HI Options History — May 2013

In May 2013, HI traded between $23.71 and $25.41. ATM implied volatility averaged 16.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 11.7% (HV 20d: 28.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-05-06: Highest Volume — 89 contracts
  • 2013-05-06: Largest IV drop — 41.7% change
  • 2013-05-03: Highest IV Rank — 37.8%
  • 2013-05-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.59$23.71$25.41$24.35$23.86
Max Pain$22.84$22.50$25.00$25.00$22.50
ATM IV16.9%11.2%23.7%22.3%17.9%
Expected Move5.4%4.0%6.8%6.4%5.1%
HV 20d28.6%23.7%32.4%25.5%23.7%
HV 60d21.3%18.8%22.2%18.8%21.2%
IV Rank17.6%0.5%37.8%33.4%20.4%
IV Percentile19.4%0.4%56.7%45.2%22.6%
Term Structure1.0%-2.5%8.7%-1.1%-1.0%
VWIV21.4%17.4%26.8%23.2%17.4%
Skew 25d-0.2%-6.2%14.6%-4.8%-6.2%
Skew 10d-0.5%-9.7%40.2%-9.7%-4.4%
Call IV 25d18.8%11.2%26.2%24.5%21.4%
Put IV 25d18.7%14.4%26.9%19.7%15.2%
Bid-Ask Spread %24.939.9337.1916.7037.19
Gamma HHI0.880.700.970.760.84
Net GEX23.6K13.2K38.7K14.7K23.3K
Net DEX-254.9K-545.1K-74.1K-210.0K-74.1K
Net VEX-2.4K-2.6K-1.9K-2.1K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.002.480.000.00
Total Volume22.36408900
Total OI687.636564750564750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$24.35$25.0022.3%6.4%25.5%33.4%0.0%-4.8%-1.1%14.7K-210.0K-2.1K0.0016.70N/AN/A00321243
2013-05-02$24.92$25.0023.2%6.6%26.9%36.1%23.2%-3.3%-2.5%15.6K-321.5K-2.1K0.0019.28N/AN/A170321243
2013-05-03$23.71$25.0023.7%6.8%32.1%37.8%0.0%14.6%6.1%13.6K-79.6K-1.9K2.2522.93N/AN/A1227326243
2013-05-06$23.90$22.5013.8%5.5%31.7%8.4%25.1%5.4%-0.1%13.2K-75.6K-2.1K0.1931.52N/AN/A7514330268
2013-05-07$24.28$22.5011.7%5.5%32.4%2.0%0.0%6.3%0.7%21.0K-210.8K-2.4K2.4834.51N/AN/A2357392272
2013-05-08$24.56$22.5015.0%5.3%32.0%11.7%26.8%4.3%0.3%21.4K-281.8K-2.6K0.2517.96N/AN/A328410303
2013-05-09$24.77$22.5014.4%5.3%32.0%10.0%0.0%2.9%0.6%20.0K-288.6K-2.6K0.0021.83N/AN/A100385311
2013-05-10$24.92$22.5014.9%5.3%32.0%11.6%0.0%-2.8%0.4%22.4K-313.1K-2.6K0.0028.84N/AN/A20385311
2013-05-13$24.91$22.5013.8%5.1%30.1%8.2%17.9%-2.7%0.9%21.3K-324.8K-2.5K0.0029.33N/AN/A140384311
2013-05-14$25.21$22.5011.2%5.2%30.3%0.5%18.3%-1.3%0.4%24.3K-435.8K-2.5K0.1028.30N/AN/A485391311
2013-05-15$25.41$22.5015.2%5.3%28.1%12.4%0.0%-0.3%0.2%28.0K-545.1K-2.5K0.0029.40N/AN/A00421308
2013-05-16$25.14$22.5018.4%5.3%28.2%21.9%0.0%-2.5%0.6%30.7K-465.4K-2.5K1.4310.31N/AN/A1420420300
2013-05-17$25.03$22.5017.4%5.0%27.9%18.9%17.4%-2.9%1.7%38.7K-441.3K-2.5K0.509.93N/AN/A21434298
2013-05-20$25.00$22.5018.1%5.2%27.9%21.2%0.0%-2.1%0.8%29.4K-421.0K-2.4K0.0030.16N/AN/A050404272
2013-05-21$24.90$22.5018.3%5.2%26.9%21.5%0.0%-3.5%0.7%28.9K-282.7K-2.4K0.0010.49N/AN/A20404321
2013-05-22$24.48$22.5017.7%5.1%27.6%19.8%0.0%-3.4%0.5%27.5K-174.3K-2.4K0.0035.57N/AN/A140406321
2013-05-23$24.16$22.5017.9%5.1%27.6%20.4%0.0%-3.9%0.8%22.5K-88.6K-2.3K0.0034.06N/AN/A02392321
2013-05-24$24.38$22.5017.1%4.9%27.7%18.0%0.0%6.1%1.8%24.5K-130.5K-2.3K0.0021.47N/AN/A00392323
2013-05-28$24.55$22.5018.5%5.3%27.4%22.3%0.0%-2.7%0.2%27.3K-172.8K-2.3K0.0032.91N/AN/A00392323
2013-05-29$24.32$22.5018.7%5.4%27.1%22.9%0.0%-4.0%1.0%25.1K-122.6K-2.2K0.0016.58N/AN/A430392323
2013-05-30$24.25$22.5013.8%4.0%24.7%8.2%0.0%3.1%8.7%26.3K-147.6K-2.4K0.0029.16N/AN/A00427323
2013-05-31$23.86$22.5017.9%5.1%23.7%20.4%0.0%-6.2%-1.0%23.3K-74.1K-2.3K0.0037.19N/AN/A00427323