HI Options History — December 2010

In December 2010, HI traded between $19.31 and $21.05. ATM implied volatility averaged 21.1%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.8% (HV 20d: 19.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2010-12-14: Highest Volume — 466 contracts
  • 2010-12-15: Largest IV drop — 16.6% change
  • 2010-12-14: Highest IV Rank — 59.3%
  • 2010-12-07: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.11$19.31$21.05$19.31$20.81
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV21.1%18.0%26.5%21.1%18.0%
Expected Move6.2%5.2%7.0%6.1%5.2%
HV 20d19.3%15.4%25.2%24.0%15.8%
HV 60d19.6%18.8%20.3%20.3%18.9%
IV Rank40.5%29.9%59.3%40.8%29.9%
IV Percentile32.3%17.5%57.5%30.2%17.5%
Term Structure3.6%-0.2%10.6%8.2%10.6%
VWIV20.8%16.6%23.2%22.1%21.1%
Skew 25d2.5%-3.6%6.1%3.9%5.6%
Skew 10d4.6%-5.1%10.8%7.5%10.8%
Call IV 25d19.6%14.7%25.5%22.4%14.7%
Put IV 25d22.1%17.7%27.5%26.3%20.3%
Bid-Ask Spread %41.9216.3193.8093.8031.18
Gamma HHI0.430.330.520.340.50
Net GEX23.4K3.0K45.9K6.1K40.4K
Net DEX-282.2K-699.3K64.8K46.7K-609.9K
Net VEX-1.7K-2.2K-1.3K-1.6K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.890.670.00
Total Volume31.3180466100
Total OI1,088.0919001,3869001,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$19.31$20.0021.1%6.1%24.0%40.8%0.0%3.9%8.2%6.1K46.7K-1.6K0.0093.80N/AN/A010596304
2010-12-02$19.61$20.0023.0%6.6%25.2%47.3%0.0%5.4%-0.2%6.3K1.8K-1.6K0.0089.97N/AN/A00596314
2010-12-03$19.65$20.0022.8%6.5%25.1%46.5%0.0%5.9%0.2%5.7K-1.2K-1.6K0.0090.19N/AN/A00596314
2010-12-06$19.44$20.0020.8%6.8%24.9%39.5%0.0%5.9%2.0%5.9K54.8K-1.5K0.0028.05N/AN/A01586314
2010-12-07$19.42$20.0018.4%7.0%24.9%31.3%0.0%4.0%0.5%8.7K37.5K-1.5K0.0035.95N/AN/A00586315
2010-12-08$19.44$20.0019.6%7.0%16.7%35.6%0.0%-3.6%0.7%9.5K33.0K-1.5K0.0046.33N/AN/A00586315
2010-12-09$19.38$20.0021.4%7.0%16.5%41.8%0.0%3.3%0.7%7.1K64.8K-1.4K0.6736.99N/AN/A96586315
2010-12-10$19.58$20.0021.1%6.3%17.0%40.8%22.1%-3.6%2.7%8.3K32.8K-1.3K0.0041.84N/AN/A50592320
2010-12-13$19.52$20.0024.5%6.9%16.9%52.7%16.6%-1.1%1.5%5.4K20.9K-1.4K0.0043.05N/AN/A011597320
2010-12-14$19.80$20.0026.5%6.2%17.8%59.3%20.9%0.9%2.6%4.8K-61.2K-1.4K0.8916.31N/AN/A246220597320
2010-12-15$19.95$20.0022.1%6.3%18.0%44.0%0.0%1.6%2.6%3.0K-190.2K-2.2K0.0018.92N/AN/A20829510
2010-12-16$20.52$20.0023.2%6.7%20.6%48.0%23.2%-2.4%2.0%23.4K-428.8K-2.2K0.0054.03N/AN/A550831510
2010-12-17$20.51$20.0022.1%6.3%20.0%44.1%22.1%-3.6%2.7%37.1K-533.7K-2.1K0.0035.25N/AN/A130876510
2010-12-20$20.25$20.0019.0%5.5%20.5%33.4%19.3%3.0%4.7%35.6K-390.1K-1.9K0.0022.28N/AN/A500787450
2010-12-21$20.51$20.0020.9%6.0%20.8%39.9%0.0%5.2%3.5%43.1K-529.0K-2.0K0.0019.89N/AN/A00832450
2010-12-22$20.74$20.0020.6%5.9%19.4%38.8%0.0%4.8%3.9%45.9K-630.7K-2.0K0.0025.95N/AN/A00832450
2010-12-23$20.67$20.0020.2%5.8%16.2%37.7%0.0%4.1%5.2%45.5K-613.0K-1.9K0.0027.00N/AN/A00832450
2010-12-27$20.62$20.0021.1%6.0%16.4%40.5%21.1%5.1%4.8%45.3K-593.2K-1.8K0.1026.26N/AN/A505832450
2010-12-28$20.72$20.0019.8%5.7%16.0%36.2%0.0%0.0%6.3%40.2K-583.7K-1.6K0.0037.17N/AN/A00787195
2010-12-29$20.92$20.0018.5%5.3%15.4%31.5%0.0%0.0%3.4%43.0K-637.6K-1.6K0.0050.19N/AN/A05787195
2010-12-30$21.05$20.0018.6%5.3%15.4%32.0%0.0%6.1%9.6%44.1K-699.3K-1.5K0.0051.56N/AN/A10787450
2010-12-31$20.81$20.0018.0%5.2%15.8%29.9%0.0%5.6%10.6%40.4K-609.9K-1.5K0.0031.18N/AN/A00787450