HI Options History — July 2012

In July 2012, HI traded between $16.82 and $18.45. ATM implied volatility averaged 30.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.6% (HV 20d: 23.7%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 5.16.

Notable Days

  • 2012-07-16: Highest Volume — 132 contracts
  • 2012-07-12: Largest IV spike — 24.3% change
  • 2012-07-31: Highest IV Rank — 19.4%
  • 2012-07-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$16.82$18.45$18.19$17.29
Max Pain$18.29$17.50$22.50$22.50$17.50
ATM IV30.3%23.5%38.5%24.0%38.5%
Expected Move9.0%6.7%11.0%6.9%11.0%
HV 20d23.7%19.3%29.9%29.4%23.4%
HV 60d22.9%22.0%24.6%23.4%24.3%
IV Rank12.7%7.1%19.4%7.5%19.4%
IV Percentile50.8%25.8%69.8%28.2%69.8%
Term Structure1.0%-6.5%13.4%13.4%-6.5%
VWIV30.9%26.4%38.5%26.4%38.5%
Skew 25d4.5%-9.2%10.7%10.7%-2.8%
Skew 10d6.6%-13.1%31.3%22.3%-3.9%
Call IV 25d26.8%15.7%36.2%16.5%36.2%
Put IV 25d31.3%24.3%34.8%27.2%33.3%
Bid-Ask Spread %100.5494.60107.9997.1595.64
Gamma HHI0.730.530.920.560.74
Net GEX-18.7K-44.3K-11.4K-13.3K-14.6K
Net DEX451.5K337.3K570.5K437.2K407.7K
Net VEX-1.7K-2.1K-1.3K-1.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.160.0028.332.000.05
Total Volume27.6670132421
Total OI804.571707991716848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$18.19$22.5024.0%6.9%29.4%7.5%0.0%10.7%13.4%-13.3K437.2K-1.4K0.0097.15N/AN/A04251465
2012-07-03$18.45$22.5023.5%6.7%29.9%7.1%26.4%10.1%13.3%-13.8K426.9K-1.4K0.0097.82N/AN/A05251469
2012-07-05$18.37$22.5028.1%8.1%29.0%10.9%0.0%6.3%9.4%-13.6K410.2K-1.5K2.00107.99N/AN/A12251474
2012-07-06$18.13$0.0030.8%9.4%29.3%13.1%0.0%2.6%-0.4%-14.5K440.9K-1.4K0.50100.80N/AN/A42252474
2012-07-09$17.85$0.0027.4%9.3%29.6%10.3%32.5%8.2%-0.4%-15.6K485.1K-1.3K2.35101.83N/AN/A2661256475
2012-07-10$17.69$17.5025.9%9.3%25.9%9.1%0.0%8.0%-1.7%-18.9K470.0K-1.4K0.00102.54N/AN/A00271512
2012-07-11$17.81$17.5025.6%9.1%25.7%8.8%0.0%7.9%2.3%-19.0K473.7K-1.5K0.00102.52N/AN/A03271512
2012-07-12$17.62$17.5031.9%9.1%22.1%14.0%0.0%5.4%1.9%-20.2K492.5K-1.4K0.00102.47N/AN/A013271515
2012-07-13$17.90$17.5032.5%9.3%22.2%14.4%0.0%8.4%0.7%-19.1K464.8K-1.5K0.00103.37N/AN/A04271528
2012-07-16$17.73$17.5032.4%9.3%21.6%14.4%0.0%6.4%-1.5%-22.5K485.8K-1.4K0.52102.38N/AN/A8745271531
2012-07-17$17.50$17.5027.8%8.0%21.9%10.6%27.8%4.0%1.8%-24.6K513.7K-1.8K21.67100.87N/AN/A365356562
2012-07-18$17.71$17.5029.6%8.5%20.5%12.1%0.0%4.8%1.6%-32.3K515.9K-2.0K0.00102.20N/AN/A01359620
2012-07-19$17.71$17.5030.9%8.9%20.5%13.2%30.5%4.3%1.3%-28.2K511.4K-2.0K0.00102.52N/AN/A013359619
2012-07-20$17.52$17.5027.7%8.0%20.0%10.6%0.0%2.9%0.0%-44.3K570.5K-2.0K1.70101.03N/AN/A1017359632
2012-07-23$17.11$17.5030.1%8.6%20.5%12.5%30.0%4.2%0.7%-13.3K403.1K-1.9K7.33100.97N/AN/A322228479
2012-07-24$16.82$17.5027.2%7.8%19.9%10.1%27.2%4.8%2.7%-14.6K444.9K-1.8K0.00101.80N/AN/A250231500
2012-07-25$16.96$17.5033.0%9.5%19.7%14.9%30.1%-9.2%-3.1%-12.1K429.7K-1.9K0.7997.17N/AN/A1411256500
2012-07-26$17.08$17.5034.8%10.0%19.3%16.4%34.8%-2.4%-3.2%-11.4K399.7K-2.0K28.3399.77N/AN/A385270511
2012-07-27$17.70$17.5036.6%10.5%23.7%17.8%0.0%9.3%-5.6%-13.6K337.3K-2.1K0.0094.60N/AN/A20273544
2012-07-30$17.37$17.5037.7%10.8%23.6%18.7%0.0%-0.1%-5.3%-14.0K359.8K-2.1K1.9095.84N/AN/A1019275544
2012-07-31$17.29$17.5038.5%11.0%23.4%19.4%38.5%-2.8%-6.5%-14.6K407.7K-2.1K0.0595.64N/AN/A201285563