HI Options History — August 2011

In August 2011, HI traded between $18.45 and $21.66. ATM implied volatility averaged 66.3%, placing in the 68.0% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 28.7% (HV 20d: 37.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-08-25: Highest Volume — 79 contracts
  • 2011-08-04: Largest IV spike — 256.7% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-29: Largest Expected Move — 35.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.87$18.45$21.66$21.66$20.40
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV66.3%19.1%123.7%21.2%86.3%
Expected Move18.1%5.5%35.5%6.1%24.7%
HV 20d37.6%18.4%50.9%18.4%50.0%
HV 60d27.3%18.2%33.5%18.2%33.5%
IV Rank68.0%16.2%100.0%40.1%66.3%
IV Percentile91.0%17.5%100.0%29.8%98.8%
Term Structure-18.6%-84.5%24.8%-1.3%-54.6%
VWIV17.7%17.7%17.7%17.7%17.7%
Skew 25d11.7%-30.2%96.9%-4.4%15.3%
Skew 10d12.2%-7.1%54.3%-7.1%2.0%
Call IV 25d37.2%17.8%57.7%24.8%35.0%
Put IV 25d48.9%20.4%136.3%20.4%50.4%
Bid-Ask Spread %145.68116.15158.33127.33155.22
Gamma HHI0.420.300.570.450.36
Net GEX4.3K-93114.7K14.7K4.0K
Net DEX26.2K-169.8K167.2K-169.8K-80.0K
Net VEX-1.4K-2.0K-815-1.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.0011.000.040.00
Total Volume18.348079521
Total OI639.826544798544798

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$21.66$22.5021.2%6.1%18.4%40.1%17.7%-4.4%-1.3%14.7K-169.8K-1.8K0.04127.33N/AN/A502405139
2011-08-02$21.01$22.5032.0%9.2%20.3%90.9%0.0%11.7%18.3%12.6K-86.8K-1.7K0.02125.20N/AN/A501437139
2011-08-03$21.29$22.5019.1%5.5%21.5%30.2%0.0%2.6%4.0%5.6K43.8K-1.2K0.00116.15N/AN/A00457140
2011-08-04$20.35$22.5068.0%19.5%25.0%100.0%0.0%-30.2%-73.5%6.9K-2.3K-1.5K0.00135.19N/AN/A04457140
2011-08-05$20.15$22.5083.3%9.4%25.0%100.0%0.0%7.6%-10.2%8.0K-16.6K-1.6K3.00132.91N/AN/A26457144
2011-08-08$18.75$22.5090.7%20.0%33.7%100.0%0.0%14.6%-11.7%3.5K82.9K-1.2K0.00146.04N/AN/A00457150
2011-08-09$18.45$22.5051.6%12.0%33.5%50.0%0.0%-2.9%24.8%2.0K113.6K-1.1K0.00144.63N/AN/A017457149
2011-08-10$18.73$22.5041.4%13.7%34.8%36.9%0.0%3.8%24.4%-931167.2K-8150.00150.75N/AN/A00457166
2011-08-11$18.98$22.5025.3%7.3%35.8%16.2%0.0%10.5%21.0%-448164.9K-8520.00144.94N/AN/A00457166
2011-08-12$19.16$22.5063.8%18.3%36.0%65.6%0.0%-9.3%-11.3%4.4K21.3K-1.6K0.00151.96N/AN/A04457166
2011-08-15$20.19$22.5063.9%18.3%41.5%65.7%0.0%9.5%-12.5%4.5K66.5K-1.3K11.00144.72N/AN/A111457170
2011-08-16$20.14$22.5075.5%21.7%40.1%80.6%0.0%5.3%-17.9%8.5K-83.6K-1.8K0.00142.04N/AN/A00458181
2011-08-17$20.07$22.5069.2%19.8%40.1%72.5%0.0%2.9%-27.3%1.8K111.4K-1.2K0.00150.64N/AN/A00458181
2011-08-18$19.34$22.5067.0%19.2%40.9%69.7%0.0%-7.5%-1.2%4.0K33.2K-1.5K0.00156.61N/AN/A01458181
2011-08-19$19.03$22.5064.7%18.6%40.9%66.8%0.0%30.1%-25.5%449143.2K-9790.00151.44N/AN/A02458182
2011-08-22$18.97$22.5082.6%23.7%40.9%89.7%0.0%28.8%-17.4%4.1K-40.0K-1.6K1.79158.33N/AN/A1425403157
2011-08-23$19.75$22.50114.3%32.8%44.4%100.0%0.0%96.9%-41.7%2.5K90.1K-1.5K0.08156.27N/AN/A252417182
2011-08-24$20.16$22.5082.6%23.7%45.2%68.8%0.0%-3.9%-33.6%2.7K78.4K-1.5K0.28153.11N/AN/A3911438181
2011-08-25$19.27$22.5063.0%18.1%47.4%49.5%0.0%52.0%-36.1%1.1K78.0K-1.5K0.39152.54N/AN/A5722462192
2011-08-26$19.82$22.5057.0%16.3%49.0%43.6%0.0%29.6%-10.5%2.1K20.8K-1.7K1.60146.22N/AN/A2032519214
2011-08-29$20.53$22.50123.7%35.5%50.9%100.0%0.0%-10.3%-84.5%3.1K-61.9K-1.7K0.20153.00N/AN/A102539246
2011-08-30$20.74$22.5079.6%22.8%50.0%60.3%0.0%16.2%-48.8%2.6K-72.9K-1.5K0.00155.41N/AN/A110539248
2011-08-31$20.40$22.5086.3%24.7%50.0%66.3%0.0%15.3%-54.6%4.0K-80.0K-2.0K0.00155.22N/AN/A10550248