HI Options History — January 2012

In January 2012, HI traded between $22.31 and $23.60. ATM implied volatility averaged 28.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.5% (HV 20d: 26.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2012-01-24: Highest Volume — 740 contracts
  • 2012-01-12: Largest IV spike — 56.6% change
  • 2012-01-24: Highest IV Rank — 20.3%
  • 2012-01-10: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.86$22.31$23.60$22.59$23.45
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV28.6%20.6%37.8%20.6%32.6%
Expected Move9.3%5.9%15.2%5.9%9.3%
HV 20d26.2%16.0%36.6%36.6%16.0%
HV 60d41.9%38.3%45.3%45.3%38.3%
IV Rank12.9%6.4%20.3%6.4%16.1%
IV Percentile54.6%14.3%73.0%14.3%68.3%
Term Structure2.7%-29.9%54.8%54.8%-2.7%
VWIV32.3%28.7%37.9%28.7%32.9%
Skew 25d5.8%-28.9%43.3%7.5%8.2%
Skew 10d-1.0%-44.0%33.1%11.9%-0.9%
Call IV 25d30.0%17.6%57.3%26.7%24.9%
Put IV 25d35.9%23.9%66.9%34.2%33.2%
Bid-Ask Spread %132.69102.94159.65159.65106.56
Gamma HHI0.650.410.850.640.42
Net GEX20.9K-29.5K55.0K26.3K-6.5K
Net DEX-431.8K-782.5K-254.6K-392.0K-425.0K
Net VEX-2.4K-3.4K-1.7K-2.2K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.007.130.006.17
Total Volume75.750740820
Total OI871.95901,1977421,116

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$22.59$22.5020.6%5.9%36.6%6.4%0.0%7.5%54.8%26.3K-392.0K-2.2K0.00159.65N/AN/A80473269
2012-01-04$22.35$22.5020.6%5.9%36.4%6.5%0.0%8.6%16.6%25.9K-349.7K-2.2K0.00159.35N/AN/A00481269
2012-01-05$22.43$22.5021.5%6.2%36.4%7.1%0.0%5.2%4.3%28.8K-351.9K-2.2K0.00151.22N/AN/A00481269
2012-01-06$22.39$22.5023.4%14.8%36.4%8.7%0.0%43.3%-2.9%27.5K-352.0K-2.1K0.00155.58N/AN/A00481269
2012-01-09$22.31$22.5026.3%6.5%31.7%11.0%0.0%1.7%21.9%28.6K-366.5K-2.0K0.00150.90N/AN/A00481269
2012-01-10$22.45$22.5023.6%15.2%29.8%8.9%0.0%32.8%-29.9%29.8K-387.5K-1.7K0.00155.55N/AN/A20481269
2012-01-11$22.39$22.5021.4%11.7%29.5%7.1%28.7%31.4%-5.5%34.3K-368.4K-1.7K0.00143.80N/AN/A120482269
2012-01-12$22.59$22.5033.6%9.6%28.2%16.9%33.6%-11.6%8.4%35.8K-402.0K-1.9K0.12134.35N/AN/A9411492269
2012-01-13$22.36$22.5032.8%9.4%27.2%16.3%0.0%-23.1%-3.2%46.6K-444.2K-2.2K0.00131.39N/AN/A290576280
2012-01-17$22.45$22.5030.5%8.8%26.5%14.4%0.0%1.0%1.0%53.2K-497.0K-2.1K0.00136.58N/AN/A160586280
2012-01-18$22.71$22.5030.7%8.8%26.6%14.6%0.0%-3.7%-2.5%55.0K-583.9K-2.1K0.00137.45N/AN/A00597280
2012-01-19$22.71$22.5029.8%8.5%26.1%13.8%0.0%-28.9%-4.8%45.3K-612.8K-2.0K0.00131.11N/AN/A10597280
2012-01-20$23.46$22.5031.6%9.1%20.8%15.3%31.7%-4.4%-2.2%37.3K-782.5K-1.9K0.12136.66N/AN/A253598280
2012-01-23$23.39$22.5033.2%9.5%20.8%16.6%33.1%0.3%-1.7%11.7K-438.2K-1.9K0.54131.82N/AN/A7842366224
2012-01-24$23.40$22.5037.8%10.8%20.8%20.3%37.9%20.2%1.1%12.7K-491.5K-2.3K7.13102.94N/AN/A91649440266
2012-01-25$23.55$22.5030.7%8.8%20.8%14.5%31.0%6.6%1.7%-29.5K-254.6K-3.3K1.54110.43N/AN/A112173461710
2012-01-26$23.60$22.5031.9%9.2%19.9%15.6%32.5%8.1%-1.9%-18.1K-361.5K-3.4K3.82105.31N/AN/A1142554643
2012-01-27$23.49$22.5029.7%8.5%16.5%13.8%30.4%3.1%0.4%-14.2K-397.8K-3.4K3.08107.10N/AN/A1340561605
2012-01-30$23.21$22.5030.4%8.7%16.3%14.3%31.1%10.0%0.7%-12.5K-377.6K-3.3K6.17106.04N/AN/A637569565
2012-01-31$23.45$22.5032.6%9.3%16.0%16.1%32.9%8.2%-2.7%-6.5K-425.0K-3.3K0.00106.56N/AN/A020575541