HI Options History — December 2014

In December 2014, HI traded between $31.35 and $34.67. ATM implied volatility averaged 24.0%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.0% (HV 20d: 27.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2014-12-02: Highest Volume — 353 contracts
  • 2014-12-08: Largest IV spike — 86.2% change
  • 2014-12-10: Highest IV Rank — 100.0%
  • 2014-12-15: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.99$31.35$34.67$31.54$34.50
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.0%18.5%38.2%28.6%20.4%
Expected Move7.0%5.7%7.8%7.4%7.2%
HV 20d27.0%23.7%32.2%24.3%23.7%
HV 60d26.4%25.4%27.4%25.4%26.5%
IV Rank48.1%28.3%100.0%68.1%29.3%
IV Percentile72.7%38.1%100.0%98.0%54.0%
Term Structure1.2%-5.0%5.5%-3.0%4.6%
VWIV23.6%16.9%26.4%26.2%23.9%
Skew 25d10.2%-3.4%50.7%3.9%1.5%
Skew 10d16.8%1.2%64.2%12.2%1.2%
Call IV 25d22.6%19.3%27.0%24.8%22.7%
Put IV 25d32.8%20.5%70.2%28.7%24.2%
Bid-Ask Spread %88.9476.7698.0081.4997.19
Gamma HHI0.640.480.860.620.86
Net GEX12.7K-40.7K65.4K-38.3K65.4K
Net DEX31.4K-575.3K394.9K375.6K-575.3K
Net VEX-2.4K-3.1K-1.7K-2.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.004.554.550.00
Total Volume219.77303532720
Total OI1,072.2276601,3151,160787

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$31.54$35.0028.6%7.4%24.3%68.1%26.2%3.9%-3.0%-38.3K375.6K-2.4K4.5581.49N/AN/A49223647513
2014-12-02$32.05$35.0025.1%6.7%25.1%54.5%22.2%8.2%5.2%-23.5K311.5K-2.3K1.5092.80N/AN/A141212647517
2014-12-03$32.37$35.0029.5%7.2%25.3%71.7%24.3%7.5%-2.5%-8.1K224.7K-2.6K0.8283.38N/AN/A141116733520
2014-12-04$32.66$35.0021.0%6.4%25.5%38.7%16.9%2.4%-5.0%3.7K144.9K-2.4K0.0098.00N/AN/A50733519
2014-12-05$32.92$35.0018.5%6.5%24.6%28.8%23.4%1.5%0.4%21.5K-24.0K-2.7K0.7983.39N/AN/A183144738519
2014-12-08$32.09$35.0034.5%7.2%26.0%91.0%21.2%1.1%0.1%-30.9K394.9K-2.5K1.6480.29N/AN/A88144711567
2014-12-09$32.98$35.0022.2%6.6%27.7%43.0%23.5%4.9%0.8%23.6K187.6K-2.9K1.6487.63N/AN/A88144711567
2014-12-10$32.43$35.0038.2%7.6%28.0%100.0%23.6%3.4%0.1%-14.5K320.3K-2.4K1.6489.22N/AN/A88144711563
2014-12-11$32.53$35.0020.2%5.7%28.1%33.6%22.0%5.0%0.2%4.9K210.0K-2.6K1.6287.23N/AN/A89144708529
2014-12-12$31.90$35.0027.2%7.8%28.5%59.2%23.8%2.3%1.8%-31.9K380.2K-2.2K1.6285.24N/AN/A89144709529
2014-12-15$31.35$35.0027.5%7.8%28.9%60.3%23.8%6.8%-0.3%-40.7K360.0K-1.7K1.2188.12N/AN/A120145710529
2014-12-16$31.69$35.0027.7%7.5%29.4%61.1%26.4%7.3%-2.8%-19.5K222.7K-1.8K1.2186.21N/AN/A120145742539
2014-12-17$32.78$35.0021.8%7.1%32.2%39.3%26.0%6.3%1.3%15.1K50.0K-2.3K1.2883.32N/AN/A120154742539
2014-12-18$33.18$35.0023.4%7.4%31.1%45.4%26.2%10.5%2.1%51.7K-71.6K-2.9K1.2876.76N/AN/A120154742573
2014-12-19$33.14$35.0023.6%7.1%27.6%46.1%0.0%-3.4%1.9%22.1K-2.1K-2.6K0.0092.24N/AN/A60742573
2014-12-22$33.66$0.0019.1%7.0%27.4%29.3%24.3%46.8%5.4%35.7K-153.2K-2.2K1.5293.73N/AN/A77117379286
2014-12-23$33.98$35.0018.8%7.0%27.3%28.3%24.4%50.7%5.5%43.4K-224.0K-2.3K1.1791.52N/AN/A100117380286
2014-12-24$34.20$35.0018.9%6.6%27.3%28.8%22.9%50.0%4.0%45.1K-260.8K-2.4K1.1694.72N/AN/A101117374286
2014-12-26$34.50$35.0020.6%6.5%27.2%34.9%22.8%1.9%2.2%48.6K-369.2K-2.5K1.1693.73N/AN/A101117375286
2014-12-29$34.67$35.0020.9%6.8%25.4%32.7%23.7%2.4%2.8%52.6K-405.8K-2.4K1.2993.11N/AN/A91117375286
2014-12-30$34.64$35.0021.4%6.9%23.9%34.8%23.9%2.5%2.5%54.1K-406.5K-2.4K0.0097.45N/AN/A3200381286
2014-12-31$34.50$35.0020.4%7.2%23.7%29.3%0.0%1.5%4.6%65.4K-575.3K-3.1K0.0097.19N/AN/A00501286