HI Options History — August 2012

In August 2012, HI traded between $16.95 and $19.01. ATM implied volatility averaged 26.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.5% (HV 20d: 26.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-08-27: Highest Volume — 200 contracts
  • 2012-08-16: Largest IV drop — 32.9% change
  • 2012-08-01: Highest IV Rank — 18.1%
  • 2012-08-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.26$16.95$19.01$16.95$18.12
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.3%19.4%36.9%36.9%26.7%
Expected Move7.7%5.6%10.6%10.6%7.7%
HV 20d26.9%17.5%30.0%23.3%17.5%
HV 60d26.0%24.5%26.8%24.5%25.5%
IV Rank9.4%3.8%18.1%18.1%9.7%
IV Percentile33.1%2.4%67.9%67.9%40.5%
Term Structure1.8%-5.9%8.3%-4.4%2.1%
VWIV26.0%21.7%29.1%28.7%25.9%
Skew 25d5.9%-4.0%13.2%-4.0%4.8%
Skew 10d6.6%-5.6%10.7%-5.6%9.8%
Call IV 25d22.8%16.8%37.2%37.2%23.5%
Put IV 25d28.7%23.3%36.4%33.2%28.3%
Bid-Ask Spread %102.8199.55107.07101.64107.07
Gamma HHI0.640.480.800.730.49
Net GEX-11.9K-19.0K-3.8K-13.9K-6.6K
Net DEX122.2K-10.6K415.3K415.3K10.6K
Net VEX-2.6K-4.2K-2.0K-2.0K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.004.140.290.05
Total Volume43.5651200459
Total OI1,034.6968531,4278691,427

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$16.95$17.5036.9%10.6%23.3%18.1%0.0%-4.0%-4.4%-13.9K415.3K-2.0K0.00101.64N/AN/A04305564
2012-08-02$17.65$17.5033.1%9.5%28.2%15.0%0.0%4.2%0.6%-16.4K298.0K-2.1K0.29102.58N/AN/A175305568
2012-08-03$18.06$17.5036.0%10.3%29.2%17.4%0.0%3.8%-5.9%-15.8K245.4K-2.2K0.07104.81N/AN/A403318573
2012-08-06$18.06$17.5031.3%8.3%28.6%13.5%28.7%4.9%0.4%-15.7K205.0K-2.3K4.1499.55N/AN/A729348573
2012-08-07$18.25$17.5030.8%8.7%28.6%13.1%0.0%11.9%-0.4%-16.2K166.8K-2.3K0.00100.28N/AN/A010341594
2012-08-08$18.26$17.5026.6%8.1%28.5%9.6%0.0%7.8%-0.7%-16.9K170.1K-2.2K0.00100.57N/AN/A50341590
2012-08-09$18.57$17.5022.2%8.9%28.7%6.0%0.0%2.4%0.8%-12.8K94.1K-2.2K3.00100.28N/AN/A26346590
2012-08-10$18.42$17.5026.2%8.3%28.5%9.3%29.1%12.2%-0.5%-14.9K106.2K-2.1K0.00102.02N/AN/A02348589
2012-08-13$18.19$17.5026.5%7.8%28.7%9.5%0.0%7.6%2.9%-17.0K149.6K-2.1K0.00101.57N/AN/A046348591
2012-08-14$18.03$17.5022.5%7.6%28.4%6.3%26.4%6.4%2.9%-19.0K166.2K-2.0K0.00101.75N/AN/A023348585
2012-08-15$18.26$17.5029.8%7.7%28.5%12.2%26.8%5.4%0.3%-17.1K151.2K-2.0K0.00102.17N/AN/A036348606
2012-08-16$18.79$17.5020.0%5.7%30.0%4.2%0.0%10.8%3.9%-12.6K59.1K-2.1K0.00104.02N/AN/A490348602
2012-08-17$19.01$17.5021.7%6.2%29.7%5.6%0.0%13.2%3.1%-11.0K-10.6K-2.1K0.00104.64N/AN/A170392602
2012-08-20$18.88$17.5019.4%5.6%28.2%3.8%0.0%5.1%1.2%-10.4K76.1K-2.2K3.10103.35N/AN/A1031356497
2012-08-21$18.57$17.5023.1%6.6%28.1%6.8%21.7%6.0%6.1%-12.3K111.3K-2.3K0.23102.59N/AN/A7016366521
2012-08-22$18.51$17.5028.2%8.1%28.2%11.0%0.0%6.8%1.6%-9.7K109.8K-2.7K0.21106.05N/AN/A9921436537
2012-08-23$18.47$17.5021.1%6.1%28.3%5.1%0.0%2.8%8.3%-6.7K64.8K-3.0K0.40103.88N/AN/A4518535548
2012-08-24$18.38$17.5020.5%5.9%25.8%4.6%23.3%4.4%8.3%-7.2K71.8K-3.2K0.25104.68N/AN/A4812580561
2012-08-27$18.25$17.5022.8%6.5%24.9%6.5%25.9%5.8%8.1%-5.9K73.6K-3.4K0.47104.27N/AN/A13664628561
2012-08-28$18.11$17.5026.6%7.6%25.1%9.6%0.0%5.1%-0.6%-5.9K12.8K-4.0K0.00102.36N/AN/A460760595
2012-08-29$18.13$17.5026.0%7.4%23.7%9.1%0.0%4.2%3.2%-3.8K10.1K-4.2K0.00100.89N/AN/A025806595
2012-08-30$18.07$17.5027.7%7.9%19.2%10.5%0.0%5.3%0.4%-5.9K54.4K-4.0K0.00103.57N/AN/A01806620
2012-08-31$18.12$17.5026.7%7.7%17.5%9.7%0.0%4.8%2.1%-6.6K10.6K-4.2K0.05107.07N/AN/A563806621