HI Options History — September 2011

In September 2011, HI traded between $17.86 and $19.89. ATM implied volatility averaged 72.5%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 29.8% (HV 20d: 42.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-09-26: Highest Volume — 10 contracts
  • 2011-09-29: Largest IV spike — 106.0% change
  • 2011-09-29: Highest IV Rank — 100.0%
  • 2011-09-29: Largest Expected Move — 39.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.90$17.86$19.89$19.89$18.40
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV72.5%28.2%136.8%43.5%122.2%
Expected Move19.4%8.1%39.2%12.5%35.0%
HV 20d42.6%35.6%50.2%48.2%37.8%
HV 60d36.2%33.2%37.9%33.2%37.9%
IV Rank52.8%14.0%100.0%27.8%88.3%
IV Percentile94.4%86.5%100.0%92.9%98.8%
Term Structure-21.3%-71.5%19.7%-10.4%-26.7%
VWIV31.6%31.6%31.6%31.6%31.6%
Skew 25d31.1%-21.0%117.9%2.9%81.2%
Skew 10d19.7%-32.2%73.2%4.3%73.2%
Call IV 25d41.3%30.4%60.1%37.1%41.0%
Put IV 25d72.4%30.7%159.3%40.0%122.2%
Bid-Ask Spread %141.8186.84161.91145.97160.41
Gamma HHI0.360.320.390.330.36
Net GEX2.4K-1.3K5.8K2.0K4.5K
Net DEX28.4K-70.3K166.8K-13.0K1.9K
Net VEX-1.6K-1.9K-1.1K-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.14301000
Total OI783.905766802799776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$19.89$22.5043.5%12.5%48.2%27.8%0.0%2.9%-10.4%2.0K-13.0K-1.6K0.00145.97N/AN/A00551248
2011-09-02$19.09$22.5028.2%8.1%50.2%14.0%0.0%0.8%2.9%27255.2K-1.5K0.00131.03N/AN/A00551248
2011-09-06$19.11$22.5045.1%11.6%43.0%29.3%0.0%61.5%-3.1%3.3K-1.1K-1.8K0.00101.61N/AN/A30551248
2011-09-07$19.85$22.5036.0%9.8%44.4%21.1%0.0%44.7%-0.5%3.3K-25.4K-1.8K0.0086.84N/AN/A30554248
2011-09-08$19.15$22.5069.9%10.4%46.3%51.6%0.0%21.6%19.7%1.2K31.4K-1.6K0.00112.93N/AN/A20551248
2011-09-09$18.61$22.50116.2%14.8%47.3%93.3%0.0%-5.3%-14.5%1.9K54.4K-1.6K0.00121.40N/AN/A00553248
2011-09-12$18.86$22.5074.3%9.4%47.4%55.5%0.0%3.1%-16.1%16992.5K-1.3K0.00101.10N/AN/A00553248
2011-09-13$19.32$22.5035.7%17.3%44.1%20.8%0.0%18.7%-39.0%4.5K-33.3K-1.9K0.00147.53N/AN/A00553248
2011-09-14$19.26$22.5046.0%18.5%44.1%30.1%0.0%64.9%-22.8%5.8K-54.2K-1.9K0.00152.00N/AN/A00531248
2011-09-15$19.60$22.5079.0%22.6%44.7%59.7%0.0%19.1%-20.4%5.6K-52.1K-1.9K0.00159.06N/AN/A00531248
2011-09-16$19.42$22.5039.1%11.2%42.8%23.9%0.0%-3.2%-23.9%3.2K39.4K-1.6K0.00161.91N/AN/A10531248
2011-09-19$19.14$22.5061.2%17.5%42.7%43.7%0.0%10.4%2.0%-1.2K88.9K-1.2K0.00161.42N/AN/A00530242
2011-09-20$18.85$22.5051.4%14.7%43.0%34.9%0.0%-0.3%-12.2%72123.4K-1.2K0.00148.48N/AN/A00530242
2011-09-21$18.37$22.5065.8%18.9%41.1%47.9%0.0%-21.0%-71.5%-1.3K164.0K-1.1K0.00148.32N/AN/A00530242
2011-09-22$17.86$22.50118.1%33.8%41.0%94.9%0.0%67.6%-41.3%4.6K-35.9K-1.9K0.00148.44N/AN/A00530242
2011-09-23$18.17$22.5086.6%24.8%39.0%66.6%31.6%65.3%-22.0%3.6K28.9K-1.5K0.00157.48N/AN/A50530236
2011-09-26$18.47$22.50123.3%35.4%38.0%99.7%0.0%96.5%-42.2%5.2K-64.5K-1.8K0.00159.97N/AN/A010530236
2011-09-27$18.67$22.5077.2%22.1%35.6%58.1%0.0%9.7%-34.7%-15099.6K-1.4K0.00160.26N/AN/A00530246
2011-09-28$18.11$22.5066.4%19.0%36.2%48.4%0.0%-2.2%-34.4%-1.2K166.8K-1.1K0.00157.31N/AN/A00530246
2011-09-29$18.68$22.50136.8%39.2%38.4%100.0%0.0%117.9%-36.7%5.4K-70.3K-1.7K0.00154.60N/AN/A00530246
2011-09-30$18.40$22.50122.2%35.0%37.8%88.3%0.0%81.2%-26.7%4.5K1.9K-1.6K0.00160.41N/AN/A00530246