HI Options History — July 2013

In July 2013, HI traded between $23.80 and $25.02. ATM implied volatility averaged 18.9%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.4% (HV 20d: 16.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2013-07-11: Highest Volume — 34 contracts
  • 2013-07-11: Largest IV spike — 54.8% change
  • 2013-07-31: Highest IV Rank — 43.4%
  • 2013-07-31: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.56$23.80$25.02$23.97$24.79
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV18.9%13.0%23.0%15.5%23.0%
Expected Move5.8%3.8%6.6%4.4%6.6%
HV 20d16.5%11.9%19.7%19.7%11.9%
HV 60d21.2%16.0%23.3%23.3%16.0%
IV Rank28.6%7.2%43.4%16.2%43.4%
IV Percentile38.4%4.4%69.0%12.7%69.0%
Term Structure0.3%-2.6%10.1%10.1%-1.7%
VWIV21.6%20.4%26.0%26.0%21.5%
Skew 25d1.0%-5.3%30.0%12.4%-4.1%
Skew 10d0.8%-9.9%45.1%-1.0%-6.8%
Call IV 25d21.3%12.0%25.8%12.0%25.8%
Put IV 25d22.3%14.3%54.4%24.5%21.7%
Bid-Ask Spread %26.556.4396.0114.9114.57
Gamma HHI0.800.630.980.740.76
Net GEX46.4K11.4K296.8K20.3K16.9K
Net DEX-246.8K-544.6K-80.5K-129.2K-224.5K
Net VEX-1.9K-2.1K-1.7K-2.1K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.370.000.00
Total Volume8.7270341210
Total OI681.773444843763478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$23.97$22.5015.5%4.4%19.7%16.2%0.0%12.4%10.1%20.3K-129.2K-2.1K0.0014.91N/AN/A120398365
2013-07-02$23.85$22.5013.3%3.8%19.7%8.2%0.0%1.1%7.8%14.5K-109.3K-1.9K0.006.43N/AN/A00410365
2013-07-03$23.80$22.5013.2%3.8%19.0%7.9%0.0%0.0%8.5%12.5K-91.0K-1.8K0.007.05N/AN/A09410365
2013-07-05$23.81$22.5014.9%6.2%18.9%14.0%0.0%4.4%-2.6%11.4K-80.5K-1.8K0.0017.09N/AN/A00410370
2013-07-08$24.09$22.5013.0%6.1%18.9%7.2%26.0%5.0%-2.0%20.5K-131.8K-1.8K0.0017.07N/AN/A140410370
2013-07-09$24.47$22.5014.7%6.0%19.7%13.5%0.0%3.9%-0.7%37.6K-260.4K-2.0K0.0020.36N/AN/A140414370
2013-07-10$24.73$22.5013.7%5.9%19.6%9.8%0.0%4.6%-1.2%54.4K-346.4K-2.0K0.0016.29N/AN/A017428370
2013-07-11$24.53$22.5021.3%6.1%19.5%37.2%21.3%-5.1%-1.1%44.1K-283.7K-2.0K0.1030.75N/AN/A313428370
2013-07-12$24.43$22.5021.8%6.2%19.3%39.0%21.7%4.0%-1.8%44.3K-249.0K-1.9K0.0019.82N/AN/A70457373
2013-07-15$24.69$22.5020.4%5.8%19.1%34.0%20.4%4.8%-0.5%76.8K-342.0K-1.9K0.0016.25N/AN/A30464373
2013-07-16$24.58$22.5020.6%5.9%17.5%34.6%0.0%-4.7%-0.4%59.9K-323.8K-1.9K0.0032.44N/AN/A00467373
2013-07-17$24.74$22.5020.8%6.0%16.4%35.5%0.0%-3.2%-0.8%84.4K-353.7K-1.9K0.0030.20N/AN/A00467373
2013-07-18$25.00$22.5020.8%6.0%16.6%35.6%20.8%-3.2%-0.7%116.0K-487.5K-1.9K0.0036.13N/AN/A90467373
2013-07-19$25.02$22.5020.8%6.0%15.7%35.6%20.8%-3.1%-0.4%296.8K-544.6K-1.8K0.3796.01N/AN/A197470373
2013-07-22$24.98$22.5021.6%6.2%15.8%38.3%0.0%-4.0%-1.0%13.5K-218.6K-1.7K0.0015.16N/AN/A80252192
2013-07-23$24.92$22.5020.6%5.9%12.7%34.6%20.6%-5.3%-0.8%14.4K-217.4K-1.7K0.0089.20N/AN/A60258192
2013-07-24$24.72$22.5021.1%6.0%13.0%36.4%0.0%-3.1%-1.0%14.9K-188.8K-1.8K0.0032.54N/AN/A120263192
2013-07-25$24.94$22.5021.5%6.2%12.8%38.1%0.0%30.0%-0.2%16.9K-229.0K-1.8K0.0017.80N/AN/A50275192
2013-07-26$24.70$22.5019.9%5.7%12.7%32.2%0.0%-3.8%-0.2%17.1K-209.0K-1.8K0.0018.24N/AN/A00280192
2013-07-29$24.66$22.5021.5%6.2%12.5%38.2%21.5%-5.3%-1.7%17.0K-192.0K-1.8K0.0019.69N/AN/A06280192
2013-07-30$24.81$22.5021.6%6.2%12.2%38.6%0.0%-3.9%-1.8%17.3K-218.2K-1.8K0.0016.17N/AN/A00280198
2013-07-31$24.79$22.5023.0%6.6%11.9%43.4%0.0%-4.1%-1.7%16.9K-224.5K-1.8K0.0014.57N/AN/A010280198