HI Options History — February 2011 In February 2011, HI traded between $21.31 and $22.25. ATM implied volatility averaged 20.2%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.3% (HV 20d: 19.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.02.
Notable Days 2011-02-11 : Highest Volume — 109 contracts2011-02-10 : Largest IV spike — 55.9% change2011-02-01 : Highest IV Rank — 52.0%2011-02-01 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.80 $21.31 $22.25 $21.82 $21.75 Max Pain $22.50 $22.50 $22.50 $22.50 $22.50 ATM IV 20.2% 12.6% 24.3% 24.3% 17.8% Expected Move 6.3% 4.8% 7.0% 7.0% 5.1% HV 20d 19.8% 14.8% 26.2% 26.2% 19.1% HV 60d 20.6% 19.8% 23.2% 23.0% 20.3% IV Rank 37.5% 11.2% 52.0% 52.0% 29.2% IV Percentile 30.5% 2.8% 51.6% 51.6% 13.1% Term Structure 0.5% -2.1% 3.9% -0.1% 2.0% VWIV 21.7% 13.4% 24.3% 24.3% 23.7% Skew 25d 1.2% -5.1% 6.7% 5.9% -1.6% Skew 10d 2.4% -5.5% 9.1% 8.1% -4.7% Call IV 25d 22.4% 21.2% 23.6% 22.2% 21.4% Put IV 25d 23.6% 17.6% 29.5% 28.0% 19.8% Bid-Ask Spread % 77.61 22.15 105.50 22.15 105.50 Gamma HHI 0.59 0.44 0.83 0.44 0.82 Net GEX 32.2K 25.9K 38.9K 29.9K 25.9K Net DEX -809.6K -1.0M -595.7K -951.2K -758.2K Net VEX -4.5K -4.8K -4.2K -4.7K -4.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.02 0.00 9.90 1.04 0.00 Total Volume 31.368 1 109 47 9 Total OI 1,637.789 1,394 1,830 1,584 1,451
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-02-01 $21.82 $22.50 24.3% 7.0% 26.2% 52.0% 24.3% 5.9% -0.1% 29.9K -951.2K -4.7K 1.04 22.15 N/A N/A 23 24 1,031 553 2011-02-02 $21.96 $22.50 23.6% 6.8% 26.1% 49.4% 0.0% 5.7% 0.2% 33.6K -1.0M -4.8K 0.65 27.00 N/A N/A 17 11 1,041 575 2011-02-03 $21.67 $22.50 16.7% 4.8% 26.1% 25.4% 13.4% 2.3% 3.9% 33.6K -856.7K -4.8K 4.92 32.97 N/A N/A 13 64 1,044 586 2011-02-04 $21.64 $22.50 12.6% 6.5% 20.4% 11.2% 0.0% 2.5% -0.9% 38.0K -814.9K -4.5K 2.89 73.02 N/A N/A 9 26 1,057 600 2011-02-07 $21.80 $22.50 12.7% 6.8% 19.9% 11.6% 0.0% 3.0% 0.5% 38.1K -863.6K -4.5K 0.07 84.37 N/A N/A 30 2 1,066 611 2011-02-08 $21.75 $22.50 16.6% 6.5% 19.9% 24.9% 22.3% 2.8% 0.9% 35.8K -855.4K -4.5K 0.31 82.30 N/A N/A 35 11 1,060 613 2011-02-09 $21.65 $22.50 14.1% 6.6% 20.0% 16.2% 0.0% 2.2% 0.9% 36.3K -778.0K -4.4K 3.75 85.15 N/A N/A 4 15 1,062 624 2011-02-10 $21.75 $22.50 21.9% 6.3% 19.7% 43.6% 21.1% 3.7% 1.4% 36.6K -797.5K -4.4K 0.33 83.08 N/A N/A 12 4 1,063 638 2011-02-11 $21.99 $22.50 23.5% 6.7% 20.1% 49.1% 23.3% 6.3% -2.1% 38.9K -971.1K -4.5K 9.90 79.07 N/A N/A 10 99 1,062 633 2011-02-14 $21.96 $22.50 23.4% 6.7% 18.3% 48.9% 0.0% -4.2% -0.2% 30.2K -791.7K -4.5K 0.00 87.37 N/A N/A 0 1 1,070 732 2011-02-15 $21.73 $22.50 22.7% 6.5% 18.4% 46.4% 0.0% 3.0% -0.0% 28.5K -694.7K -4.5K 0.00 83.12 N/A N/A 0 23 1,070 733 2011-02-16 $21.99 $22.50 22.1% 6.3% 16.4% 44.2% 0.0% -3.3% 0.6% 30.1K -763.5K -4.5K 0.67 88.70 N/A N/A 3 2 1,070 756 2011-02-17 $21.97 $22.50 22.4% 6.4% 14.8% 45.3% 0.0% -3.3% 0.0% 29.0K -743.1K -4.4K 0.00 87.95 N/A N/A 1 0 1,073 756 2011-02-18 $22.25 $22.50 22.6% 6.5% 15.4% 46.0% 22.6% -1.8% 0.3% 38.7K -876.8K -4.4K 1.25 89.36 N/A N/A 16 20 1,074 756 2011-02-22 $21.68 $22.50 22.2% 6.4% 17.7% 44.4% 22.3% -5.1% 1.3% 26.5K -739.9K -4.4K 3.43 94.06 N/A N/A 7 24 914 480 2011-02-23 $21.31 $22.50 18.8% 5.4% 18.5% 32.5% 22.5% 0.8% 0.9% 28.8K -595.7K -4.3K 0.16 88.10 N/A N/A 19 3 917 493 2011-02-24 $21.76 $22.50 23.0% 6.6% 20.2% 47.1% 23.7% 6.7% 0.5% 26.7K -752.8K -4.4K 2.50 87.00 N/A N/A 6 15 931 496 2011-02-25 $21.75 $22.50 22.2% 6.4% 20.0% 44.5% 0.0% -2.7% -1.1% 27.6K -774.4K -4.2K 2.45 94.37 N/A N/A 11 27 937 490 2011-02-28 $21.75 $22.50 17.8% 5.1% 19.1% 29.2% 0.0% -1.6% 2.0% 25.9K -758.2K -4.3K 0.00 105.50 N/A N/A 9 0 934 517
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