-4.0K232.3K87.6K-2.7K
Net DEX-10.6K-360.4K172.9K-154.6K113.0K
Net VEX-1.8K-2.2K-1.5K-1.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.004.710.054.33
Total Volume21.4740493916
Total OI1,466.9475832,2782,108712

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$19.00$20.0017.5%6.6%17.9%9.5%23.5%4.4%-0.9%87.6K-154.6K-1.8K0.0546.78N/AN/A3721,938170
2010-01-05$19.06$20.0016.7%6.5%16.5%6.5%0.0%4.2%0.2%102.3K-197.2K-1.9K0.0050.72N/AN/A001,964172
2010-01-06$19.14$20.0017.4%6.2%16.5%9.0%0.0%3.4%-0.6%123.5K-237.9K-2.0K0.0048.31N/AN/A001,964172
2010-01-07$19.17$20.0016.0%6.3%16.4%4.3%0.0%4.8%1.0%122.7K-233.1K-1.9K0.0057.88N/AN/A3201,964172
2010-01-08$19.48$20.0013.2%6.5%16.5%0.0%0.0%10.4%-0.4%232.3K-360.4K-2.2K0.0086.44N/AN/A4901,991172
2010-01-11$18.72$20.0030.0%7.0%21.1%54.5%0.0%0.0%0.4%20.1K-59.6K-1.5K0.0056.29N/AN/A3002,028172
2010-01-12$18.61$20.0032.2%7.1%21.0%61.3%0.0%0.0%-0.7%10.7K-45.0K-1.5K0.0068.41N/AN/A0202,058172
2010-01-13$18.67$20.0037.8%6.5%20.9%79.5%0.0%0.0%1.4%10.3K-36.3K-1.5K0.0059.88N/AN/A002,058192
2010-01-14$18.47$20.0022.8%6.5%21.1%30.9%0.0%0.0%1.8%4.5K-14.4K-1.5K4.7146.48N/AN/A7332,058192
2010-01-15$18.25$20.0024.1%6.9%18.8%35.4%24.1%0.0%-0.2%95455.7K-1.5K1.3331.38N/AN/A12162,053225
2010-01-19$18.32$17.5024.8%7.1%18.9%37.6%16.9%0.0%-0.2%1.8K41.0K-1.5K2.4328.67N/AN/A717403180
2010-01-20$18.05$17.5022.8%6.5%19.3%31.2%0.0%0.0%0.2%-20184.1K-1.5K0.0064.35N/AN/A039410197
2010-01-21$17.91$17.5023.7%6.8%19.4%34.0%0.0%0.0%1.4%-1.7K108.6K-1.7K0.8026.36N/AN/A1512410236
2010-01-22$17.91$17.5025.0%7.2%19.4%38.3%0.0%0.0%-0.3%-2.2K123.7K-1.7K0.0029.95N/AN/A031407248
2010-01-25$17.89$17.5025.9%7.4%19.2%41.3%0.0%0.0%0.3%-3.3K157.1K-1.9K0.0034.88N/AN/A04407279
2010-01-26$17.85$17.5023.2%6.6%19.1%32.3%0.0%0.0%1.8%-4.0K172.9K-1.9K0.0020.04N/AN/A014407283
2010-01-27$18.12$17.5025.8%7.4%19.5%40.7%0.0%0.0%-0.6%-4.0K154.2K-2.0K0.6728.16N/AN/A32407297
2010-01-28$18.35$17.5025.8%7.4%20.1%40.9%0.0%0.0%-1.2%-3.4K127.8K-2.0K0.0046.88N/AN/A100407295
2010-01-29$18.35$17.5019.9%5.7%19.6%21.8%0.0%0.0%-2.0%-2.7K113.0K-2.0K4.3360.54N/AN/A313417295