HI Options History — August 2013

In August 2013, HI traded between $24.00 and $25.04. ATM implied volatility averaged 18.3%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.7% (HV 20d: 12.6%). 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 9 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2013-08-05: Highest Volume — 144 contracts
  • 2013-08-22: Largest IV spike — 66.7% change
  • 2013-08-05: Highest IV Rank — 52.9%
  • 2013-08-02: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.62$24.00$25.04$24.86$24.76
Max Pain$24.77$22.50$25.00$22.50$25.00
ATM IV18.3%11.6%24.7%22.6%17.1%
Expected Move5.6%3.3%6.6%6.5%4.9%
HV 20d12.6%9.9%18.4%11.8%18.4%
HV 60d15.7%15.2%16.6%15.7%16.6%
IV Rank33.9%2.6%52.9%42.0%29.9%
IV Percentile37.5%0.8%78.6%66.7%25.0%
Term Structure0.1%-2.1%8.5%-1.4%2.4%
VWIV19.4%18.3%20.5%20.5%18.3%
Skew 25d-1.8%-7.3%5.3%-3.5%-7.3%
Skew 10d-3.0%-17.4%11.3%-5.7%-17.4%
Call IV 25d20.9%12.2%26.5%26.0%24.4%
Put IV 25d19.1%13.5%25.4%22.5%17.1%
Bid-Ask Spread %44.3314.32101.2420.1021.91
Gamma HHI0.770.640.920.740.75
Net GEX26.8K11.9K65.6K17.7K17.8K
Net DEX-209.2K-333.0K-76.1K-230.8K-204.3K
Net VEX-1.8K-1.9K-1.5K-1.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.002.000.000.00
Total Volume13.72701442025
Total OI536.227488580488520

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$24.86$22.5022.6%6.5%11.8%42.0%0.0%-3.5%-1.4%17.7K-230.8K-1.8K0.0020.10N/AN/A200280208
2013-08-02$24.72$22.5023.0%6.6%12.2%43.5%0.0%-4.2%-1.9%18.5K-222.8K-1.9K0.0014.32N/AN/A01300208
2013-08-05$24.60$25.0024.7%5.9%11.8%52.9%20.5%3.0%-0.4%18.6K-199.0K-1.8K0.0089.43N/AN/A1440300209
2013-08-06$24.44$25.0013.8%5.4%10.7%11.0%0.0%5.3%1.3%32.7K-199.1K-1.9K0.0073.72N/AN/A300362209
2013-08-07$24.42$25.0013.4%6.0%10.0%9.6%0.0%3.0%-0.6%31.5K-181.8K-1.9K0.0022.78N/AN/A20360209
2013-08-08$24.60$25.0013.5%5.5%9.9%12.1%0.0%3.9%0.1%38.9K-228.7K-1.9K0.0017.64N/AN/A130360209
2013-08-09$24.90$25.0017.9%5.8%10.7%34.3%0.0%3.6%-1.0%44.3K-312.0K-1.9K0.0021.62N/AN/A00365209
2013-08-12$24.81$25.0016.4%5.5%10.2%26.9%0.0%4.4%0.6%48.6K-290.1K-1.9K0.0016.43N/AN/A60365209
2013-08-13$24.92$25.0019.2%5.7%10.1%40.7%0.0%-3.3%-0.2%45.4K-333.0K-1.9K0.0032.40N/AN/A00371209
2013-08-14$24.92$25.0015.1%5.5%9.9%20.2%0.0%-2.6%1.0%65.6K-331.5K-1.9K0.0029.09N/AN/A00371209
2013-08-15$24.62$25.0019.4%5.6%10.0%41.9%0.0%-5.7%0.0%42.6K-230.1K-1.8K0.0040.05N/AN/A140371209
2013-08-16$24.47$25.0019.0%5.5%10.2%39.7%0.0%1.7%0.2%29.8K-191.3K-1.7K0.0023.90N/AN/A07371209
2013-08-19$24.08$25.0020.8%6.0%11.5%48.5%0.0%-6.6%-2.1%12.2K-95.4K-1.7K0.00100.93N/AN/A50288210
2013-08-20$24.21$25.0015.9%4.6%11.8%24.1%18.3%-5.5%0.4%12.7K-96.9K-1.6K0.0099.11N/AN/A70293210
2013-08-21$24.00$25.0011.6%3.3%11.8%2.6%0.0%1.3%8.5%11.9K-76.1K-1.6K2.0048.37N/AN/A24300210
2013-08-22$24.62$25.0019.3%5.5%14.9%40.9%0.0%-5.8%0.7%15.6K-186.1K-1.8K0.00101.24N/AN/A00300214
2013-08-23$24.70$25.0020.4%5.8%14.5%46.4%0.0%-4.4%-1.7%16.2K-191.4K-1.7K0.0020.34N/AN/A00300214
2013-08-26$24.85$25.0020.0%5.7%14.7%44.6%0.0%-6.1%-0.4%17.7K-229.3K-1.7K0.0083.46N/AN/A00300214
2013-08-27$24.32$25.0021.0%6.0%16.4%49.5%0.0%-4.3%-0.7%15.0K-143.8K-1.6K0.0041.29N/AN/A60300214
2013-08-28$24.67$25.0019.5%5.6%17.3%42.0%0.0%-4.7%-0.1%16.9K-176.2K-1.6K0.0021.11N/AN/A00300214
2013-08-29$25.04$25.0019.6%5.6%18.1%42.7%0.0%-2.5%-1.7%20.4K-253.7K-1.5K0.4536.07N/AN/A115300214
2013-08-30$24.76$25.0017.1%4.9%18.4%29.9%0.0%-7.3%2.4%17.8K-204.3K-1.6K0.0021.91N/AN/A250301219