HI Options History — November 2012

In November 2012, HI traded between $18.95 and $21.16. ATM implied volatility averaged 24.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.5% (HV 20d: 25.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2012-11-07: Highest Volume — 723 contracts
  • 2012-11-14: Largest IV spike — 67.2% change
  • 2012-11-30: Highest IV Rank — 15.6%
  • 2012-11-26: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.99$18.95$21.16$20.85$21.16
Max Pain$16.07$15.00$17.50$17.50$17.50
ATM IV24.4%18.6%31.1%19.4%20.3%
Expected Move7.3%5.6%8.6%5.6%5.8%
HV 20d25.9%21.4%31.5%25.3%24.6%
HV 60d22.3%21.2%23.3%21.2%23.3%
IV Rank9.0%3.4%15.6%4.1%15.6%
IV Percentile37.0%2.4%77.4%4.4%8.3%
Term Structure-0.2%-3.9%10.9%10.9%6.8%
VWIV26.8%16.2%39.9%16.9%16.2%
Skew 25d4.1%-10.3%11.9%-0.8%6.9%
Skew 10d6.6%-16.9%16.8%4.5%7.2%
Call IV 25d23.3%16.5%35.7%22.6%17.3%
Put IV 25d27.4%21.3%34.3%21.8%24.1%
Bid-Ask Spread %80.3920.14108.11108.1196.05
Gamma HHI0.680.490.930.920.75
Net GEX80.4K53.1K96.2K53.1K87.1K
Net DEX-1.9M-3.1M-1.1M-1.4M-3.1M
Net VEX-4.8K-5.5K-4.0K-4.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.420.000.00
Total Volume86.38107233133
Total OI1,983.4291,2812,4281,2812,409

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$20.85$17.5019.4%5.6%25.3%4.1%16.9%-0.8%10.9%53.1K-1.4M-4.0K0.00108.11N/AN/A3101,077204
2012-11-02$20.35$17.5020.0%5.7%27.5%4.5%0.0%-3.0%1.0%61.7K-1.3M-4.2K0.3341.94N/AN/A311,108204
2012-11-05$20.43$15.0028.4%7.8%27.3%12.1%0.0%7.0%-1.8%60.9K-1.3M-4.1K0.0063.10N/AN/A701,111205
2012-11-06$20.45$15.0027.1%7.4%27.3%10.9%0.0%6.3%-1.2%64.3K-1.3M-4.1K0.0094.23N/AN/A19201,112205
2012-11-07$19.91$15.0025.4%8.2%29.3%9.4%39.9%11.9%-2.8%66.0K-1.1M-4.7K0.0320.14N/AN/A704191,266205
2012-11-08$19.73$15.0023.7%8.3%29.1%7.9%0.0%-0.5%-2.3%79.3K-1.9M-5.5K0.0094.24N/AN/A001,767224
2012-11-09$19.67$15.0021.1%7.4%29.2%5.6%0.0%10.7%1.3%80.5K-1.9M-5.3K2.5037.96N/AN/A8201,767224
2012-11-12$19.74$15.0022.9%7.8%29.2%7.2%0.0%11.3%-1.2%78.4K-1.9M-5.3K0.0083.27N/AN/A1301,775244
2012-11-13$19.48$15.0018.6%8.2%29.7%3.4%29.0%7.4%-2.4%78.5K-1.7M-5.2K0.0041.21N/AN/A9801,764244
2012-11-14$18.95$15.0031.1%7.8%31.5%14.5%32.9%3.5%0.1%83.6K-1.5M-5.1K0.1988.76N/AN/A3261,850244
2012-11-15$19.25$15.0026.3%7.5%27.9%10.2%0.0%6.2%-0.0%86.2K-1.6M-5.1K0.0091.99N/AN/A0111,862230
2012-11-16$19.18$15.0024.9%7.2%23.6%9.0%0.0%6.1%-1.5%87.6K-1.6M-5.1K0.0088.92N/AN/A801,862241
2012-11-19$19.60$15.0024.9%7.1%21.4%8.9%24.7%7.2%-1.1%88.1K-1.9M-4.8K1.7593.88N/AN/A471,826227
2012-11-20$19.59$15.0024.4%7.0%21.4%8.5%34.5%7.3%-0.4%92.9K-1.9M-5.0K0.0088.95N/AN/A02081,827222
2012-11-21$19.69$17.5025.6%7.3%21.5%9.5%25.5%6.0%-2.0%83.1K-1.9M-5.1K3.4290.15N/AN/A12411,827429
2012-11-23$20.01$17.5027.3%7.8%22.5%11.1%27.3%-0.3%-3.9%87.9K-2.1M-4.8K0.0097.40N/AN/A3201,827465
2012-11-26$19.86$17.5030.0%8.6%22.3%13.5%29.7%-10.3%-3.5%82.3K-2.0M-5.2K0.7591.30N/AN/A88661,859465
2012-11-27$20.33$17.5022.3%6.4%24.0%6.7%22.3%-1.9%2.1%96.2K-2.4M-4.9K0.7789.07N/AN/A60461,942486
2012-11-28$20.59$17.5027.7%8.0%24.4%11.5%27.8%3.9%-3.2%95.9K-2.6M-4.8K0.0498.80N/AN/A2511,943477
2012-11-29$20.97$17.5021.2%6.1%25.2%5.7%21.2%1.5%1.1%94.1K-3.0M-4.5K0.1588.63N/AN/A3351,948478
2012-11-30$21.16$17.5020.3%5.8%24.6%15.6%16.2%6.9%6.8%87.1K-3.1M-4.1K0.0096.05N/AN/A3301,934475