HI Options History — April 2011

In April 2011, HI traded between $21.71 and $23.11. ATM implied volatility averaged 23.0%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.7% (HV 20d: 17.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-04-18: Highest Volume — 162 contracts
  • 2011-04-11: Largest IV spike — 23.6% change
  • 2011-04-13: Highest IV Rank — 60.0%
  • 2011-04-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.38$21.71$23.11$21.79$22.92
Max Pain$21.63$20.00$22.50$20.00$22.50
ATM IV23.0%16.4%26.8%21.2%26.6%
Expected Move6.9%6.1%7.7%6.1%7.6%
HV 20d17.3%13.3%20.8%13.8%20.7%
HV 60d18.3%17.5%20.1%20.1%18.2%
IV Rank44.7%24.3%60.0%41.2%54.7%
IV Percentile44.6%10.3%65.9%33.3%63.1%
Term Structure0.4%-1.5%8.1%8.1%-0.8%
VWIV23.9%23.2%26.2%23.5%26.2%
Skew 25d3.6%-1.0%9.1%4.5%4.6%
Skew 10d5.8%-4.4%14.9%7.0%6.8%
Call IV 25d21.8%18.5%23.8%21.3%22.4%
Put IV 25d25.4%21.0%28.5%25.8%27.0%
Bid-Ask Spread %79.5465.51111.58111.5878.20
Gamma HHI0.390.330.570.570.36
Net GEX768-12.9K21.9K21.9K-7.3K
Net DEX-693.1K-1.8M-8.7K-869.4K-185.8K
Net VEX-2.6K-3.2K-2.2K-3.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.005.000.450.40
Total Volume24.401621614
Total OI1,180.356071,5541,506798

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$21.79$20.0021.2%6.1%13.8%41.2%0.0%4.5%8.1%21.9K-869.4K-3.2K0.45111.58N/AN/A115962544
2011-04-04$21.75$20.0018.4%6.7%13.5%31.3%23.5%5.3%0.5%12.2K-882.9K-2.8K0.0078.51N/AN/A280973549
2011-04-05$21.71$20.0021.6%6.7%13.5%42.3%0.0%4.9%0.3%20.8K-856.6K-2.9K0.0078.08N/AN/A120974549
2011-04-06$21.74$20.0016.5%6.9%13.4%24.8%0.0%5.1%-0.6%4.9K-862.9K-2.6K0.0078.70N/AN/A150986549
2011-04-07$21.75$20.0016.4%6.7%13.3%24.3%23.2%5.2%-0.1%3.9K-887.6K-2.6K0.0076.40N/AN/A100996549
2011-04-08$21.92$20.0020.0%7.1%13.5%36.8%0.0%4.9%-1.1%4.4K-970.1K-2.7K5.0076.69N/AN/A3151,005549
2011-04-11$22.75$20.0024.7%6.9%16.8%53.2%24.1%8.9%0.1%3.0K-1.5M-2.6K1.1483.11N/AN/A14161,005542
2011-04-12$22.75$22.5024.2%6.7%16.2%51.4%23.5%9.1%0.8%5.7K-1.6M-2.5K0.0865.51N/AN/A5141,013539
2011-04-13$22.37$22.5026.7%7.1%17.8%60.0%0.0%0.2%-0.8%5.7K-1.3M-2.6K0.0077.99N/AN/A201,016537
2011-04-14$22.45$22.5023.6%6.8%17.8%48.0%0.0%6.8%0.4%6.5K-1.3M-2.5K0.0071.60N/AN/A101,016537
2011-04-15$22.82$22.5022.9%6.6%17.2%44.6%0.0%1.9%1.2%7.0K-1.8M-2.3K0.8177.04N/AN/A16131,017537
2011-04-18$22.28$22.5024.0%6.9%19.7%48.4%24.0%-1.0%-0.6%1.3K-144.5K-2.2K0.0080.41N/AN/A0162291316
2011-04-19$22.34$22.5023.0%6.6%19.7%43.9%0.0%0.4%1.7%-12.9K-8.7K-2.6K0.0079.63N/AN/A00291424
2011-04-20$22.57$22.5023.8%6.8%19.3%43.8%23.8%1.0%-0.5%-12.3K-48.9K-2.5K0.0479.32N/AN/A271291424
2011-04-21$22.52$22.5023.3%6.7%19.4%41.8%23.3%0.7%1.0%-11.4K-57.9K-2.7K0.5078.96N/AN/A42316425
2011-04-25$22.42$22.5022.9%6.6%19.4%40.3%23.5%0.8%1.7%-11.8K-56.4K-2.6K1.7576.94N/AN/A814320427
2011-04-26$22.74$22.5026.2%7.5%19.9%53.1%26.2%3.3%-0.5%-10.4K-111.8K-2.7K0.2580.23N/AN/A82327441
2011-04-27$23.11$22.5026.8%7.7%20.3%55.5%0.0%0.2%-1.5%-9.0K-198.1K-2.6K0.0780.80N/AN/A282335439
2011-04-28$22.90$22.5026.5%7.6%20.8%54.4%0.0%6.2%-0.9%-7.0K-187.4K-2.7K0.0081.06N/AN/A00357441
2011-04-29$22.92$22.5026.6%7.6%20.7%54.7%0.0%4.6%-0.8%-7.3K-185.8K-2.7K0.4078.20N/AN/A104357441