HI Options History — November 2011

In November 2011, HI traded between $19.60 and $22.73. ATM implied volatility averaged 54.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 8.2% (HV 20d: 45.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.09.

Notable Days

  • 2011-11-09: Highest Volume — 50 contracts
  • 2011-11-28: Largest IV spike — 175.0% change
  • 2011-11-28: Highest IV Rank — 92.2%
  • 2011-11-28: Largest Expected Move — 36.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.10$19.60$22.73$20.18$22.73
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV54.1%20.0%127.1%55.9%24.5%
Expected Move16.2%7.0%36.4%16.0%7.0%
HV 20d45.9%40.9%53.7%46.1%53.7%
HV 60d44.3%42.8%47.5%43.7%47.5%
IV Rank33.5%6.0%92.2%34.9%9.6%
IV Percentile78.6%16.3%99.6%84.5%56.7%
Term Structure-12.6%-52.2%45.1%-9.8%13.7%
VWIV55.0%24.7%140.6%36.6%24.7%
Skew 25d16.4%-22.6%56.2%20.8%-22.6%
Skew 10d29.9%-50.3%91.6%52.3%-38.5%
Call IV 25d54.3%23.2%132.4%29.9%46.9%
Put IV 25d70.6%24.3%176.7%50.7%24.3%
Bid-Ask Spread %140.35126.99148.34126.99130.66
Gamma HHI0.350.270.440.270.39
Net GEX6.5K-17213.0K3.8K8.2K
Net DEX-176.0K-288.9K-68.1K-129.4K-288.9K
Net VEX-1.2K-1.4K-854-1.4K-989
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0010.000.000.00
Total Volume8.1430502116
Total OI470.857447510449480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$20.18$22.5055.9%16.0%46.1%34.9%36.6%20.8%-9.8%3.8K-129.4K-1.4K0.00126.99N/AN/A021291158
2011-11-02$20.63$22.5028.4%8.2%46.4%12.8%0.0%-4.2%16.7%-172-85.5K-1.0K0.00131.61N/AN/A00291167
2011-11-03$21.40$22.5029.1%8.3%46.4%13.3%0.0%4.7%45.1%3.3K-158.4K-9870.00137.21N/AN/A10291167
2011-11-04$21.63$22.5020.0%13.9%44.6%6.0%0.0%55.2%-23.1%6.1K-179.5K-1.1K0.00135.53N/AN/A00292167
2011-11-07$21.86$22.5025.0%16.3%43.2%10.0%0.0%9.2%-30.6%6.3K-196.4K-98510.00142.53N/AN/A110292167
2011-11-08$21.93$22.5050.4%15.8%43.1%30.4%0.0%0.4%-21.8%6.0K-204.3K-1.2K0.00144.15N/AN/A00293157
2011-11-09$20.57$22.5068.3%15.7%49.2%44.9%0.0%-7.4%-22.3%3.4K-96.3K-1.1K0.00137.35N/AN/A500293157
2011-11-10$20.88$22.5063.7%18.3%49.4%41.2%0.0%2.8%-21.3%6.2K-173.0K-1.4K0.00144.84N/AN/A00338157
2011-11-11$21.50$22.5035.9%10.3%49.2%18.7%0.0%11.3%4.5%8.9K-194.9K-1.2K0.00139.34N/AN/A60338157
2011-11-14$21.51$22.5058.1%16.7%46.2%36.7%0.0%-1.2%-52.2%8.4K-193.4K-1.2K0.00145.67N/AN/A130340157
2011-11-15$21.91$22.5046.3%13.3%45.7%27.1%0.0%-1.1%-5.5%13.0K-238.1K-1.3K0.00146.20N/AN/A20353157
2011-11-16$21.40$22.5044.9%12.9%45.3%26.0%0.0%2.0%-5.6%8.5K-205.9K-1.3K0.00145.73N/AN/A00353157
2011-11-17$21.00$22.5058.9%16.9%45.8%37.3%0.0%28.8%-29.2%7.2K-177.2K-1.4K0.00145.43N/AN/A10353157
2011-11-18$21.22$22.5058.7%16.8%42.9%37.1%0.0%32.1%-17.6%8.5K-197.0K-1.3K3.00147.45N/AN/A13353157
2011-11-21$20.79$22.5075.0%21.5%42.9%50.2%0.0%50.8%-35.1%7.0K-234.5K-1.4K0.00144.85N/AN/A00326121
2011-11-22$20.41$22.50112.6%32.3%42.0%80.5%0.0%56.2%-38.6%7.3K-180.2K-1.3K0.00148.34N/AN/A00326121
2011-11-23$19.87$22.5078.0%22.4%42.4%52.7%35.6%27.0%-43.3%5.2K-85.4K-8730.00138.10N/AN/A02326121
2011-11-25$19.60$22.5046.2%13.2%40.9%27.1%59.5%25.3%15.1%3.5K-68.1K-8540.00141.46N/AN/A10326122
2011-11-28$21.14$22.50127.1%36.4%49.9%92.2%140.6%44.4%-44.7%8.2K-237.5K-1.3K10.00143.39N/AN/A110327122
2011-11-29$20.98$22.5029.9%8.6%49.0%14.0%33.3%9.2%41.7%7.2K-172.3K-1.1K0.00130.57N/AN/A032328132
2011-11-30$22.73$22.5024.5%7.0%53.7%9.6%24.7%-22.6%13.7%8.2K-288.9K-9890.00130.66N/AN/A160328152