HI Options History — May 2012

In May 2012, HI traded between $18.54 and $20.74. ATM implied volatility averaged 29.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 11.8% (HV 20d: 17.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 6.07.

Notable Days

  • 2012-05-08: Highest Volume — 56 contracts
  • 2012-05-30: Largest IV spike — 90.7% change
  • 2012-05-30: Highest IV Rank — 21.4%
  • 2012-05-30: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$18.54$20.74$20.73$18.77
Max Pain$20.75$20.00$22.50$22.50$20.00
ATM IV29.4%19.5%39.5%26.3%24.8%
Expected Move8.3%5.6%11.3%7.5%7.1%
HV 20d17.6%14.8%20.2%19.7%19.4%
HV 60d18.6%17.9%19.5%19.1%18.7%
IV Rank13.2%5.2%21.4%10.7%9.5%
IV Percentile52.8%4.0%73.4%52.8%39.3%
Term Structure0.3%-14.4%13.5%2.9%8.0%
VWIV29.9%28.7%31.2%28.9%31.0%
Skew 25d6.8%-6.3%21.1%5.4%5.3%
Skew 10d8.2%-3.7%44.6%13.0%5.1%
Call IV 25d23.8%17.8%33.3%21.6%21.8%
Put IV 25d30.6%23.8%41.8%26.9%27.1%
Bid-Ask Spread %100.5289.61110.99103.24110.99
Gamma HHI0.620.410.850.670.42
Net GEX-17.6K-39.8K-4.2K-15.0K-6.1K
Net DEX397.3K234.0K689.1K236.8K319.2K
Net VEX-1.5K-1.8K-1.3K-1.6K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.070.0024.000.2619.00
Total Volume22.4550564820
Total OI680.318536819596598

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$20.73$22.5026.3%7.5%19.7%10.7%0.0%5.4%2.9%-15.0K236.8K-1.6K0.26103.24N/AN/A3810216380
2012-05-02$20.74$22.5028.9%8.3%19.8%12.8%28.9%6.6%-0.5%-13.7K234.0K-1.8K5.00102.33N/AN/A210254390
2012-05-03$20.57$22.5029.2%8.4%19.3%13.1%0.0%15.4%-0.3%-16.1K266.9K-1.8K0.00101.56N/AN/A00256400
2012-05-04$20.13$0.0031.4%8.4%20.2%14.8%0.0%4.3%-2.7%-18.3K331.2K-1.7K0.0099.34N/AN/A046256400
2012-05-07$20.12$0.0035.1%8.6%18.9%17.8%29.9%-2.4%-0.3%-24.1K378.5K-1.7K0.1289.61N/AN/A253256446
2012-05-08$20.42$22.5027.8%8.6%17.9%11.9%0.0%10.0%-3.5%-25.5K296.3K-1.7K8.3398.69N/AN/A650281448
2012-05-09$19.89$22.5032.0%8.5%18.8%15.3%0.0%1.9%-2.6%-27.6K396.1K-1.7K24.0098.58N/AN/A248287448
2012-05-10$19.96$22.5028.7%8.2%18.3%12.7%28.7%2.7%-0.8%-38.4K459.2K-1.7K2.0098.17N/AN/A1020289495
2012-05-11$19.69$20.0028.6%8.2%18.2%12.6%0.0%-1.5%-2.1%-39.0K532.7K-1.7K0.0098.17N/AN/A00299515
2012-05-14$19.50$20.0029.6%8.5%17.1%13.3%0.0%-1.2%-2.3%-39.8K574.2K-1.6K0.0092.33N/AN/A029299515
2012-05-15$19.39$20.0029.6%8.5%15.4%13.3%29.6%-0.6%-0.9%-35.4K619.1K-1.5K0.5099.66N/AN/A21299506
2012-05-16$19.24$20.0031.4%9.0%15.2%14.8%31.2%-6.3%-3.5%-26.9K638.5K-1.5K0.0093.04N/AN/A012301505
2012-05-17$18.90$20.0030.7%8.8%15.7%14.2%31.0%7.4%1.1%-19.3K650.6K-1.4K0.0097.20N/AN/A200301508
2012-05-18$18.82$20.0034.4%9.9%15.7%17.2%0.0%4.3%-4.1%-4.6K689.1K-1.4K2.0095.24N/AN/A24311508
2012-05-21$18.76$20.0022.7%6.5%15.2%7.8%0.0%10.4%3.0%-5.0K297.8K-1.3K0.2099.02N/AN/A255241295
2012-05-22$18.58$20.0036.9%10.6%15.3%19.3%0.0%18.6%-3.1%-4.2K296.1K-1.3K23.00105.32N/AN/A123266295
2012-05-23$18.54$20.0039.2%11.2%14.8%21.1%0.0%19.8%-6.8%-4.6K312.6K-1.4K0.5796.60N/AN/A2816267308
2012-05-24$18.94$20.0019.5%5.6%17.4%5.2%0.0%8.6%13.5%-5.5K300.6K-1.4K0.00103.85N/AN/A02254319
2012-05-25$18.84$20.0020.1%5.8%17.4%5.7%0.0%21.1%13.2%-5.8K305.8K-1.4K0.00107.47N/AN/A010254321
2012-05-29$19.11$20.0020.7%5.9%18.7%6.2%0.0%8.8%13.4%-6.5K295.7K-1.4K0.05110.52N/AN/A201254331
2012-05-30$18.75$20.0039.5%11.3%19.3%21.4%0.0%10.4%-14.4%-5.9K310.3K-1.4K0.00110.52N/AN/A03263332
2012-05-31$18.77$20.0024.8%7.1%19.4%9.5%0.0%5.3%8.0%-6.1K319.2K-1.4K19.00110.99N/AN/A119263335