HI Options History — September 2010

In September 2010, HI traded between $19.77 and $21.55. ATM implied volatility averaged 24.9%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.8% (HV 20d: 25.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2010-09-30: Highest Volume — 100 contracts
  • 2010-09-28: Largest IV drop — 24.2% change
  • 2010-09-02: Highest IV Rank — 69.5%
  • 2010-09-02: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.98$19.77$21.55$19.77$21.51
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV24.9%19.5%29.5%26.4%19.5%
Expected Move7.1%5.6%8.5%7.6%5.6%
HV 20d25.6%21.4%28.3%21.6%21.4%
HV 60d23.1%22.3%23.9%22.3%23.1%
IV Rank53.6%35.0%69.5%58.9%35.1%
IV Percentile37.2%17.9%63.1%40.1%18.3%
Term Structure2.7%-1.7%9.8%0.7%8.6%
VWIV22.3%15.3%27.2%26.1%15.3%
Skew 25d4.4%-5.5%10.2%7.6%5.9%
Skew 10d3.4%-6.3%12.8%12.8%-2.4%
Call IV 25d20.0%15.5%24.9%22.0%15.5%
Put IV 25d24.4%17.5%31.4%29.6%21.4%
Bid-Ask Spread %44.0612.90105.8229.23105.82
Gamma HHI0.770.700.830.830.75
Net GEX19.1K9.5K25.4K9.5K23.2K
Net DEX3.7K-154.4K224.5K224.5K-109.2K
Net VEX-1.7K-1.9K-1.3K-1.3K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0020.000.000.00
Total Volume13.714010015100
Total OI746.143693792749696

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$19.77$22.5026.4%7.6%21.6%58.9%0.0%7.6%0.7%9.5K224.5K-1.3K0.0029.23N/AN/A150526223
2010-09-02$20.24$22.5029.5%8.5%23.2%69.5%0.0%3.8%-1.7%12.8K147.7K-1.6K0.0021.23N/AN/A80540223
2010-09-03$20.57$22.5028.1%7.5%24.0%64.5%26.1%5.9%1.8%14.5K112.8K-1.7K0.0017.95N/AN/A30548223
2010-09-07$20.25$22.5028.5%7.8%24.4%66.0%0.0%2.3%1.6%13.2K160.7K-1.5K0.0012.90N/AN/A00548223
2010-09-08$20.64$22.5026.2%7.6%25.3%58.3%0.0%6.7%1.4%15.9K104.0K-1.7K0.0041.18N/AN/A20548223
2010-09-09$20.87$22.5026.8%7.7%24.7%60.1%0.0%9.0%1.2%16.6K65.7K-1.8K0.0042.84N/AN/A110548223
2010-09-10$20.88$22.5027.2%7.8%24.7%61.4%0.0%9.1%0.9%16.6K61.1K-1.7K4.3342.54N/AN/A313548223
2010-09-13$21.30$22.5022.3%6.4%25.5%44.6%27.2%3.7%3.0%17.9K4.9K-1.9K0.0033.82N/AN/A10551236
2010-09-14$21.05$22.5026.3%7.5%26.0%58.4%0.0%3.3%3.2%20.4K48.6K-1.8K0.0037.95N/AN/A00551236
2010-09-15$21.20$22.5027.5%7.9%26.1%62.6%24.1%3.4%1.3%20.9K31.1K-1.8K0.0040.01N/AN/A60551236
2010-09-16$21.02$22.5026.8%7.7%26.3%60.1%0.0%10.2%1.5%20.4K53.1K-1.7K0.5048.27N/AN/A84554236
2010-09-17$21.51$22.5021.3%6.1%27.0%41.3%0.0%-3.6%2.7%23.4K-35.1K-1.9K20.0057.40N/AN/A120562230
2010-09-20$21.42$22.5021.2%6.1%27.1%41.1%0.0%-3.9%2.9%25.4K-154.4K-1.8K0.0055.60N/AN/A50534164
2010-09-21$21.24$22.5025.6%7.3%27.3%56.3%0.0%8.6%1.8%23.8K-139.7K-1.8K0.0055.02N/AN/A00539164
2010-09-22$20.84$22.5025.8%7.4%28.3%57.0%17.0%7.1%2.1%19.6K-56.3K-1.6K0.0052.62N/AN/A020539164
2010-09-23$20.83$22.5026.6%7.6%28.1%59.8%0.0%6.7%2.3%18.4K-28.3K-1.6K0.0030.46N/AN/A00539183
2010-09-24$21.23$22.5021.9%6.3%28.3%43.5%0.0%9.0%9.8%21.2K-79.5K-1.7K0.0055.56N/AN/A00539183
2010-09-27$21.22$22.5025.9%7.4%28.3%57.2%25.5%5.9%8.9%21.2K-86.1K-1.7K0.0029.66N/AN/A220539183
2010-09-28$21.55$22.5019.6%5.6%26.7%35.5%21.3%-2.9%2.0%22.3K-124.7K-1.6K0.3086.04N/AN/A3310517183
2010-09-29$21.49$22.5019.5%5.6%24.5%35.0%0.0%-5.5%1.8%23.6K-122.9K-1.6K0.0029.13N/AN/A03520173
2010-09-30$21.51$22.5019.5%5.6%21.4%35.1%15.3%5.9%8.6%23.2K-109.2K-1.6K0.00105.82N/AN/A1000520176