HI Options History — February 2012

In February 2012, HI traded between $22.96 and $23.90. ATM implied volatility averaged 25.1%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.0% (HV 20d: 21.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 13.80.

Notable Days

  • 2012-02-23: Highest Volume — 150 contracts
  • 2012-02-27: Largest IV spike — 38.9% change
  • 2012-02-13: Highest IV Rank — 13.0%
  • 2012-02-13: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.46$22.96$23.90$23.90$22.97
Max Pain$24.75$22.50$25.00$22.50$25.00
ATM IV25.1%20.3%29.1%24.1%21.7%
Expected Move7.4%5.8%8.3%6.9%6.2%
HV 20d21.2%16.7%23.5%16.7%22.6%
HV 60d34.5%26.2%38.5%37.8%26.2%
IV Rank9.8%5.9%13.0%9.2%7.0%
IV Percentile43.7%10.3%61.9%46.8%19.0%
Term Structure1.9%-3.5%8.1%7.9%3.4%
VWIV27.6%18.3%36.3%36.3%28.9%
Skew 25d7.1%-0.0%20.0%10.7%1.2%
Skew 10d7.7%-5.1%46.9%-2.9%6.0%
Call IV 25d21.6%16.0%27.3%24.8%22.5%
Put IV 25d28.6%23.8%40.2%35.5%23.8%
Bid-Ask Spread %106.7598.51117.98110.08110.44
Gamma HHI0.510.420.710.420.46
Net GEX6.5K-11.8K19.7K-477.9K
Net DEX-515.4K-715.7K-251.3K-568.9K-251.3K
Net VEX-2.8K-3.1K-2.3K-3.0K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.800.00149.003.339.33
Total Volume34.6501501320
Total OI1,032.28141,1341,096979

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$23.90$22.5024.1%6.9%16.7%9.2%36.3%10.7%7.9%-47-568.9K-3.0K3.33110.08N/AN/A310575521
2012-02-02$23.46$22.5027.4%7.9%17.8%11.9%0.0%6.2%6.1%-7.7K-476.8K-3.1K0.00106.30N/AN/A130578511
2012-02-03$23.82$25.0021.5%6.7%18.3%7.1%0.0%3.5%2.3%1.2K-634.2K-3.0K0.00107.45N/AN/A110591511
2012-02-06$23.22$25.0026.9%8.1%20.9%11.5%0.0%6.0%0.7%-11.8K-446.1K-3.0K0.00107.31N/AN/A064602511
2012-02-07$23.55$25.0021.1%8.2%21.2%6.7%0.0%12.2%-0.2%3.9K-617.0K-2.8K0.00103.51N/AN/A00602459
2012-02-08$23.70$25.0023.6%8.1%21.2%8.5%18.3%2.6%0.1%9.0K-648.9K-2.7K2.4098.97N/AN/A512602459
2012-02-09$23.70$25.0027.1%7.8%21.2%11.4%26.1%1.1%-0.1%9.9K-709.6K-2.6K12.00102.65N/AN/A112607460
2012-02-10$23.56$25.0028.3%8.1%21.3%12.3%28.3%9.9%0.5%6.0K-654.5K-2.7K2.27103.78N/AN/A1125608472
2012-02-13$23.62$25.0029.1%8.3%20.8%13.0%0.0%10.0%-0.3%8.7K-673.7K-2.7K1.00100.53N/AN/A1111609492
2012-02-14$23.51$25.0028.5%8.2%20.9%12.5%0.0%1.2%0.8%4.8K-622.3K-2.7K0.00100.17N/AN/A05614503
2012-02-15$23.16$25.0028.4%8.2%21.5%12.4%0.0%-0.0%-1.5%-6.4K-531.4K-2.8K0.0098.51N/AN/A028614503
2012-02-16$23.82$25.0022.2%6.4%23.5%7.4%0.0%11.2%8.1%15.9K-713.7K-2.6K0.04103.74N/AN/A271614492
2012-02-17$23.69$25.0025.5%7.3%20.8%10.1%0.0%7.2%3.6%14.6K-715.7K-2.7K0.02104.06N/AN/A872641493
2012-02-21$23.24$25.0026.5%7.6%21.9%10.9%0.0%5.6%-2.3%19.7K-434.6K-2.5K8.75113.63N/AN/A435537277
2012-02-22$22.96$25.0026.6%7.6%22.3%11.0%0.0%4.6%0.8%15.0K-342.5K-2.5K2.00111.00N/AN/A36541302
2012-02-23$23.21$25.0020.7%5.9%22.6%6.2%0.0%20.0%4.4%14.9K-346.0K-2.3K149.00116.24N/AN/A1149544308
2012-02-24$23.32$25.0020.3%5.8%22.6%5.9%0.0%16.6%7.8%6.2K-289.5K-2.9K0.00117.98N/AN/A061545424
2012-02-27$23.46$25.0028.2%8.1%22.7%12.3%28.9%7.5%-3.5%9.6K-338.8K-2.8K3.00108.81N/AN/A1133545420
2012-02-28$23.31$25.0025.2%7.2%22.4%9.8%0.0%4.1%0.1%8.1K-292.8K-2.9K9.33109.94N/AN/A328551427
2012-02-29$22.97$25.0021.7%6.2%22.6%7.0%0.0%1.2%3.4%7.9K-251.3K-2.9K0.00110.44N/AN/A020554425