HI Options History — May 2011

In May 2011, HI traded between $22.28 and $22.83. ATM implied volatility averaged 23.7%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.2% (HV 20d: 15.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2011-05-31: Highest Volume — 31 contracts
  • 2011-05-05: Largest IV drop — 18.5% change
  • 2011-05-04: Highest IV Rank — 59.0%
  • 2011-05-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.53$22.28$22.83$22.78$22.75
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV23.7%20.8%27.7%26.0%23.4%
Expected Move6.9%6.5%7.9%7.4%6.7%
HV 20d15.5%10.8%21.4%20.6%11.4%
HV 60d17.3%15.6%18.2%18.0%15.6%
IV Rank43.6%31.9%59.0%52.3%42.1%
IV Percentile47.9%25.0%69.0%58.7%48.0%
Term Structure-0.5%-2.6%1.1%-2.6%-1.6%
VWIV24.5%22.6%27.7%26.0%23.8%
Skew 25d1.5%-0.6%7.4%3.5%1.6%
Skew 10d2.5%-0.9%11.8%5.8%3.6%
Call IV 25d22.4%19.5%27.1%23.8%24.0%
Put IV 25d23.9%20.7%28.2%27.3%25.6%
Bid-Ask Spread %87.7579.2992.0380.3690.49
Gamma HHI0.410.360.650.370.36
Net GEX-10.8K-40.6K4.0K-7.2K4.0K
Net DEX-137.3K-293.2K-55.3K-185.5K-190.9K
Net VEX-2.4K-2.7K-2.0K-2.7K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.005.500.000.00
Total Volume6.571031831
Total OI787.238679840812691

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$22.78$22.5026.0%7.4%20.6%52.3%26.0%3.5%-2.6%-7.2K-185.5K-2.7K0.0080.36N/AN/A80367445
2011-05-03$22.66$22.5027.3%7.8%20.8%57.5%0.0%2.7%-1.2%-7.0K-153.3K-2.7K0.0079.29N/AN/A20375445
2011-05-04$22.44$22.5027.7%7.9%21.1%59.0%27.7%1.1%-2.5%-7.4K-100.0K-2.7K4.0081.38N/AN/A28377445
2011-05-05$22.45$22.5022.6%6.5%21.1%39.0%0.0%0.3%0.5%-8.9K-120.8K-2.6K5.5080.89N/AN/A211379441
2011-05-06$22.29$22.5022.3%6.7%21.4%38.1%0.0%5.7%-0.8%-10.4K-55.3K-2.7K0.0081.92N/AN/A40379452
2011-05-09$22.50$22.5023.6%6.8%21.4%42.9%0.0%7.4%0.2%-11.8K-80.6K-2.5K0.0085.07N/AN/A00379452
2011-05-10$22.51$22.5020.8%6.9%16.7%32.2%24.1%0.4%-0.0%-12.9K-104.9K-2.6K0.0090.05N/AN/A10379452
2011-05-11$22.61$22.5020.8%7.0%16.8%31.9%0.0%1.4%0.2%-13.6K-124.5K-2.6K0.0089.80N/AN/A00379452
2011-05-12$22.67$22.5023.4%6.7%15.7%42.2%0.0%1.9%0.6%-13.6K-156.4K-2.5K0.0092.03N/AN/A05379452
2011-05-13$22.54$22.5023.8%6.8%15.8%43.6%0.0%0.6%0.7%-16.3K-118.8K-2.5K0.0089.63N/AN/A01379451
2011-05-16$22.40$22.5024.2%6.9%14.7%45.4%0.0%-0.5%-0.2%-17.1K-82.5K-2.4K0.0091.03N/AN/A00379452
2011-05-17$22.46$22.5023.2%6.7%12.0%41.6%0.0%0.3%1.1%-22.7K-93.4K-2.3K0.0090.99N/AN/A60379452
2011-05-18$22.72$22.5024.6%7.1%12.6%47.0%0.0%1.6%-0.9%-28.1K-192.3K-2.2K0.0091.20N/AN/A30383452
2011-05-19$22.83$22.5023.4%6.7%12.2%42.1%23.4%2.8%0.1%-18.7K-293.2K-2.2K1.2089.45N/AN/A56386452
2011-05-20$22.63$22.5023.9%6.9%12.6%44.4%0.0%1.7%-1.5%-40.6K-221.5K-2.2K0.0090.45N/AN/A60385455
2011-05-23$22.28$22.5023.8%6.8%13.8%43.7%0.0%-0.6%-0.5%1.3K-140.4K-2.1K1.1189.42N/AN/A910335344
2011-05-24$22.35$22.5023.4%6.7%12.7%42.1%23.4%-0.4%-0.5%861-116.5K-2.1K0.0089.82N/AN/A10326354
2011-05-25$22.36$22.5025.0%7.2%11.1%48.6%25.0%-0.2%-1.3%489-108.7K-2.1K0.3390.50N/AN/A31326354
2011-05-26$22.40$22.5022.6%6.5%10.8%39.3%22.6%-0.3%0.7%134-101.9K-2.1K0.0090.57N/AN/A20328355
2011-05-27$22.55$22.5023.0%6.6%11.1%40.8%0.0%0.7%-0.6%1.7K-142.4K-2.0K0.0088.46N/AN/A110330355
2011-05-31$22.75$22.5023.4%6.7%11.4%42.1%23.8%1.6%-1.6%4.0K-190.9K-2.0K0.0090.49N/AN/A310336355