HI Options History — March 2012

In March 2012, HI traded between $22.76 and $23.84. ATM implied volatility averaged 25.2%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.9% (HV 20d: 19.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.69.

Notable Days

  • 2012-03-02: Highest Volume — 23 contracts
  • 2012-03-15: Largest IV drop — 39.1% change
  • 2012-03-14: Highest IV Rank — 22.6%
  • 2012-03-07: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.07$22.76$23.84$23.03$22.95
Max Pain$22.73$22.50$25.00$25.00$22.50
ATM IV25.2%20.0%41.0%23.1%20.7%
Expected Move6.5%4.0%7.3%6.6%5.9%
HV 20d19.3%17.2%23.0%21.4%17.2%
HV 60d22.1%18.5%26.2%26.0%18.5%
IV Rank9.8%5.6%22.6%8.1%6.1%
IV Percentile36.8%5.6%73.8%31.3%6.7%
Term Structure2.8%-2.6%8.8%0.9%5.8%
VWIV22.5%17.7%24.5%23.9%24.1%
Skew 25d7.3%-1.1%35.5%3.1%8.2%
Skew 10d9.6%-1.0%85.0%8.6%17.3%
Call IV 25d17.8%14.0%25.7%21.9%18.2%
Put IV 25d25.1%20.4%51.3%25.0%26.3%
Bid-Ask Spread %103.9184.55112.55110.73112.55
Gamma HHI0.440.400.520.450.43
Net GEX4.4K-1.8K13.5K7.2K-1.8K
Net DEX-126.4K-367.6K-7.6K-235.1K-49.8K
Net VEX-2.5K-2.9K-2.1K-2.9K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0020.000.501.00
Total Volume6.0450231512
Total OI966.9559211,029985944

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$23.03$25.0023.1%6.6%21.4%8.1%0.0%3.1%0.9%7.2K-235.1K-2.9K0.50110.73N/AN/A105554431
2012-03-02$22.76$25.0023.8%6.8%20.8%8.7%0.0%-1.1%-2.6%5.4K-181.0K-2.9K0.00105.87N/AN/A023564431
2012-03-05$23.03$22.5028.3%6.8%20.5%12.3%23.9%4.3%2.8%5.6K-193.6K-2.9K20.00102.35N/AN/A120564444
2012-03-06$22.78$22.5026.2%7.0%18.9%10.6%24.5%4.5%1.8%1.5K-141.2K-2.9K0.00104.77N/AN/A016565464
2012-03-07$22.83$22.5023.1%7.3%18.0%8.1%0.0%4.6%1.8%2.1K-141.6K-2.9K0.00104.63N/AN/A00565464
2012-03-08$23.15$22.5024.4%6.9%18.7%9.2%0.0%6.9%2.7%3.0K-202.4K-2.8K0.00103.81N/AN/A04565464
2012-03-09$23.19$22.5026.2%6.7%18.7%10.6%23.7%5.4%3.7%6.2K-255.6K-2.9K0.00103.88N/AN/A40565464
2012-03-12$23.37$22.5032.2%7.1%18.9%15.5%0.0%8.8%2.1%7.9K-294.3K-2.7K0.00103.09N/AN/A00565464
2012-03-13$23.84$22.5036.0%4.0%20.2%18.6%0.0%11.3%8.8%13.5K-367.6K-2.8K0.00102.97N/AN/A00545464
2012-03-14$23.12$22.5041.0%6.3%23.0%22.6%21.8%3.5%6.0%4.0K-59.6K-2.6K0.00105.39N/AN/A10480464
2012-03-15$23.27$22.5024.9%7.2%22.5%9.6%0.0%9.6%2.3%9.0K-106.2K-2.7K0.00104.17N/AN/A00480464
2012-03-16$22.98$22.5022.4%6.4%20.3%7.5%22.3%6.5%3.5%5.1K-75.4K-2.5K0.00105.80N/AN/A10480464
2012-03-19$23.02$22.5020.0%5.7%20.3%5.6%0.0%2.4%3.1%6.4K-100.9K-2.4K0.00111.07N/AN/A00480441
2012-03-20$22.99$22.5022.6%6.5%19.2%7.7%0.0%4.8%2.8%5.0K-68.5K-2.4K0.00103.05N/AN/A00480441
2012-03-21$23.02$22.5022.2%6.4%18.7%7.4%22.2%4.6%3.5%4.6K-69.2K-2.4K0.00103.95N/AN/A10480441
2012-03-22$22.99$22.5022.3%6.4%18.3%7.4%22.3%4.4%2.1%2.0K-44.5K-2.3K0.00103.47N/AN/A012481441
2012-03-23$22.93$22.5021.5%6.2%18.2%6.8%17.7%4.1%2.9%-169-7.6K-2.2K0.00103.45N/AN/A20481451
2012-03-26$23.10$22.5023.8%6.8%18.3%8.7%0.0%35.5%1.7%4.1K-53.1K-2.2K1.0096.83N/AN/A33480451
2012-03-27$22.97$22.5024.1%6.9%18.2%8.9%0.0%9.2%1.4%2.8K-36.8K-2.3K0.0084.55N/AN/A00477454
2012-03-28$23.02$22.5022.5%6.4%17.5%7.6%22.7%8.0%2.3%1.2K-45.5K-2.2K0.00100.23N/AN/A014477454
2012-03-29$23.13$22.5023.1%6.6%17.6%8.1%24.1%11.9%2.3%2.1K-51.1K-2.2K0.00109.29N/AN/A01477468
2012-03-30$22.95$22.5020.7%5.9%17.2%6.1%0.0%8.2%5.8%-1.8K-49.8K-2.1K0.00112.55N/AN/A012477467