HI Options History — March 2014

In March 2014, HI traded between $30.08 and $32.43. ATM implied volatility averaged 17.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.4% (HV 20d: 19.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 32.60.

Notable Days

  • 2014-03-24: Highest Volume — 507 contracts
  • 2014-03-31: Largest IV spike — 25.7% change
  • 2014-03-11: Highest IV Rank — 48.0%
  • 2014-03-05: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.64$30.08$32.43$30.08$32.33
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV17.4%13.9%21.5%19.1%18.8%
Expected Move4.8%4.0%5.9%5.5%5.4%
HV 20d19.7%15.0%33.7%33.7%17.8%
HV 60d24.6%24.1%24.9%24.2%24.1%
IV Rank29.0%13.0%48.0%36.9%35.4%
IV Percentile41.8%10.7%78.6%61.1%57.1%
Term Structure4.2%-5.7%9.8%0.8%-1.6%
VWIV23.9%12.5%56.7%56.7%16.8%
Skew 25d-0.3%-9.0%5.5%3.3%-2.1%
Skew 10d12.8%-5.2%46.1%5.0%-1.8%
Call IV 25d18.1%13.5%25.0%21.0%18.9%
Put IV 25d17.8%13.2%24.3%24.3%16.8%
Bid-Ask Spread %88.3519.34110.9719.34106.89
Gamma HHI0.890.770.980.870.91
Net GEX-27.6K-100.8K21.0K13.3K-100.8K
Net DEX103.4K-258.0K736.2K-60.3K528.8K
Net VEX-3.3K-6.9K-859-1.2K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio32.600.00250.000.001.67
Total Volume60.286050748
Total OI773.1433331,4843401,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$30.08$30.0019.1%5.5%33.7%36.9%56.7%3.3%0.8%13.3K-60.3K-1.2K0.0019.34N/AN/A40165175
2014-03-04$30.91$30.0018.0%5.2%31.4%32.0%0.0%-5.0%3.0%11.8K-184.0K-1.2K0.0097.10N/AN/A00166175
2014-03-05$31.12$30.0020.6%5.9%31.1%43.8%0.0%-3.1%-5.7%16.4K-187.7K-1.0K0.0097.95N/AN/A00164175
2014-03-06$31.35$30.0019.7%5.6%20.8%39.6%0.0%-9.0%-4.2%12.2K-215.7K-1.1K0.0099.56N/AN/A160164175
2014-03-07$31.55$30.0017.3%4.6%19.4%28.7%0.0%0.1%6.0%13.7K-240.3K-1.0K0.00110.23N/AN/A010161175
2014-03-10$31.70$30.0018.2%4.7%19.4%32.7%0.0%5.5%6.4%15.4K-258.0K-8590.0025.45N/AN/A00158175
2014-03-11$31.24$30.0021.5%4.7%19.7%48.0%0.0%4.8%5.5%12.4K-221.4K-1.0K0.0025.55N/AN/A010158175
2014-03-12$31.47$30.0020.3%4.9%19.4%42.5%0.0%-1.1%4.3%21.0K-231.7K-9200.00110.01N/AN/A00158185
2014-03-13$31.16$30.0017.3%4.9%19.5%28.6%0.0%5.4%6.1%11.1K-198.7K-1.1K0.0023.98N/AN/A00153185
2014-03-14$31.43$30.0016.7%4.8%15.0%26.2%0.0%3.7%6.2%11.1K-218.2K-1.0K250.00101.47N/AN/A2500153185
2014-03-17$31.89$30.0014.8%4.2%15.5%17.2%0.0%2.9%6.4%-41.3K204.4K-4.1K0.00110.63N/AN/A00154685
2014-03-18$32.32$30.0017.8%5.1%15.5%30.9%17.8%4.3%4.0%-40.6K145.3K-4.0K0.28109.64N/AN/A8022154685
2014-03-19$31.86$30.0014.5%4.2%16.3%15.8%12.5%-2.1%3.0%-37.8K188.1K-4.3K0.0064.89N/AN/A013189705
2014-03-20$32.33$30.0017.8%5.1%16.6%30.8%0.0%3.8%8.4%-36.1K190.2K-4.3K8.89110.97N/AN/A980189714
2014-03-21$32.43$30.0016.6%4.8%16.6%25.5%0.0%-4.7%6.2%-35.2K208.6K-4.7K0.00110.11N/AN/A20198788
2014-03-24$32.12$30.0015.9%4.6%17.4%22.4%0.0%-1.1%1.5%-41.2K235.2K-4.9K0.00106.41N/AN/A0507199778
2014-03-25$32.03$30.0015.7%4.5%17.4%21.6%0.0%-1.8%6.7%-91.0K545.1K-6.4K0.00106.40N/AN/A001991,284
2014-03-26$31.75$30.0015.1%4.3%17.2%18.8%15.6%-3.8%7.5%-93.9K581.9K-6.6K0.00106.30N/AN/A201991,284
2014-03-27$31.66$30.0013.9%4.0%17.2%13.0%16.8%-3.9%9.8%-99.3K736.2K-6.9K0.00106.32N/AN/A012001,284
2014-03-28$31.80$30.0014.9%4.3%17.2%17.8%0.0%-1.9%8.5%-100.0K623.1K-6.5K0.00106.07N/AN/A002001,284
2014-03-31$32.33$30.0018.8%5.4%17.8%35.4%0.0%-2.1%-1.6%-100.8K528.8K-6.2K1.67106.89N/AN/A352001,284