HI Options History — June 2012

In June 2012, HI traded between $17.54 and $19.09. ATM implied volatility averaged 32.6%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.7% (HV 20d: 25.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2012-06-15: Highest Volume — 48 contracts
  • 2012-06-11: Largest IV spike — 46.2% change
  • 2012-06-04: Highest IV Rank — 25.5%
  • 2012-06-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.23$17.54$19.09$18.39$18.38
Max Pain$22.38$20.00$22.50$20.00$22.50
ATM IV32.6%20.3%44.6%44.0%25.1%
Expected Move8.9%7.2%12.6%12.6%7.2%
HV 20d25.9%19.0%30.2%20.1%29.6%
HV 60d21.0%18.0%23.4%19.0%23.4%
IV Rank15.8%5.9%25.5%25.0%9.7%
IV Percentile56.5%7.5%75.0%74.6%33.3%
Term Structure4.4%-12.1%13.7%-12.1%13.7%
VWIV33.1%26.4%44.4%44.4%29.7%
Skew 25d7.3%-1.5%18.1%18.1%13.4%
Skew 10d10.1%-1.4%28.6%14.9%19.2%
Call IV 25d25.5%14.6%35.3%27.1%14.6%
Put IV 25d32.9%27.9%45.2%45.2%27.9%
Bid-Ask Spread %99.7293.51104.68104.6895.90
Gamma HHI0.460.380.550.430.49
Net GEX-9.2K-14.0K-4.9K-6.5K-13.5K
Net DEX396.3K318.7K457.9K344.4K415.6K
Net VEX-1.4K-1.5K-1.3K-1.4K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0010.002.000.00
Total Volume9.429048614
Total OI655.714608702608702

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$18.39$20.0044.0%12.6%20.1%25.0%44.4%18.1%-12.1%-6.5K344.4K-1.4K2.00104.68N/AN/A24264344
2012-06-04$18.62$22.5044.6%9.8%20.1%25.5%0.0%-1.5%4.2%-6.7K338.1K-1.4K0.0097.21N/AN/A03266348
2012-06-05$18.64$22.5040.1%9.2%20.2%21.9%0.0%3.3%4.5%-7.0K341.5K-1.4K0.0093.96N/AN/A00266349
2012-06-06$19.00$22.5025.4%7.5%20.8%10.0%34.1%7.9%6.5%-7.5K327.8K-1.4K0.0094.63N/AN/A01266349
2012-06-07$19.03$22.5020.3%7.8%19.0%5.9%26.4%5.0%5.7%-7.6K318.7K-1.4K0.5094.86N/AN/A42266349
2012-06-08$19.09$22.5025.7%7.8%19.0%10.2%0.0%6.7%4.2%-7.6K322.4K-1.4K0.0094.33N/AN/A010268351
2012-06-11$18.30$22.5037.6%8.9%23.5%19.8%0.0%-1.5%5.7%-7.3K378.9K-1.3K0.0097.12N/AN/A020268361
2012-06-12$18.48$22.5041.3%9.9%23.8%22.8%0.0%2.9%-0.1%-7.9K387.1K-1.3K0.0093.51N/AN/A04267380
2012-06-13$17.78$22.5040.2%9.1%27.0%22.0%0.0%5.5%4.0%-7.6K410.3K-1.3K0.07100.34N/AN/A141267384
2012-06-14$17.54$22.5033.7%9.7%27.2%16.7%0.0%5.8%1.7%-4.9K404.8K-1.3K3.50103.31N/AN/A27281385
2012-06-15$17.86$22.5033.7%9.6%27.9%16.6%0.0%8.1%0.7%-5.5K395.6K-1.3K0.00103.93N/AN/A048282391
2012-06-18$17.73$22.5030.9%8.8%27.9%14.4%30.9%5.5%3.4%-9.2K425.0K-1.4K0.00102.08N/AN/A017236417
2012-06-19$18.16$22.5032.3%9.3%29.5%15.5%0.0%12.0%4.1%-10.8K413.2K-1.5K10.00102.81N/AN/A110236434
2012-06-20$18.11$22.5030.7%8.8%29.3%14.3%0.0%6.4%6.3%-11.0K421.2K-1.5K0.00100.51N/AN/A00237441
2012-06-21$17.82$22.5031.0%8.9%29.8%14.5%0.0%6.7%6.1%-11.2K443.4K-1.4K0.00101.61N/AN/A02237441
2012-06-22$18.11$22.5029.8%8.5%29.3%13.5%0.0%9.6%7.0%-11.5K423.1K-1.5K0.00102.85N/AN/A00237441
2012-06-25$17.70$22.5030.4%8.7%30.2%14.0%0.0%4.7%5.4%-11.4K446.8K-1.4K0.00101.43N/AN/A03237441
2012-06-26$17.89$22.5030.8%8.8%30.0%14.3%29.7%13.4%4.3%-11.6K454.2K-1.4K0.00102.61N/AN/A027237444
2012-06-27$18.10$22.5030.7%8.8%29.8%14.3%0.0%13.8%6.8%-13.3K451.4K-1.4K0.00103.36N/AN/A00237463
2012-06-28$18.09$22.5026.2%7.5%29.8%10.6%0.0%7.7%10.3%-14.0K457.9K-1.4K0.00102.99N/AN/A02237463
2012-06-29$18.38$22.5025.1%7.2%29.6%9.7%0.0%13.4%13.7%-13.5K415.6K-1.5K0.0095.90N/AN/A140237465