HI Options History — June 2010

In June 2010, HI traded between $20.85 and $23.84. ATM implied volatility averaged 33.9%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.2% (HV 20d: 33.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-06-04: Highest Volume — 192 contracts
  • 2010-06-03: Largest IV drop — 19.3% change
  • 2010-06-23: Highest IV Rank — 86.5%
  • 2010-06-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.14$20.85$23.84$23.60$21.39
Max Pain$20.36$20.00$22.50$22.50$20.00
ATM IV33.9%28.9%38.1%37.9%30.3%
Expected Move9.7%8.3%10.9%10.9%8.7%
HV 20d33.6%27.2%42.8%38.6%27.2%
HV 60d32.4%30.2%33.4%30.2%31.4%
IV Rank71.4%59.1%86.5%81.9%63.1%
IV Percentile75.8%51.6%94.0%88.8%59.1%
Term Structure-2.5%-5.1%0.9%-2.1%-1.1%
VWIV31.8%23.1%37.3%32.9%30.0%
Skew 25d9.9%1.4%16.0%6.9%7.3%
Skew 10d11.4%-0.8%18.8%12.5%9.3%
Call IV 25d28.2%23.6%32.7%30.9%29.9%
Put IV 25d38.1%32.7%43.9%37.8%37.1%
Bid-Ask Spread %46.9522.0971.3941.6155.99
Gamma HHI0.590.390.800.800.44
Net GEX38.2K23.1K67.4K34.5K23.1K
Net DEX-545.8K-1.2M-148.4K-973.1K-228.2K
Net VEX-2.9K-3.5K-991-3.2K-991
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.007.330.000.00
Total Volume46.90501924140
Total OI1,024.7146921,145945692

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$23.60$22.5037.9%10.9%38.6%81.9%0.0%6.9%-2.1%34.5K-973.1K-3.2K0.0041.61N/AN/A40752193
2010-06-02$23.41$22.5038.1%10.9%38.6%82.8%0.0%12.9%0.9%34.8K-919.5K-3.2K0.0059.33N/AN/A1000750193
2010-06-03$23.84$22.5030.8%8.8%39.3%61.6%0.0%9.9%-1.2%37.0K-1.2M-3.2K0.6846.73N/AN/A3725827193
2010-06-04$22.72$20.0035.4%10.0%42.6%75.0%0.0%6.2%-3.2%43.2K-860.8K-3.5K0.3350.97N/AN/A14448848218
2010-06-07$22.25$20.0036.8%10.2%42.8%79.0%0.0%7.8%-4.6%36.9K-591.4K-3.2K0.1429.57N/AN/A11115770266
2010-06-08$22.00$20.0037.2%10.5%41.9%80.1%0.0%14.5%-5.1%33.9K-470.5K-3.0K0.0060.73N/AN/A350740270
2010-06-10$22.18$20.0035.5%10.2%39.6%75.2%0.0%15.0%-4.0%38.8K-550.5K-3.1K0.0042.06N/AN/A100775270
2010-06-11$22.31$20.0035.3%10.1%33.1%74.7%0.0%16.0%-4.6%41.7K-587.9K-3.1K0.0060.07N/AN/A01775270
2010-06-14$22.03$20.0035.9%10.3%31.5%76.2%0.0%14.0%-4.7%42.9K-552.5K-3.0K0.0061.92N/AN/A00775270
2010-06-15$22.34$20.0032.9%9.4%32.3%67.8%32.9%13.6%-3.4%51.9K-634.1K-3.0K1.2043.43N/AN/A5060775270
2010-06-16$22.36$20.0032.5%9.3%32.4%66.5%0.0%13.7%-3.0%56.8K-640.4K-3.2K0.0065.61N/AN/A100814320
2010-06-17$22.32$20.0032.6%9.3%31.2%66.7%32.6%12.2%-3.0%62.9K-617.1K-3.1K0.0048.24N/AN/A10824320
2010-06-18$22.20$20.0032.5%9.3%30.6%66.4%23.1%10.7%-2.5%67.4K-527.3K-3.1K0.1465.78N/AN/A10014825320
2010-06-21$22.22$20.0031.7%9.1%29.9%64.1%0.0%9.5%-3.4%28.6K-507.1K-2.9K0.0029.72N/AN/A120712316
2010-06-22$21.54$20.0033.4%9.6%28.4%69.1%33.2%9.2%-1.7%26.4K-344.3K-2.8K0.0071.39N/AN/A03722316
2010-06-23$21.04$20.0038.0%10.9%29.1%86.5%37.3%4.4%-2.2%25.1K-205.8K-2.6K7.3322.09N/AN/A322722319
2010-06-24$20.85$20.0035.5%10.2%29.0%79.0%33.7%1.4%-0.8%25.9K-148.4K-2.4K1.0025.00N/AN/A1717725308
2010-06-25$21.37$20.0029.8%8.5%30.8%61.7%0.0%0.0%0.1%29.3K-298.6K-2.6K0.0034.45N/AN/A00728285
2010-06-28$21.54$20.0030.5%8.8%29.0%63.9%0.0%2.4%-1.7%31.1K-315.4K-2.5K0.0038.89N/AN/A05728295
2010-06-29$21.50$20.0028.9%8.3%28.5%59.1%30.0%7.3%-0.3%30.9K-309.2K-2.5K0.0032.45N/AN/A10728300
2010-06-30$21.39$20.0030.3%8.7%27.2%63.1%0.0%0.0%-1.1%23.1K-228.2K-9910.0055.99N/AN/A1400484208