HI Options History — January 2011

In January 2011, HI traded between $20.66 and $22.44. ATM implied volatility averaged 23.6%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.2% (HV 20d: 22.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2011-01-06: Highest Volume — 1,540 contracts
  • 2011-01-06: Largest IV spike — 45.4% change
  • 2011-01-10: Highest IV Rank — 72.5%
  • 2011-01-06: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.82$20.66$22.44$20.73$21.61
Max Pain$22.00$20.00$22.50$20.00$22.50
ATM IV23.6%16.9%30.3%17.8%24.3%
Expected Move6.7%4.8%8.1%5.1%7.0%
HV 20d22.4%15.3%26.1%16.0%26.1%
HV 60d21.6%18.8%23.1%18.8%23.1%
IV Rank49.3%25.9%72.5%29.1%52.0%
IV Percentile48.5%11.5%84.1%17.1%52.0%
Term Structure1.5%-2.7%12.6%10.9%-0.8%
VWIV25.4%19.0%29.5%28.4%23.9%
Skew 25d6.5%-0.2%11.2%3.1%3.3%
Skew 10d8.7%-4.3%15.6%6.1%5.6%
Call IV 25d22.8%15.9%33.1%17.4%22.8%
Put IV 25d29.3%19.5%38.4%20.6%26.1%
Bid-Ask Spread %42.8619.9560.2033.9130.52
Gamma HHI0.510.430.720.560.44
Net GEX56.2K29.6K95.8K39.8K29.6K
Net DEX-1.4M-2.1M-565.2K-565.2K-873.5K
Net VEX-3.9K-4.8K-1.4K-1.4K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.007.000.090.23
Total Volume140.4501,54012106
Total OI1,844.51,2372,5191,2371,589

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$20.73$20.0017.8%5.1%16.0%29.1%0.0%3.1%10.9%39.8K-565.2K-1.4K0.0933.91N/AN/A111787450
2011-01-04$20.66$20.0016.9%4.8%15.3%25.9%0.0%1.9%11.4%37.9K-568.7K-1.4K0.0031.69N/AN/A03798451
2011-01-05$21.04$20.0019.5%5.6%16.2%35.1%0.0%9.3%12.6%43.9K-686.9K-1.5K0.0029.82N/AN/A80798454
2011-01-06$22.01$20.0028.3%8.1%21.7%65.8%28.4%4.2%-0.5%55.6K-1.1M-1.6K0.1247.63N/AN/A1,370170806454
2011-01-07$21.69$22.5026.9%7.5%22.7%61.0%26.5%6.4%-1.8%61.5K-1.7M-3.8K0.6960.20N/AN/A107741,308604
2011-01-10$21.71$22.5030.3%7.4%22.7%72.5%25.8%7.2%-1.4%64.0K-1.7M-4.4K2.1557.20N/AN/A20431,396660
2011-01-11$21.67$22.5022.1%7.2%22.7%44.0%29.5%7.6%-0.5%63.5K-1.7M-4.5K0.9029.35N/AN/A63571,406702
2011-01-12$21.90$22.5026.7%7.3%22.5%60.1%25.4%11.1%-1.8%65.9K-1.8M-4.7K0.6228.62N/AN/A26161,469759
2011-01-13$21.88$22.5025.1%7.2%22.6%54.7%27.2%-0.2%-1.1%69.7K-1.8M-4.6K2.5733.17N/AN/A30771,495769
2011-01-14$22.37$22.5024.8%7.1%21.8%53.5%24.8%11.2%-0.8%78.2K-2.1M-4.5K1.6736.46N/AN/A21351,517789
2011-01-18$22.18$22.5024.7%7.1%22.2%53.2%24.7%0.0%-0.8%88.0K-2.0M-4.3K0.0954.72N/AN/A126111,520824
2011-01-19$21.61$22.5025.3%7.3%24.0%55.4%25.2%0.0%-2.7%60.4K-1.7M-4.6K0.7254.49N/AN/A18131,643835
2011-01-20$22.05$22.5024.9%7.1%24.5%53.7%0.0%0.0%-1.3%92.9K-1.9M-4.7K0.0057.61N/AN/A2301,657847
2011-01-21$22.06$22.5023.0%6.6%24.4%47.3%29.0%0.0%-0.3%95.8K-1.9M-4.7K1.0752.21N/AN/A1101181,672847
2011-01-24$22.27$22.5021.7%6.2%24.4%42.8%0.0%9.8%3.0%38.1K-1.3M-4.6K1.2647.88N/AN/A23291,018464
2011-01-25$22.23$22.5022.0%6.3%24.3%43.9%19.0%8.8%2.0%36.0K-1.2M-4.7K0.0051.50N/AN/A501,019493
2011-01-26$22.33$22.5021.0%6.0%24.3%40.4%0.0%6.6%3.1%37.2K-1.3M-4.6K0.0050.98N/AN/A001,022493
2011-01-27$22.44$22.5022.6%6.5%24.2%45.8%22.6%8.2%1.4%35.7K-1.3M-4.5K7.0049.37N/AN/A8561,022493
2011-01-28$22.05$22.5023.8%6.8%25.3%50.0%23.8%5.8%-0.1%30.5K-1.1M-4.8K0.4819.95N/AN/A21101,030530
2011-01-31$21.61$22.5024.3%7.0%26.1%52.0%23.9%3.3%-0.8%29.6K-873.5K-4.8K0.2330.52N/AN/A86201,049540