HI Options History — August 2010

In August 2010, HI traded between $19.03 and $22.57. ATM implied volatility averaged 28.8%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.8% (HV 20d: 23.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2010-08-11: Highest Volume — 45 contracts
  • 2010-08-05: Largest IV spike — 45.6% change
  • 2010-08-11: Highest IV Rank — 85.1%
  • 2010-08-11: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.47$19.03$22.57$22.57$19.03
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV28.8%17.5%34.0%29.2%17.5%
Expected Move8.2%5.0%9.1%8.4%5.0%
HV 20d23.0%18.0%26.1%20.2%18.6%
HV 60d25.5%21.0%30.6%29.7%21.0%
IV Rank66.8%28.1%85.1%63.6%28.1%
IV Percentile57.6%12.7%86.9%57.5%12.7%
Term Structure0.3%-2.5%11.5%-2.2%11.5%
VWIV23.1%18.1%30.0%26.0%19.4%
Skew 25d6.3%1.8%12.1%5.7%6.6%
Skew 10d11.0%0.4%16.5%3.4%13.1%
Call IV 25d24.7%18.4%29.7%22.3%26.1%
Put IV 25d30.9%27.9%33.5%27.9%32.6%
Bid-Ask Spread %38.6715.0187.5328.2774.08
Gamma HHI0.590.440.820.620.82
Net GEX9.0K-1.3K17.5K17.5K6.6K
Net DEX103.2K-239.2K263.1K-239.2K263.1K
Net VEX-1.9K-2.7K-1.1K-2.7K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.002.000.000.00
Total Volume9.682045510
Total OI736.318674799674739

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$22.57$22.5029.2%8.4%20.2%63.6%0.0%5.7%-2.2%17.5K-239.2K-2.7K0.0028.27N/AN/A50463211
2010-08-03$22.13$22.5029.4%8.4%21.3%64.3%0.0%3.6%-2.5%16.3K-166.8K-2.6K0.0062.68N/AN/A160468211
2010-08-04$21.32$22.5020.8%6.0%25.6%38.7%0.0%6.1%10.1%14.1K-19.8K-2.4K0.0087.53N/AN/A00484211
2010-08-05$20.99$22.5030.3%8.7%25.6%72.5%0.0%4.9%0.5%12.3K24.4K-2.2K0.0031.87N/AN/A04484211
2010-08-06$20.98$22.5029.1%8.7%25.1%68.3%26.0%5.1%-0.8%11.6K33.0K-2.2K0.3335.54N/AN/A62484215
2010-08-09$20.76$22.5032.9%8.9%25.3%81.3%25.3%4.2%-0.7%9.6K79.6K-2.0K0.0061.14N/AN/A40487217
2010-08-10$20.60$22.5033.2%8.7%25.4%82.5%0.0%4.2%-0.5%9.6K107.1K-1.9K0.0049.33N/AN/A170490217
2010-08-11$20.25$22.5034.0%9.1%26.0%85.1%20.1%1.8%0.1%8.0K107.5K-2.0K2.0070.15N/AN/A1530507217
2010-08-12$20.32$22.5029.9%8.6%26.1%71.0%0.0%4.7%-1.3%7.1K158.0K-1.9K1.2720.34N/AN/A1114511232
2010-08-13$20.31$22.5029.5%8.4%26.0%69.4%0.0%4.7%-0.5%6.5K159.5K-1.9K0.0021.06N/AN/A00522245
2010-08-16$20.32$22.5029.2%8.4%26.0%68.4%0.0%4.9%0.2%5.7K158.6K-1.8K0.0048.34N/AN/A150522245
2010-08-17$20.37$22.5029.9%8.6%25.2%71.1%18.1%4.2%-0.1%5.1K129.5K-2.0K0.0047.01N/AN/A50537245
2010-08-18$20.33$22.5030.0%8.6%24.0%71.1%30.0%5.7%-0.7%4.6K146.1K-1.9K0.0015.01N/AN/A120542245
2010-08-19$20.14$22.5028.2%8.1%23.1%64.9%0.0%5.4%0.7%291169.7K-1.8K0.0016.55N/AN/A30554245
2010-08-20$20.09$22.5027.6%7.9%22.9%62.8%19.4%12.1%-1.9%-1.3K170.5K-1.8K0.2015.25N/AN/A102551245
2010-08-23$20.27$22.5029.5%8.5%20.8%69.5%0.0%11.2%-1.2%11.8K131.2K-1.8K0.0020.97N/AN/A140536215
2010-08-24$20.22$22.5028.4%8.2%20.5%65.9%0.0%3.3%-1.2%11.6K140.9K-1.7K0.0018.49N/AN/A00526215
2010-08-25$20.07$22.5029.1%8.3%20.3%68.0%0.0%9.8%-0.1%11.3K148.1K-1.7K0.0023.24N/AN/A100526215
2010-08-26$19.85$22.5028.7%8.2%20.2%66.9%0.0%8.8%-0.4%10.6K171.2K-1.6K0.0022.34N/AN/A08516215
2010-08-27$19.99$22.5027.7%8.0%19.5%63.5%0.0%10.9%0.1%10.3K178.5K-1.6K0.0026.16N/AN/A00516223
2010-08-30$19.51$22.5030.1%8.6%18.0%71.7%0.0%10.3%-2.1%8.7K219.7K-1.3K0.0055.40N/AN/A00516223
2010-08-31$19.03$22.5017.5%5.0%18.6%28.1%0.0%6.6%11.5%6.6K263.1K-1.1K0.0074.08N/AN/A100516223