HI Options History — December 2013

In December 2013, HI traded between $27.92 and $29.42. ATM implied volatility averaged 16.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 7.2% (HV 20d: 23.5%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2013-12-20: Highest Volume — 50 contracts
  • 2013-12-12: Largest IV drop — 33.2% change
  • 2013-12-11: Highest IV Rank — 55.4%
  • 2013-12-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.59$27.92$29.42$28.33$29.42
Max Pain$25.95$25.00$30.00$30.00$25.00
ATM IV16.3%11.1%22.4%22.3%13.9%
Expected Move4.6%3.2%6.4%6.4%4.0%
HV 20d23.5%17.6%25.6%24.1%17.6%
HV 60d20.2%19.6%21.1%20.6%20.9%
IV Rank25.7%0.5%55.4%54.7%14.0%
IV Percentile33.6%0.4%86.1%83.3%16.3%
Term Structure3.8%-5.0%11.4%-5.0%4.1%
VWIV17.1%13.5%21.9%15.1%16.0%
Skew 25d11.6%-6.7%65.4%-6.7%45.2%
Skew 10d13.0%-7.7%73.1%-7.7%54.5%
Call IV 25d18.5%10.6%29.9%26.2%17.2%
Put IV 25d30.2%17.0%84.3%19.5%62.4%
Bid-Ask Spread %88.3110.59113.9314.2616.74
Gamma HHI0.970.900.990.940.99
Net GEX78.2K45.9K112.9K70.1K112.9K
Net DEX-523.1K-652.9K-296.2K-619.5K-637.1K
Net VEX-2.0K-2.7K-1.3K-2.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0010.000.0010.00
Total Volume8.81050111
Total OI870.619631992971649

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$28.33$30.0022.3%6.4%24.1%54.7%0.0%-6.7%-5.0%70.1K-619.5K-2.7K0.0014.26N/AN/A10809162
2013-12-03$28.04$30.0015.7%4.5%24.3%22.6%0.0%0.4%6.1%64.0K-622.7K-2.7K0.0010.59N/AN/A00810162
2013-12-04$28.25$30.0018.2%5.2%24.4%35.0%0.0%-1.4%4.7%65.5K-566.8K-2.4K0.0084.71N/AN/A00810162
2013-12-05$28.33$30.0016.4%4.7%24.5%26.3%15.1%0.6%4.8%69.8K-579.9K-2.3K0.0011.48N/AN/A240810162
2013-12-06$28.52$25.0019.3%4.7%23.8%40.5%0.0%-1.3%1.5%78.0K-597.4K-2.4K0.00113.93N/AN/A00830162
2013-12-09$28.76$25.0019.6%5.2%23.6%41.9%0.0%-2.1%-0.3%85.5K-652.9K-2.3K0.00102.92N/AN/A00830162
2013-12-10$28.57$25.0016.9%5.1%23.7%28.6%0.0%-2.3%-0.7%78.1K-616.9K-2.3K0.00104.27N/AN/A00830162
2013-12-11$28.14$25.0022.4%5.5%23.9%55.4%0.0%-3.5%-1.0%67.8K-557.8K-2.1K0.00106.94N/AN/A00830162
2013-12-12$28.22$25.0015.0%4.3%23.5%19.2%0.0%2.3%6.4%60.5K-453.4K-1.7K0.00108.87N/AN/A00830162
2013-12-13$27.92$25.0015.6%4.5%23.6%22.5%0.0%-0.7%5.1%54.4K-296.2K-1.7K0.00111.83N/AN/A00776162
2013-12-16$28.53$25.0014.8%4.2%25.1%18.2%0.0%6.6%6.4%75.8K-394.5K-1.7K0.00110.69N/AN/A00776152
2013-12-17$28.47$25.0015.7%4.5%24.2%22.6%0.0%4.6%5.4%77.0K-400.9K-1.7K0.00110.48N/AN/A00776152
2013-12-18$28.54$25.0014.8%4.2%23.9%18.4%0.0%6.0%7.3%82.4K-423.8K-1.8K0.00112.27N/AN/A20776152
2013-12-19$28.83$25.0018.0%5.2%23.3%34.1%20.0%33.5%-1.0%92.8K-523.3K-2.0K0.00105.35N/AN/A50776152
2013-12-20$28.53$25.0016.2%4.6%23.5%25.1%17.9%27.6%2.9%65.0K-399.8K-1.7K1.50103.83N/AN/A2030781152
2013-12-23$28.15$25.0014.2%4.1%23.7%15.7%21.9%5.4%6.2%45.9K-367.4K-1.3K0.00105.82N/AN/A10058447
2013-12-24$28.95$25.0015.2%4.4%25.6%20.3%0.0%37.7%1.0%81.3K-538.9K-1.7K0.0098.53N/AN/A0058447
2013-12-26$29.14$25.0011.1%3.2%24.9%0.5%13.5%12.7%11.4%105.9K-516.7K-1.6K3.40107.96N/AN/A103458447
2013-12-27$29.29$25.0014.6%4.2%24.5%17.4%15.7%65.4%3.3%101.5K-577.5K-1.8K0.00104.23N/AN/A37059469
2013-12-30$29.36$25.0012.5%3.6%17.8%7.0%0.0%14.5%10.7%108.2K-641.2K-1.8K0.00108.82N/AN/A1057969
2013-12-31$29.42$25.0013.9%4.0%17.6%14.0%16.0%45.2%4.1%112.9K-637.1K-1.8K10.0016.74N/AN/A11058069