HI Options History — November 2014

In November 2014, HI traded between $32.16 and $34.58. ATM implied volatility averaged 21.3%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.9% (HV 20d: 26.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.20.

Notable Days

  • 2014-11-17: Highest Volume — 3,586 contracts
  • 2014-11-28: Largest IV spike — 80.1% change
  • 2014-11-28: Highest IV Rank — 64.0%
  • 2014-11-28: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.66$32.16$34.58$33.35$32.16
Max Pain$33.95$30.00$35.00$30.00$35.00
ATM IV21.3%15.3%27.5%23.2%27.5%
Expected Move6.4%6.0%7.3%6.4%7.3%
HV 20d26.2%22.5%30.4%30.3%24.0%
HV 60d23.3%22.2%25.1%22.8%25.1%
IV Rank39.7%16.3%64.0%47.2%64.0%
IV Percentile62.9%13.9%98.0%84.9%98.0%
Term Structure-1.5%-13.5%5.3%-1.0%-13.5%
VWIV22.1%15.9%25.3%22.3%22.6%
Skew 25d2.1%-8.4%46.2%-0.6%-8.4%
Skew 10d5.0%-8.0%62.9%-1.4%9.4%
Call IV 25d22.9%20.0%26.8%23.2%24.6%
Put IV 25d25.0%16.2%73.0%22.5%16.2%
Bid-Ask Spread %86.6874.7396.2291.7484.89
Gamma HHI0.810.490.980.730.49
Net GEX227.2K731.6M35.6K73
Net DEX-894.3K-3.9M267.4K-393.9K267.4K
Net VEX-3.9K-7.6K-2.7K-3.0K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.003.790.520.00
Total Volume490.36813,5862561
Total OI1,590.7896284,6296281,159

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$33.35$30.0023.2%6.4%30.3%47.2%22.3%-0.6%-1.0%35.6K-393.9K-3.0K0.5291.74N/AN/A16888444184
2014-11-04$33.06$30.0019.1%6.1%28.6%31.1%21.9%-3.2%1.1%42.8K-436.2K-3.0K0.4788.19N/AN/A18788478184
2014-11-05$33.22$30.0019.1%6.5%27.9%31.0%22.5%-0.6%-0.1%50.1K-496.7K-3.3K0.4585.36N/AN/A19688540184
2014-11-06$33.87$30.0017.3%6.3%25.5%24.0%22.1%46.2%1.6%58.9K-593.6K-3.3K0.6880.70N/AN/A183124540184
2014-11-07$33.99$35.0016.9%6.0%25.5%22.6%20.8%3.8%-1.9%65.0K-576.3K-3.6K0.6389.30N/AN/A183116579220
2014-11-10$34.39$35.0021.0%6.1%25.4%38.6%21.2%-1.7%0.1%73.2K-690.4K-3.7K0.5786.37N/AN/A184104579221
2014-11-11$34.58$35.0018.6%6.0%24.0%29.3%21.1%-0.9%-0.3%67.6K-573.7K-2.7K0.5986.34N/AN/A175104463188
2014-11-12$34.50$35.0019.0%6.0%24.0%30.6%21.7%-1.4%0.3%88.1K-781.8K-3.9K1.5881.22N/AN/A66104625228
2014-11-13$34.11$35.0022.3%6.2%24.7%43.5%21.7%-2.6%-1.2%80.3K-679.3K-3.8K1.0082.88N/AN/A8484625228
2014-11-14$34.17$35.0021.3%6.2%24.7%39.8%0.0%-1.5%-1.2%95.9K-688.4K-3.7K0.0093.67N/AN/A40652233
2014-11-17$34.08$35.0026.7%6.6%24.8%60.6%22.8%-4.0%-2.8%72.7K-687.8K-3.9K0.0285.40N/AN/A3,50284659233
2014-11-18$33.87$35.0026.1%6.8%24.8%58.2%23.7%-4.4%-3.7%738.3K-3.9M-7.6K0.2984.83N/AN/A3811093,731233
2014-11-19$32.98$35.0027.3%6.9%26.8%62.9%15.9%5.6%-4.0%399.7K-976.0K-4.2K3.7696.22N/AN/A1897103,785233
2014-11-20$34.29$35.0023.6%6.6%29.0%48.5%23.6%6.6%-2.1%1.6M-2.4M-6.1K3.1074.73N/AN/A2196783,788841
2014-11-21$33.63$35.0022.2%6.5%30.1%43.2%23.9%5.7%-1.8%740.1K-3.1M-5.2K3.7985.39N/AN/A1776703,758797
2014-11-24$33.25$35.0019.1%6.4%30.4%31.3%0.0%-4.6%-1.8%50.1K-249.1K-3.1K0.5088.14N/AN/A105636497
2014-11-25$33.18$35.0019.3%6.5%25.2%31.7%25.3%7.5%-1.9%40.4K-111.8K-3.5K3.7390.46N/AN/A51190646502
2014-11-26$32.94$35.0015.3%6.7%22.5%16.3%0.0%-0.7%5.3%31.3K-1.3K-3.5K0.0091.13N/AN/A011646502
2014-11-28$32.16$35.0027.5%7.3%24.0%64.0%22.6%-8.4%-13.5%73267.4K-2.9K0.0084.89N/AN/A10646513