HI Options History — December 2011

In December 2011, HI traded between $20.84 and $22.78. ATM implied volatility averaged 29.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 21.2% (HV 20d: 50.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2011-12-21: Highest Volume — 101 contracts
  • 2011-12-16: Largest IV spike — 86.3% change
  • 2011-12-14: Highest IV Rank — 29.6%
  • 2011-12-14: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.94$20.84$22.78$22.21$22.32
Max Pain$21.67$20.00$22.50$22.50$22.50
ATM IV29.0%16.2%49.4%26.0%25.3%
Expected Move8.7%4.6%16.4%7.4%7.2%
HV 20d50.3%36.6%54.3%54.3%36.6%
HV 60d47.1%45.6%48.3%47.2%45.7%
IV Rank13.2%2.9%29.6%10.8%10.2%
IV Percentile52.7%4.4%79.0%62.3%57.1%
Term Structure5.6%-21.3%51.6%7.7%2.9%
VWIV24.6%13.7%32.9%21.7%25.3%
Skew 25d1.4%-26.8%15.7%-2.6%1.4%
Skew 10d3.6%-35.4%26.6%0.8%2.2%
Call IV 25d28.7%19.0%54.5%32.7%24.0%
Put IV 25d30.1%20.7%47.9%30.1%25.4%
Bid-Ask Spread %133.95117.82157.55125.62141.96
Gamma HHI0.430.320.630.340.55
Net GEX13.0K4.7K26.8K8.6K23.7K
Net DEX-250.2K-426.0K-108.7K-266.5K-369.6K
Net VEX-2.1K-2.3K-1.3K-1.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.004.194.190.00
Total Volume210101831
Total OI685.571493743493742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$22.21$22.5026.0%7.4%54.3%10.8%21.7%-2.6%7.7%8.6K-266.5K-1.3K4.19125.62N/AN/A1667341152
2011-12-02$21.97$22.5030.9%8.9%53.1%14.8%31.0%-5.5%2.6%7.6K-185.5K-1.6K1.17122.33N/AN/A3642350219
2011-12-05$22.31$20.0031.2%10.7%53.2%15.0%0.0%-3.2%-0.5%8.2K-226.3K-2.0K0.00143.87N/AN/A310386261
2011-12-06$22.24$20.0030.9%7.5%53.1%14.7%21.2%-3.7%4.7%11.7K-246.6K-2.0K0.48143.29N/AN/A3316404261
2011-12-07$22.35$20.0022.9%7.9%53.2%8.3%28.0%4.9%1.8%12.1K-267.7K-2.3K0.00128.93N/AN/A20430273
2011-12-08$21.30$20.0022.4%9.9%50.8%7.9%32.6%2.4%2.4%5.4K-123.6K-2.1K0.28117.82N/AN/A185428273
2011-12-09$21.99$20.0018.9%9.2%51.8%5.1%32.9%-6.7%0.4%6.9K-183.1K-2.0K0.00128.68N/AN/A190420278
2011-12-12$21.77$20.0033.3%12.2%50.9%16.6%0.0%4.8%0.2%7.4K-179.5K-2.1K0.00139.42N/AN/A100434278
2011-12-13$21.28$20.0047.6%6.8%51.6%28.2%24.4%7.3%8.2%9.1K-227.0K-2.1K0.00125.45N/AN/A01444278
2011-12-14$20.84$22.5049.4%16.4%51.6%29.6%19.9%8.6%-21.3%4.7K-137.2K-2.3K0.00144.05N/AN/A01421279
2011-12-15$21.27$22.5024.3%7.0%51.6%9.5%0.0%7.2%5.3%5.6K-125.4K-2.1K0.00119.08N/AN/A00421279
2011-12-16$21.19$22.5045.4%13.0%51.1%26.4%0.0%14.2%-13.1%7.2K-108.7K-2.1K0.00138.03N/AN/A01421279
2011-12-19$20.98$22.5044.5%12.7%51.1%25.7%25.4%7.4%-4.1%7.0K-186.1K-1.9K0.00127.12N/AN/A10405246
2011-12-20$22.18$22.5023.4%6.7%54.2%8.7%0.0%15.7%22.6%16.5K-251.6K-1.9K0.00130.21N/AN/A00406246
2011-12-21$22.35$22.5025.7%7.4%53.6%10.5%25.7%0.2%7.5%15.6K-287.1K-2.0K0.44119.02N/AN/A7031406246
2011-12-22$22.30$22.5025.6%7.3%52.4%10.5%25.6%0.0%12.0%18.8K-326.4K-2.2K0.03132.43N/AN/A301458269
2011-12-23$22.35$22.5025.2%7.2%51.9%10.1%0.0%0.7%-0.0%21.0K-377.7K-2.3K0.00133.36N/AN/A30468269
2011-12-27$22.78$22.5016.2%4.6%45.4%2.9%13.7%-26.8%51.6%25.1K-426.0K-2.3K0.00156.09N/AN/A50471269
2011-12-28$22.13$22.5022.0%6.3%46.8%7.5%0.0%1.0%15.5%23.5K-359.4K-2.1K0.00138.66N/AN/A00474269
2011-12-29$22.54$22.5019.0%5.5%37.4%5.2%17.3%3.0%11.0%26.8K-392.9K-2.2K0.00157.55N/AN/A10474269
2011-12-30$22.32$22.5025.3%7.2%36.6%10.2%25.3%1.4%2.9%23.7K-369.6K-2.2K0.00141.96N/AN/A10473269