HI Options History — October 2010

In October 2010, HI traded between $21.26 and $22.32. ATM implied volatility averaged 20.0%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.9% (HV 20d: 18.1%). 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 19 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2010-10-15: Highest Volume — 68 contracts
  • 2010-10-28: Largest IV spike — 58.0% change
  • 2010-10-18: Highest IV Rank — 56.1%
  • 2010-10-18: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.86$21.26$22.32$21.71$21.49
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV20.0%13.4%25.5%19.2%18.9%
Expected Move6.2%3.9%7.3%5.5%5.4%
HV 20d18.1%14.8%21.4%20.2%15.5%
HV 60d22.6%19.9%23.7%23.0%19.9%
IV Rank36.7%14.1%56.1%34.2%33.2%
IV Percentile22.9%3.2%43.7%17.9%19.0%
Term Structure2.7%-0.1%10.0%9.7%8.9%
VWIV20.6%19.5%21.8%19.5%21.8%
Skew 25d6.0%-3.4%9.3%7.7%4.9%
Skew 10d4.7%-3.6%18.6%-3.6%3.6%
Call IV 25d19.0%13.9%22.0%13.9%20.3%
Put IV 25d24.9%17.0%28.0%21.6%25.2%
Bid-Ask Spread %67.2729.2094.7394.7393.81
Gamma HHI0.700.640.850.660.69
Net GEX18.6K14.5K40.8K16.8K15.1K
Net DEX-172.9K-283.2K-3.3K-127.2K-190.6K
Net VEX-1.3K-1.6K-1.2K-1.6K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.006.670.000.00
Total Volume7.04806800
Total OI489.143305656635324

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$21.71$22.5019.2%5.5%20.2%34.2%0.0%7.7%9.7%16.8K-127.2K-1.6K0.0094.73N/AN/A00459176
2010-10-04$21.26$22.5019.3%6.8%21.4%34.3%0.0%-3.4%0.9%14.5K-3.3K-1.3K0.0036.02N/AN/A07459176
2010-10-05$21.68$22.5016.2%6.7%21.3%23.5%0.0%4.3%0.8%16.6K-56.6K-1.4K0.0034.19N/AN/A100459183
2010-10-06$21.76$22.5018.8%6.6%20.5%32.7%0.0%7.9%1.5%17.4K-103.0K-1.5K0.0042.90N/AN/A100459183
2010-10-07$21.58$22.5016.7%6.4%20.5%25.4%0.0%1.6%1.2%16.8K-44.6K-1.4K0.0029.20N/AN/A30469183
2010-10-08$21.62$22.5019.5%6.4%20.5%35.1%0.0%4.5%-0.1%17.2K-54.3K-1.4K0.0072.05N/AN/A10472183
2010-10-11$21.77$22.5024.5%6.4%19.5%52.4%0.0%6.1%1.1%19.4K-122.4K-1.5K0.0037.08N/AN/A00471183
2010-10-12$22.01$22.5017.0%6.1%19.2%26.3%0.0%5.5%1.8%20.3K-108.1K-1.4K0.0061.52N/AN/A20471183
2010-10-13$22.30$22.5016.2%6.4%19.5%23.6%19.5%5.4%1.7%25.5K-205.2K-1.5K2.0058.01N/AN/A24473183
2010-10-14$22.32$22.5021.8%6.2%19.1%43.0%0.0%6.4%2.0%25.9K-224.8K-1.5K6.6774.51N/AN/A320475179
2010-10-15$22.32$22.5022.1%6.3%17.6%44.0%0.0%6.0%1.2%40.8K-218.2K-1.4K0.0074.56N/AN/A680472159
2010-10-18$22.13$22.5025.5%7.3%17.8%56.1%0.0%5.7%-0.1%16.3K-283.2K-1.3K0.0073.54N/AN/A0028817
2010-10-19$21.91$22.5021.8%6.3%17.9%43.2%21.8%7.4%2.3%17.5K-250.3K-1.2K0.0076.90N/AN/A01028818
2010-10-20$22.08$22.5022.0%6.3%16.3%43.8%0.0%9.3%0.7%16.1K-253.4K-1.3K0.0076.14N/AN/A0028828
2010-10-21$22.06$22.5022.1%6.3%16.3%44.1%0.0%9.0%2.2%15.9K-251.7K-1.3K0.0072.94N/AN/A1028828
2010-10-22$21.99$22.5020.0%5.7%15.3%36.7%0.0%8.8%4.3%15.7K-248.2K-1.3K0.0074.16N/AN/A0028928
2010-10-25$22.00$22.5020.3%5.8%15.3%38.0%0.0%8.2%3.9%15.7K-249.2K-1.3K0.0074.44N/AN/A0028928
2010-10-26$21.80$22.5022.7%6.5%14.8%46.1%0.0%6.7%1.6%15.7K-222.8K-1.2K0.0075.77N/AN/A3028928
2010-10-27$21.53$22.5013.4%3.9%15.5%14.1%0.0%6.6%10.0%15.7K-205.1K-1.2K0.0094.24N/AN/A0429228
2010-10-28$21.65$22.5021.2%6.1%15.6%41.2%0.0%6.5%2.0%15.3K-207.6K-1.2K0.0085.87N/AN/A0029232
2010-10-29$21.49$22.5018.9%5.4%15.5%33.2%0.0%4.9%8.9%15.1K-190.6K-1.2K0.0093.81N/AN/A0029232