HI Options History — April 2012

In April 2012, HI traded between $20.93 and $23.04. ATM implied volatility averaged 22.8%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.0% (HV 20d: 18.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.93.

Notable Days

  • 2012-04-25: Highest Volume — 115 contracts
  • 2012-04-23: Largest IV spike — 77.1% change
  • 2012-04-26: Highest IV Rank — 14.7%
  • 2012-04-26: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.63$20.93$23.04$23.04$20.94
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV22.8%14.9%31.3%21.8%30.4%
Expected Move6.6%4.3%9.0%6.2%8.7%
HV 20d18.8%16.5%20.2%16.8%19.9%
HV 60d19.8%18.5%20.8%18.5%19.3%
IV Rank7.9%1.5%14.7%7.0%14.0%
IV Percentile24.3%0.4%65.9%15.1%62.7%
Term Structure6.7%-7.7%49.2%0.6%-1.8%
VWIV25.7%16.2%33.8%16.2%24.7%
Skew 25d1.4%-5.7%9.1%0.5%9.1%
Skew 10d3.7%-9.2%17.9%1.0%9.9%
Call IV 25d23.1%17.5%32.2%20.8%21.6%
Put IV 25d24.4%19.1%34.0%21.3%30.7%
Bid-Ask Spread %110.6492.50119.63117.2099.48
Gamma HHI0.470.350.690.480.59
Net GEX-13.9K-29.7K-6.7K-12.0K-11.6K
Net DEX270.7K-34.5K520.9K-34.5K219.7K
Net VEX-1.6K-2.0K-1.3K-2.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0015.0015.000.00
Total Volume21.7011508
Total OI819.8393995956588

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$23.04$22.5021.8%6.2%16.8%7.0%0.0%0.5%0.6%-12.0K-34.5K-2.0K0.00117.20N/AN/A00477479
2012-04-03$22.89$22.5022.8%6.5%16.5%7.8%0.0%7.8%1.7%-7.1K18.8K-1.9K0.00116.80N/AN/A00477479
2012-04-04$22.50$22.5022.6%6.5%17.6%7.7%0.0%2.8%0.7%-15.4K111.0K-1.9K0.00107.20N/AN/A00477479
2012-04-05$22.32$22.5016.2%4.6%16.8%2.5%16.2%1.0%6.1%-29.7K222.7K-1.8K15.00105.88N/AN/A115477479
2012-04-09$21.77$22.5018.9%7.1%18.7%4.7%0.0%-2.0%1.0%-21.7K381.1K-1.6K0.00109.82N/AN/A035476488
2012-04-10$21.19$22.5029.5%7.5%20.0%13.3%0.0%-1.4%7.2%-20.3K520.9K-1.6K0.00119.63N/AN/A03476519
2012-04-11$21.50$22.5019.4%6.8%19.2%5.2%0.0%-3.4%-7.7%-14.0K310.8K-1.6K0.00116.94N/AN/A00476470
2012-04-12$21.71$22.5020.3%5.8%17.3%5.8%25.3%5.4%3.4%-14.3K354.4K-1.5K0.00116.36N/AN/A017476470
2012-04-13$21.39$22.5020.4%5.8%17.4%5.9%28.3%7.8%2.5%-14.0K406.6K-1.5K0.00112.67N/AN/A40476487
2012-04-16$21.68$22.5020.3%5.8%18.2%5.8%0.0%-0.1%11.9%-15.7K408.2K-1.4K0.00117.92N/AN/A00478487
2012-04-17$22.00$22.5022.5%6.5%19.2%7.6%0.0%-5.7%1.8%-21.8K339.3K-1.5K0.00110.02N/AN/A011478487
2012-04-18$21.71$22.5020.6%5.9%19.6%6.1%18.5%-1.6%12.0%-16.8K385.6K-1.5K0.00118.09N/AN/A20478498
2012-04-19$21.51$22.5020.0%5.7%19.6%5.6%0.0%0.4%49.2%-12.2K400.1K-1.6K0.00117.85N/AN/A030478498
2012-04-20$21.35$22.5014.9%4.3%19.7%1.5%0.0%1.8%27.1%-10.0K441.8K-1.5K0.00117.37N/AN/A013478508
2012-04-23$20.99$22.5026.3%7.5%20.2%10.7%27.0%-1.0%3.3%-7.5K179.4K-1.3K0.26107.59N/AN/A4612138255
2012-04-24$20.93$22.5021.5%6.2%19.7%6.9%24.7%1.4%2.4%-9.1K192.4K-1.3K0.00116.73N/AN/A02139267
2012-04-25$21.03$22.5025.1%7.2%20.0%9.7%32.8%1.8%12.9%-8.5K181.6K-1.3K0.7798.78N/AN/A6550139267
2012-04-26$21.12$22.5031.3%9.0%20.1%14.7%33.8%1.3%-0.4%-6.7K170.5K-1.6K4.4792.50N/AN/A1985204317
2012-04-27$21.09$22.5030.9%8.9%19.9%14.4%0.0%1.3%-0.7%-10.3K203.0K-1.7K0.0094.01N/AN/A160204372
2012-04-30$20.94$22.5030.4%8.7%19.9%14.0%24.7%9.1%-1.8%-11.6K219.7K-1.7K0.0099.48N/AN/A08216372