HI Options History — July 2010

In July 2010, HI traded between $20.80 and $22.09. ATM implied volatility averaged 29.9%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 9.7% (HV 20d: 20.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-07-09: Highest Volume — 106 contracts
  • 2010-07-08: Largest IV drop — 40.2% change
  • 2010-07-07: Highest IV Rank — 84.1%
  • 2010-07-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.28$20.80$22.09$21.38$22.09
Max Pain$23.33$20.00$25.00$20.00$22.50
ATM IV29.9%21.1%37.2%29.1%27.3%
Expected Move9.2%7.5%10.2%8.4%7.8%
HV 20d20.2%18.4%27.2%27.2%19.5%
HV 60d30.2%28.2%31.5%31.3%29.3%
IV Rank62.5%35.5%84.1%59.7%57.5%
IV Percentile59.6%21.0%92.9%52.8%44.4%
Term Structure-1.6%-3.9%0.7%0.3%0.0%
VWIV28.7%22.0%34.4%22.0%28.3%
Skew 25d7.6%-1.0%12.5%3.5%3.8%
Skew 10d12.6%-2.5%20.3%5.8%-0.3%
Call IV 25d23.9%20.0%29.8%29.8%24.9%
Put IV 25d31.4%22.4%36.4%33.3%28.6%
Bid-Ask Spread %34.8720.3058.2554.6758.25
Gamma HHI0.530.430.600.450.59
Net GEX19.3K10.2K35.2K30.2K15.7K
Net DEX-161.9K-340.2K22.8K-340.2K-150.5K
Net VEX-2.5K-3.1K-2.0K-2.0K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.004.000.000.00
Total Volume13.143010600
Total OI895.3336171,158877674

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$21.38$20.0029.1%8.4%27.2%59.7%0.0%3.5%0.3%30.2K-340.2K-2.0K0.0054.67N/AN/A00659218
2010-07-02$21.16$20.0034.5%9.9%25.9%75.9%0.0%12.5%-0.0%35.1K-331.7K-3.1K0.0048.58N/AN/A00858300
2010-07-06$20.95$22.5036.8%10.2%20.7%82.8%0.0%7.0%-3.9%34.4K-252.7K-2.8K0.0023.00N/AN/A00858300
2010-07-07$21.04$22.5037.2%10.2%19.9%84.1%0.0%10.5%-3.0%35.2K-263.2K-2.7K0.0023.31N/AN/A100858300
2010-07-08$21.36$22.5022.3%8.4%20.6%38.9%0.0%3.4%-2.8%29.2K-334.4K-2.6K0.0020.95N/AN/A010848300
2010-07-09$21.05$22.5021.1%9.9%20.8%35.5%0.0%-1.0%-3.0%24.3K-273.5K-2.5K0.0425.43N/AN/A1024848300
2010-07-12$21.00$22.5024.1%10.1%20.5%44.5%22.0%9.2%-3.1%18.9K-177.0K-2.4K0.0025.62N/AN/A020801304
2010-07-13$21.09$25.0026.6%10.1%20.4%52.1%0.0%10.2%-3.2%17.4K-187.9K-2.4K0.0026.94N/AN/A00801304
2010-07-14$21.06$25.0029.2%9.9%19.4%59.8%0.0%9.3%-2.2%16.5K-185.3K-2.4K0.0024.64N/AN/A010801304
2010-07-15$20.96$25.0035.0%10.0%19.4%77.5%0.0%9.2%-3.0%16.4K-167.4K-2.3K0.0024.94N/AN/A00801304
2010-07-16$20.88$25.0034.5%9.9%19.4%76.0%34.4%8.1%-3.0%15.8K-164.8K-2.3K0.0033.66N/AN/A015801304
2010-07-19$20.96$25.0034.3%9.8%19.5%75.4%0.0%7.9%-1.0%13.1K-52.4K-2.3K0.0025.97N/AN/A07463154
2010-07-20$21.29$25.0027.7%7.9%20.6%55.3%0.0%9.8%0.5%13.9K-84.2K-2.4K0.0020.30N/AN/A035463161
2010-07-21$20.80$25.0035.0%10.0%19.3%77.5%0.0%7.6%-1.3%10.2K22.8K-2.3K4.0032.53N/AN/A14463196
2010-07-22$21.16$25.0033.7%9.7%18.6%73.4%32.5%8.9%-1.4%11.3K-2.5K-2.5K0.0026.57N/AN/A011463200
2010-07-23$21.30$25.0026.3%7.5%18.4%51.2%25.9%8.5%0.7%10.9K-17.2K-2.5K0.0032.06N/AN/A110463211
2010-07-26$21.85$22.5028.7%8.2%18.5%58.5%29.3%10.5%-2.0%14.0K-97.0K-2.7K0.0039.03N/AN/A70471211
2010-07-27$21.99$22.5028.3%8.1%18.5%58.7%28.3%4.6%-1.1%15.6K-147.6K-2.7K0.0055.37N/AN/A290478211
2010-07-28$21.71$22.5028.5%8.2%19.1%59.3%0.0%8.2%-1.3%13.8K-91.7K-2.6K0.0053.49N/AN/A00463211
2010-07-29$21.79$22.5027.9%8.0%19.0%59.5%0.0%7.7%-0.6%14.2K-101.9K-2.6K0.0056.99N/AN/A00463211
2010-07-30$22.09$22.5027.3%7.8%19.5%57.5%0.0%3.8%0.0%15.7K-150.5K-2.7K0.0058.25N/AN/A00463211