HI Options History — December 2012

In December 2012, HI traded between $20.54 and $22.76. ATM implied volatility averaged 20.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.6% (HV 20d: 22.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-12-12: Highest Volume — 1,555 contracts
  • 2012-12-14: Largest IV spike — 71.1% change
  • 2012-12-04: Highest IV Rank — 38.5%
  • 2012-12-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.83$20.54$22.76$20.54$22.61
Max Pain$19.50$17.50$20.00$17.50$20.00
ATM IV20.0%11.0%28.1%25.5%20.6%
Expected Move5.6%3.2%8.1%7.3%5.9%
HV 20d22.6%20.1%26.0%25.4%21.5%
HV 60d23.8%23.6%24.2%24.2%23.7%
IV Rank21.7%0.0%38.5%30.8%28.5%
IV Percentile15.0%0.0%62.3%46.8%15.9%
Term Structure4.7%-3.1%27.4%-1.3%4.1%
VWIV20.9%12.9%26.6%25.5%20.6%
Skew 25d6.0%0.8%14.7%5.3%1.8%
Skew 10d7.2%1.6%14.4%9.1%2.7%
Call IV 25d17.1%10.2%22.2%22.0%19.0%
Put IV 25d23.0%18.9%28.7%27.3%20.8%
Bid-Ask Spread %58.2511.8797.4088.0911.87
Gamma HHI0.600.450.790.790.60
Net GEX58.8K36.5K98.3K98.3K40.6K
Net DEX-2.8M-3.5M-2.0M-2.6M-2.1M
Net VEX-3.6K-4.6K-2.9K-4.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.242.240.00
Total Volume118.401,55514668
Total OI2,221.151,5602,5672,4161,581

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$20.54$17.5025.5%7.3%25.4%30.8%25.5%5.3%-1.3%98.3K-2.6M-4.6K2.2488.09N/AN/A451011,941475
2012-12-04$20.89$17.5028.1%8.1%26.0%38.5%0.0%6.5%-3.1%83.7K-2.8M-4.4K0.0097.40N/AN/A7001,900525
2012-12-05$20.96$17.5026.7%7.7%26.0%34.3%26.6%8.2%-1.4%79.5K-2.8M-4.2K0.0068.51N/AN/A601,866525
2012-12-06$21.29$17.5017.6%5.1%24.3%8.1%0.0%13.8%-1.2%75.1K-3.0M-3.9K1.0073.71N/AN/A11111,869525
2012-12-07$21.25$20.0023.3%7.0%23.9%24.5%0.0%13.0%1.2%79.2K-3.0M-4.0K0.0040.70N/AN/A1001,880536
2012-12-10$21.41$20.0019.7%5.5%23.8%14.1%19.5%4.2%5.3%77.1K-3.1M-3.8K2.0844.11N/AN/A531101,885536
2012-12-11$21.43$20.0018.5%3.7%23.8%10.4%0.0%12.2%10.1%75.9K-3.1M-4.4K0.0043.71N/AN/A1301,917646
2012-12-12$21.41$20.0017.8%4.6%23.0%8.4%20.7%4.4%2.5%77.5K-3.1M-4.3K0.0030.48N/AN/A1,55501,921646
2012-12-13$21.26$20.0011.0%3.2%20.2%0.0%12.9%14.7%12.3%59.5K-2.7M-4.1K0.5229.21N/AN/A25131,740646
2012-12-14$21.58$20.0018.9%5.4%20.1%20.5%26.5%5.5%5.3%58.8K-2.9M-3.7K0.1044.92N/AN/A4951,746659
2012-12-17$21.99$20.0018.4%5.3%20.3%19.2%0.0%6.9%3.6%51.0K-3.2M-3.2K0.0067.75N/AN/A001,795659
2012-12-18$22.70$20.0018.9%5.4%21.6%22.8%19.4%3.5%7.4%36.5K-3.5M-3.0K0.0042.13N/AN/A14201,795659
2012-12-19$22.70$20.0019.2%5.5%21.6%23.7%19.6%4.3%5.0%37.8K-3.4M-3.1K0.3839.64N/AN/A831,763659
2012-12-20$22.76$20.0019.7%5.6%21.6%25.8%19.7%4.9%4.2%37.3K-3.5M-3.0K0.0051.84N/AN/A1301,763657
2012-12-21$22.60$20.0018.6%5.3%21.9%22.7%0.0%2.7%5.1%39.3K-3.4M-3.2K0.0040.57N/AN/A2201,772657
2012-12-24$22.32$20.0018.5%5.3%22.4%22.3%0.0%2.0%27.4%42.5K-2.0M-3.0K0.0085.85N/AN/A031,200363
2012-12-26$22.16$20.0019.4%5.6%21.8%24.8%19.4%1.4%3.7%43.8K-2.0M-3.1K0.6991.54N/AN/A16111,200360
2012-12-27$22.40$20.0019.9%5.7%21.7%26.5%0.0%3.0%2.4%42.0K-2.1M-3.0K0.0092.37N/AN/A041,205371
2012-12-28$22.31$20.0020.6%5.9%21.3%28.5%0.0%0.8%1.9%40.2K-2.1M-2.9K0.0080.65N/AN/A101,205375
2012-12-31$22.61$20.0020.6%5.9%21.5%28.5%20.6%1.8%4.1%40.6K-2.1M-2.9K0.0011.87N/AN/A6801,206375