HI Options History — January 2013

In January 2013, HI traded between $23.07 and $24.88. ATM implied volatility averaged 18.1%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.7% (HV 20d: 18.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2013-01-22: Highest Volume — 221 contracts
  • 2013-01-10: Largest IV spike — 59.5% change
  • 2013-01-14: Highest IV Rank — 41.0%
  • 2013-01-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.90$23.07$24.88$23.39$24.75
Max Pain$22.26$20.00$22.50$20.00$22.50
ATM IV18.1%12.8%24.8%12.8%22.3%
Expected Move5.7%3.7%7.1%3.7%6.4%
HV 20d18.8%12.8%20.9%20.3%12.8%
HV 60d22.7%20.2%24.6%24.5%20.2%
IV Rank21.1%5.1%41.0%5.1%33.6%
IV Percentile15.0%0.4%47.2%0.4%33.7%
Term Structure1.5%-2.8%10.7%8.6%-2.3%
VWIV19.7%11.8%24.0%11.8%22.3%
Skew 25d5.3%-5.0%44.3%-0.6%-4.1%
Skew 10d2.8%-8.8%50.7%-2.1%-7.3%
Call IV 25d16.5%10.2%25.7%13.9%25.7%
Put IV 25d21.9%13.4%61.9%13.4%21.6%
Bid-Ask Spread %56.0213.01107.1984.4115.37
Gamma HHI0.570.420.810.810.70
Net GEX42.3K24.1K78.5K37.8K76.3K
Net DEX-2.1M-2.8M-991.7K-2.5M-1.5M
Net VEX-2.9K-3.2K-2.3K-2.3K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.0010.001.5510.00
Total Volume35.76202215633
Total OI1,555.8579681,8591,6361,293

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$23.39$20.0012.8%3.7%20.3%5.1%11.8%-0.6%8.6%37.8K-2.5M-2.3K1.5584.41N/AN/A22341,261375
2013-01-03$23.30$20.0013.1%3.8%20.3%6.2%0.0%0.1%10.7%39.3K-2.5M-2.7K0.00103.13N/AN/A0851,269395
2013-01-04$23.36$22.5013.0%6.7%20.3%5.9%0.0%10.0%0.5%28.9K-2.4M-3.0K0.0033.86N/AN/A3101,269466
2013-01-07$23.07$22.5014.6%6.8%20.9%10.7%23.8%7.0%0.2%38.6K-2.3M-3.2K0.0774.95N/AN/A1411,300466
2013-01-08$23.33$22.5013.5%6.7%20.9%7.2%0.0%9.9%0.7%30.2K-2.4M-3.0K0.0013.01N/AN/A1601,296466
2013-01-09$23.43$22.5015.0%6.7%20.9%12.0%0.0%11.2%1.1%29.2K-2.5M-3.0K0.0064.28N/AN/A3101,310466
2013-01-10$23.52$22.5024.0%6.9%20.8%38.7%24.0%8.8%-0.8%30.3K-2.6M-2.9K3.0033.23N/AN/A5151,341466
2013-01-11$23.73$22.5022.8%6.5%20.8%35.1%0.0%12.6%1.5%27.3K-2.6M-3.1K0.0014.79N/AN/A801,346481
2013-01-14$23.68$22.5024.8%7.1%20.4%41.0%0.0%14.2%-1.2%27.0K-2.6M-3.0K0.0033.37N/AN/A601,354481
2013-01-15$23.64$22.5018.5%5.3%20.3%22.2%0.0%-3.0%-0.9%29.3K-2.6M-2.7K0.00107.19N/AN/A001,358481
2013-01-16$23.39$22.5023.6%6.8%20.2%37.5%0.0%9.2%-0.2%30.8K-2.5M-3.1K0.0097.19N/AN/A601,358481
2013-01-17$23.81$22.5013.5%3.9%18.1%7.4%20.7%0.9%6.2%26.1K-2.7M-2.5K0.79106.99N/AN/A19151,358481
2013-01-18$24.01$22.5014.1%4.0%18.2%9.0%13.6%5.3%8.5%28.2K-2.8M-2.5K0.3968.60N/AN/A1871,367492
2013-01-22$24.19$22.5021.3%6.1%18.2%30.6%21.4%-5.0%-2.8%24.1K-991.7K-2.6K0.0434.17N/AN/A2129624344
2013-01-23$24.14$22.5019.5%5.6%18.0%25.2%19.7%4.3%-1.1%50.1K-1.1M-2.9K0.0893.56N/AN/A242806348
2013-01-24$24.48$22.5015.7%4.5%17.3%13.8%0.0%44.3%3.5%65.6K-1.3M-2.8K0.00102.44N/AN/A30830350
2013-01-25$24.59$22.5019.0%5.5%16.8%23.8%0.0%-2.5%-0.6%61.5K-1.3M-2.9K4.2940.57N/AN/A730833350
2013-01-28$24.64$22.5019.3%5.5%16.7%24.6%0.0%-3.5%0.5%63.8K-1.3M-2.9K2.5016.05N/AN/A25840370
2013-01-29$24.88$22.5019.7%5.6%16.4%25.7%19.7%-3.4%0.1%66.2K-1.4M-2.8K0.0716.12N/AN/A725842370
2013-01-30$24.66$22.5020.6%5.9%16.9%28.5%0.0%-3.7%-0.6%78.5K-1.4M-3.0K0.1723.16N/AN/A122914375
2013-01-31$24.75$22.5022.3%6.4%12.8%33.6%22.3%-4.1%-2.3%76.3K-1.5M-3.1K10.0015.37N/AN/A330916377