HI Options History — October 2011

In October 2011, HI traded between $17.40 and $21.71. ATM implied volatility averaged 51.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 5.8% (HV 20d: 45.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2011-10-21: Highest Volume — 45 contracts
  • 2011-10-31: Largest IV spike — 179.9% change
  • 2011-10-07: Highest IV Rank — 68.2%
  • 2011-10-04: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.83$17.40$21.71$17.40$21.11
Max Pain$21.43$20.00$22.50$22.50$22.50
ATM IV51.1%20.9%97.2%87.2%65.6%
Expected Move14.3%6.0%26.7%25.0%18.8%
HV 20d45.2%40.1%50.4%40.1%43.8%
HV 60d43.3%39.3%45.9%39.3%45.3%
IV Rank31.0%6.7%68.2%60.1%42.7%
IV Percentile79.9%22.2%97.2%96.8%88.9%
Term Structure-12.4%-66.6%53.7%-66.6%-42.1%
VWIV30.5%16.1%43.4%30.4%23.4%
Skew 25d14.0%-41.2%137.9%-41.2%8.0%
Skew 10d18.2%-31.7%90.5%-31.7%48.0%
Call IV 25d34.4%17.1%83.0%63.2%22.8%
Put IV 25d48.3%22.0%171.8%22.0%30.8%
Bid-Ask Spread %132.11120.68140.43136.70137.26
Gamma HHI0.420.270.740.280.31
Net GEX-1.3K-19.1K7.1K1.3K4.6K
Net DEX16.7K-201.4K173.6K148.1K-143.0K
Net VEX-1.1K-1.3K-670-1.0K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.006.006.000.00
Total Volume10.095045142
Total OI681.714378811776447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$17.40$22.5087.2%25.0%40.1%60.1%30.4%-41.2%-66.6%1.3K148.1K-1.0K6.00136.70N/AN/A212530246
2011-10-04$18.16$22.5093.1%26.7%43.4%64.9%41.2%8.6%-54.9%2.7K81.7K-1.3K0.00133.96N/AN/A022530246
2011-10-05$18.14$22.5073.2%21.0%40.7%48.8%0.0%12.6%-30.4%771112.1K-1.3K0.00136.48N/AN/A00530256
2011-10-06$18.80$22.5036.3%10.4%41.3%19.1%0.0%137.9%2.1%-1.3K142.3K-1.1K0.00127.10N/AN/A00530256
2011-10-07$18.27$20.0097.2%12.5%41.3%68.2%0.0%0.2%-12.7%31124.4K-1.2K0.00127.58N/AN/A00530256
2011-10-10$18.98$20.0024.1%16.1%43.4%9.3%0.0%11.5%-51.6%-3.7K173.6K-8640.00133.52N/AN/A40530256
2011-10-11$19.25$20.0028.3%9.9%42.8%12.6%0.0%2.3%26.7%-2.8K81.8K-1.2K0.00139.46N/AN/A00534256
2011-10-12$19.73$20.0035.5%7.4%43.7%18.5%0.0%33.2%51.8%-7.0K107.7K-6700.00140.43N/AN/A00534256
2011-10-13$19.82$20.0047.9%13.7%43.3%28.5%0.0%9.8%-18.0%-4.2K79.0K-1.0K0.00129.79N/AN/A04534256
2011-10-14$20.47$20.0056.5%16.2%44.5%35.3%30.1%2.7%-24.6%-4.7K22.8K-1.1K0.00137.18N/AN/A230534258
2011-10-17$19.61$20.0037.0%10.6%47.0%19.6%36.8%20.6%-6.9%-5.4K76.1K-1.1K1.00132.90N/AN/A22546258
2011-10-18$20.16$20.0046.8%13.4%47.5%27.5%0.0%13.6%-0.1%-7.6K63.5K-9760.00137.53N/AN/A10546260
2011-10-19$19.59$20.0057.4%16.5%47.7%36.1%43.4%17.3%-36.5%-6.0K99.3K-1.0K0.00128.01N/AN/A04547260
2011-10-20$19.89$22.5039.4%11.3%46.4%21.6%0.0%22.2%22.0%-19.1K32.8K-1.3K0.00124.50N/AN/A05547264
2011-10-21$20.84$22.5061.4%17.6%48.5%39.3%25.6%14.3%-44.5%93-43.4K-1.0K0.67128.69N/AN/A2718547262
2011-10-24$21.26$22.5023.8%6.8%48.7%9.0%27.2%4.5%1.2%4.2K-148.7K-1.1K0.00127.80N/AN/A230241137
2011-10-25$20.62$22.5062.0%17.8%50.4%39.8%0.0%-15.7%-33.6%3.0K-120.5K-1.2K0.00133.33N/AN/A80256137
2011-10-26$21.01$22.5055.0%15.8%48.8%34.1%0.0%22.4%-11.1%4.5K-153.3K-1.1K1.00120.68N/AN/A11261137
2011-10-27$21.60$22.5020.9%6.0%48.6%6.7%16.1%8.5%53.7%5.4K-184.9K-1.1K0.00137.08N/AN/A90262138
2011-10-28$21.71$22.5023.4%6.7%47.9%8.7%23.4%0.4%16.5%7.1K-201.4K-1.1K0.91124.40N/AN/A2220267138
2011-10-31$21.11$22.5065.6%18.8%43.8%42.7%0.0%8.0%-42.1%4.6K-143.0K-1.2K0.00137.26N/AN/A20289158