HI Options History — June 2011

In June 2011, HI traded between $22.05 and $23.65. ATM implied volatility averaged 21.9%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.7% (HV 20d: 17.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2011-06-28: Highest Volume — 146 contracts
  • 2011-06-30: Largest IV drop — 35.3% change
  • 2011-06-27: Highest IV Rank — 46.8%
  • 2011-06-27: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.73$22.05$23.65$22.59$23.65
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV21.9%13.1%24.1%23.7%13.1%
Expected Move6.4%3.7%6.9%6.8%3.7%
HV 20d17.2%11.0%21.0%11.5%21.0%
HV 60d16.9%15.6%18.1%15.6%18.1%
IV Rank36.9%1.8%46.8%43.3%1.8%
IV Percentile38.4%1.2%61.5%51.6%1.2%
Term Structure2.1%-0.2%9.8%0.1%9.8%
VWIV22.0%13.5%36.9%23.7%14.0%
Skew 25d6.3%-0.9%25.2%1.1%2.4%
Skew 10d7.8%-3.0%27.4%1.7%-1.7%
Call IV 25d22.7%16.7%28.5%25.0%21.7%
Put IV 25d29.0%22.9%50.5%26.2%24.1%
Bid-Ask Spread %72.0419.09108.3391.1695.20
Gamma HHI0.470.360.770.400.42
Net GEX15.9K4.6K56.5K7.0K15.8K
Net DEX-219.2K-520.5K-56.4K-193.0K-520.5K
Net VEX-1.8K-2.1K-1.5K-2.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.002.000.00
Total Volume29.95511463139
Total OI702.091594738720726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$22.59$22.5023.7%6.8%11.5%43.3%23.7%1.1%0.1%7.0K-193.0K-2.1K2.0091.16N/AN/A12365355
2011-06-02$22.60$22.5023.7%6.8%11.0%43.6%23.7%1.3%-0.2%7.4K-204.7K-2.1K0.0090.10N/AN/A40365357
2011-06-03$22.08$22.5021.6%6.6%13.8%35.3%23.1%1.8%1.7%4.6K-83.6K-2.0K0.3378.08N/AN/A93365357
2011-06-06$22.05$22.5022.0%6.9%13.6%37.0%0.0%19.3%1.3%4.9K-56.4K-2.0K0.0073.02N/AN/A04374360
2011-06-07$22.16$22.5021.6%6.4%13.3%35.4%22.5%4.4%1.9%6.8K-80.5K-2.0K0.6576.88N/AN/A2013374364
2011-06-08$22.84$22.5022.1%6.5%17.2%37.6%13.5%0.0%1.1%11.7K-285.8K-1.9K0.0070.50N/AN/A90367359
2011-06-09$22.81$22.5022.0%6.3%17.2%37.1%36.9%-0.9%1.9%14.7K-285.6K-1.9K0.0069.52N/AN/A40371354
2011-06-10$22.45$22.5022.0%6.3%18.1%36.8%0.0%25.2%2.5%13.8K-168.1K-1.9K0.0071.62N/AN/A100375354
2011-06-13$22.56$22.5022.7%6.5%18.1%39.6%0.0%7.7%3.7%16.0K-200.4K-1.8K0.0078.59N/AN/A10370354
2011-06-14$22.41$22.5021.6%6.2%18.1%35.4%21.6%5.7%3.1%19.4K-75.5K-1.7K0.0868.94N/AN/A121313354
2011-06-15$22.40$22.5021.9%6.3%18.1%36.4%21.8%6.0%2.8%18.7K-74.1K-1.7K0.0071.80N/AN/A06322355
2011-06-16$22.50$22.5023.7%6.8%17.7%43.7%18.1%7.0%1.0%21.9K-102.3K-1.7K0.0047.76N/AN/A014322358
2011-06-17$22.54$22.5021.6%6.2%17.6%35.3%21.6%5.6%2.1%56.5K-146.1K-1.7K0.8449.91N/AN/A1916322349
2011-06-20$23.00$22.5021.9%6.3%18.8%36.7%21.9%5.5%1.6%7.0K-163.5K-1.5K0.1187.30N/AN/A718269325
2011-06-21$23.13$22.5022.5%6.5%17.8%39.1%22.5%5.0%1.2%12.0K-263.3K-1.7K0.1619.09N/AN/A6410329327
2011-06-22$23.26$22.5022.2%6.4%17.8%37.8%22.1%2.6%1.6%18.5K-369.2K-1.8K0.0051.84N/AN/A20371327
2011-06-23$23.15$22.5022.6%6.5%18.0%40.7%0.0%6.7%2.1%18.1K-337.3K-1.8K2.0069.10N/AN/A12369327
2011-06-24$22.70$22.5023.2%6.7%19.5%43.0%23.2%5.6%1.7%17.4K-232.1K-1.8K1.5072.96N/AN/A1015370327
2011-06-27$22.66$22.5024.1%6.9%19.4%46.8%24.1%11.5%0.7%17.2K-201.8K-1.8K0.5669.89N/AN/A95380333
2011-06-28$23.19$22.5022.4%6.4%20.8%39.8%22.3%6.4%2.6%22.1K-353.9K-1.7K0.0173.19N/AN/A1442383330
2011-06-29$23.40$22.5020.2%5.8%20.8%30.8%19.6%8.7%1.5%18.1K-425.1K-1.7K0.07108.33N/AN/A272389329
2011-06-30$23.65$22.5013.1%3.7%21.0%1.8%14.0%2.4%9.8%15.8K-520.5K-1.7K0.0095.20N/AN/A1390399327