HI Options History — March 2011

In March 2011, HI traded between $21.04 and $22.02. ATM implied volatility averaged 20.2%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.7% (HV 20d: 18.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.44.

Notable Days

  • 2011-03-18: Highest Volume — 33 contracts
  • 2011-03-28: Largest IV spike — 54.5% change
  • 2011-03-17: Highest IV Rank — 81.1%
  • 2011-03-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.53$21.04$22.02$21.47$21.50
Max Pain$20.33$20.00$22.50$22.50$20.00
ATM IV20.2%14.7%32.7%14.9%16.2%
Expected Move6.1%4.2%9.4%4.3%4.6%
HV 20d18.6%12.9%21.3%18.3%12.9%
HV 60d20.5%20.2%21.1%20.3%20.2%
IV Rank37.6%18.6%81.1%19.2%23.7%
IV Percentile30.8%5.6%88.9%6.3%11.1%
Term Structure2.8%-5.4%9.6%9.6%6.5%
VWIV24.1%15.1%41.8%21.2%41.8%
Skew 25d5.9%0.7%10.1%4.9%5.7%
Skew 10d7.6%-3.7%14.7%5.3%6.3%
Call IV 25d20.3%14.2%23.6%14.4%22.4%
Put IV 25d26.2%19.3%29.6%19.3%28.1%
Bid-Ask Spread %84.1948.94107.7694.77107.25
Gamma HHI0.760.510.880.800.51
Net GEX28.3K17.2K33.3K27.7K17.2K
Net DEX-698.7K-862.7K-439.2K-659.5K-808.5K
Net VEX-3.8K-4.4K-2.7K-4.3K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.003.800.000.00
Total Volume9.217033254
Total OI1,514.6961,4581,5481,4581,526

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$21.47$22.5014.9%4.3%18.3%19.2%0.0%4.9%9.6%27.7K-659.5K-4.3K0.0094.77N/AN/A025941517
2011-03-02$21.48$22.5015.5%4.4%17.9%21.1%0.0%4.2%7.8%28.7K-609.7K-4.4K0.0095.44N/AN/A160941532
2011-03-03$22.02$22.5022.8%6.5%20.0%46.6%0.0%0.7%0.2%25.7K-857.1K-4.3K0.0094.02N/AN/A120952532
2011-03-04$21.91$20.0018.0%6.1%19.4%29.9%0.0%10.1%2.6%29.6K-808.9K-4.2K0.0058.28N/AN/A50963532
2011-03-07$21.73$20.0016.0%6.4%19.7%23.0%21.2%6.0%2.5%29.5K-717.5K-4.2K0.0052.71N/AN/A10963532
2011-03-08$21.69$20.0015.1%6.4%19.5%19.7%0.0%6.7%2.1%28.6K-698.9K-4.2K2.6748.94N/AN/A616964532
2011-03-09$21.78$20.0016.9%6.6%19.6%25.9%0.0%10.0%1.5%30.0K-703.9K-4.2K0.0059.58N/AN/A40970548
2011-03-10$21.65$20.0023.1%6.6%19.6%47.8%31.1%4.3%1.2%28.5K-678.6K-4.2K0.0055.56N/AN/A10972548
2011-03-11$21.66$20.0018.2%5.2%19.5%30.6%0.0%7.9%2.8%30.4K-657.5K-4.2K3.8072.08N/AN/A519972548
2011-03-14$21.23$20.0024.4%7.0%20.3%52.2%0.0%6.4%6.5%33.3K-560.8K-3.9K0.0084.60N/AN/A110976567
2011-03-15$21.04$20.0030.3%8.7%20.4%72.6%15.4%7.3%-3.3%30.8K-439.2K-4.0K0.0050.89N/AN/A01980567
2011-03-16$21.10$20.0029.1%8.3%20.2%68.5%0.0%7.7%-1.0%32.1K-453.9K-3.9K0.0091.23N/AN/A00980568
2011-03-17$21.18$20.0032.7%9.4%19.7%81.1%15.1%6.5%-5.4%31.7K-476.3K-3.9K0.0094.97N/AN/A50980566
2011-03-18$21.63$20.0020.0%5.7%21.3%36.9%24.2%6.5%3.8%27.5K-750.0K-3.6K0.3292.53N/AN/A258980566
2011-03-21$21.66$20.0017.2%4.9%20.8%27.0%22.2%5.6%1.0%32.6K-788.6K-3.7K0.0086.02N/AN/A80946548
2011-03-22$21.72$20.0020.6%5.9%18.7%38.8%0.0%5.8%2.4%27.1K-862.7K-3.3K0.0093.45N/AN/A60954548
2011-03-23$21.48$20.0022.7%6.5%18.0%46.3%0.0%5.4%1.1%27.4K-757.9K-3.6K0.0093.17N/AN/A50960548
2011-03-24$21.49$20.0022.3%6.4%16.3%44.9%0.0%5.1%-0.9%28.7K-746.5K-3.6K0.0088.39N/AN/A100965548
2011-03-25$21.42$20.0014.7%4.2%16.3%18.6%0.0%3.9%7.8%31.3K-714.6K-3.6K0.00107.53N/AN/A00975548
2011-03-28$21.50$20.0022.8%6.5%16.4%46.5%21.8%4.6%0.2%27.7K-774.1K-3.3K0.71100.06N/AN/A75975548
2011-03-29$21.42$20.0015.5%4.4%15.8%21.1%0.0%5.1%8.2%25.3K-752.3K-2.9K0.00107.76N/AN/A02982547
2011-03-30$21.51$20.0015.8%4.5%15.9%22.3%0.0%6.5%6.9%18.6K-794.1K-2.8K0.00107.25N/AN/A05982549
2011-03-31$21.50$20.0016.2%4.6%12.9%23.7%41.8%5.7%6.5%17.2K-808.5K-2.7K0.00107.25N/AN/A40982544