HI Options History — October 2012

In October 2012, HI traded between $18.22 and $20.94. ATM implied volatility averaged 23.6%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.0% (HV 20d: 21.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.10.

Notable Days

  • 2012-10-17: Highest Volume — 107 contracts
  • 2012-10-09: Largest IV spike — 32.7% change
  • 2012-10-09: Highest IV Rank — 13.2%
  • 2012-10-10: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.51$18.22$20.94$18.22$20.47
Max Pain$17.98$17.50$20.00$20.00$17.50
ATM IV23.6%19.6%29.7%19.6%25.8%
Expected Move6.7%5.6%8.1%5.6%7.4%
HV 20d21.6%16.2%27.3%19.0%25.2%
HV 60d22.4%20.9%24.4%22.1%20.9%
IV Rank7.8%4.2%13.2%4.2%9.8%
IV Percentile30.4%4.8%61.9%4.8%45.2%
Term Structure3.2%-2.9%11.6%9.7%0.4%
VWIV20.5%16.7%24.4%23.0%24.4%
Skew 25d7.6%-3.2%37.5%0.3%32.7%
Skew 10d19.6%-3.8%90.9%22.6%90.9%
Call IV 25d20.5%14.3%27.1%22.5%27.1%
Put IV 25d28.1%18.0%60.9%22.9%59.8%
Bid-Ask Spread %104.6799.27109.8399.27102.09
Gamma HHI0.740.490.970.490.93
Net GEX33.9K6.2K59.4K6.2K57.7K
Net DEX-647.1K-1.4M-68.9K-68.9K-1.3M
Net VEX-3.9K-4.4K-3.6K-3.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.430.150.09
Total Volume22.5710107220
Total OI1,424.3331,1271,6031,4901,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$18.22$20.0019.6%5.6%19.0%4.2%23.0%0.3%9.7%6.2K-68.9K-3.7K0.0099.27N/AN/A022942548
2012-10-02$18.53$20.0021.7%6.2%19.9%6.1%16.7%4.8%9.7%12.6K-143.1K-3.9K0.15102.63N/AN/A203942556
2012-10-03$18.57$20.0022.9%6.6%19.8%7.2%0.0%3.2%8.1%14.7K-160.2K-3.8K0.00104.08N/AN/A00942559
2012-10-04$18.82$20.0021.5%6.2%19.4%5.9%16.8%-2.5%-2.9%25.1K-218.6K-3.7K0.00104.16N/AN/A02942559
2012-10-05$18.90$17.5019.9%5.8%17.0%4.5%0.0%-3.2%0.7%22.3K-273.5K-4.0K0.43104.40N/AN/A73942557
2012-10-08$18.81$17.5022.4%5.6%17.0%6.7%0.0%9.6%11.6%25.7K-307.1K-3.8K0.00105.66N/AN/A00949557
2012-10-09$18.58$17.5029.7%7.7%17.3%13.2%0.0%11.3%-2.4%18.3K-185.7K-3.8K0.00106.21N/AN/A200949557
2012-10-10$18.61$17.5029.6%8.1%17.3%13.1%0.0%9.8%-2.9%17.5K-232.7K-3.8K0.00106.90N/AN/A00969557
2012-10-11$18.69$17.5022.3%6.4%16.7%6.6%0.0%10.8%7.6%19.1K-276.7K-4.0K0.00107.36N/AN/A02969557
2012-10-12$18.66$17.5023.3%6.7%16.6%7.5%0.0%0.5%2.4%24.4K-277.9K-3.7K0.00109.83N/AN/A00969557
2012-10-15$18.64$17.5025.6%7.3%16.2%9.6%0.0%8.8%4.1%27.1K-249.8K-3.6K0.00107.05N/AN/A00969557
2012-10-16$19.46$17.5022.8%6.5%22.5%7.1%0.0%-0.6%2.4%35.2K-520.4K-3.8K0.00107.07N/AN/A200969536
2012-10-17$20.24$17.5023.6%6.8%25.8%7.8%21.4%5.3%4.0%35.0K-908.1K-4.1K0.02102.87N/AN/A1052989536
2012-10-18$20.94$17.5024.1%6.9%26.8%8.3%24.4%4.7%-0.3%50.3K-1.4M-4.0K0.14106.02N/AN/A2841,076527
2012-10-19$20.78$17.5024.4%7.0%27.1%8.5%0.0%14.8%-0.2%49.7K-1.3M-4.0K0.00104.77N/AN/A4601,059527
2012-10-22$20.68$17.5022.4%6.4%27.3%6.7%0.0%3.0%2.9%50.9K-1.2M-4.1K0.27105.92N/AN/A308951176
2012-10-23$20.73$17.5023.5%6.7%26.1%7.7%0.0%3.9%4.2%49.7K-1.2M-4.2K0.00102.10N/AN/A300971172
2012-10-24$20.50$17.5022.9%6.6%25.6%7.2%0.0%2.2%2.4%59.4K-1.2M-4.1K0.00104.78N/AN/A1001,001172
2012-10-25$20.45$17.5024.5%7.0%25.7%8.6%0.0%3.0%3.0%56.8K-1.2M-4.1K0.00103.33N/AN/A025997172
2012-10-26$20.39$17.5023.5%6.7%25.3%7.7%0.0%37.5%2.8%53.5K-1.1M-4.4K0.09101.59N/AN/A807997197
2012-10-31$20.47$17.5025.8%7.4%25.2%9.8%0.0%32.7%0.4%57.7K-1.3M-4.1K0.00102.09N/AN/A001,077204