HI Options History — March 2015

In March 2015, HI traded between $29.53 and $32.25. ATM implied volatility averaged 25.1%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.7% (HV 20d: 23.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-03-31: Highest Volume — 533 contracts
  • 2015-03-04: Largest IV spike — 14.2% change
  • 2015-03-05: Highest IV Rank — 64.4%
  • 2015-03-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.55$29.53$32.25$32.25$30.84
Max Pain$31.36$30.00$35.00$30.00$30.00
ATM IV25.1%23.5%29.2%26.5%24.4%
Expected Move7.0%6.7%7.9%7.6%7.0%
HV 20d23.3%18.8%29.7%29.7%25.1%
HV 60d25.2%24.5%25.9%25.6%25.6%
IV Rank47.9%41.9%64.4%53.8%45.5%
IV Percentile78.6%71.4%96.0%88.5%74.2%
Term Structure0.9%-7.3%3.7%3.7%3.3%
VWIV24.6%20.9%27.6%26.5%24.6%
Skew 25d1.8%-10.2%10.5%10.1%10.5%
Skew 10d7.0%-8.4%41.6%15.9%41.6%
Call IV 25d24.5%20.5%30.5%20.5%24.6%
Put IV 25d26.2%16.1%35.2%30.5%35.2%
Bid-Ask Spread %94.5885.17104.90103.2797.22
Gamma HHI0.590.440.720.440.55
Net GEX8.9K-23.6K39.1K-3.8K34.7K
Net DEX-89.9K-688.1K321.9K178.0K-626.4K
Net VEX-3.0K-4.5K-1.7K-1.9K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.002.502.190.25
Total Volume139.1360533102533
Total OI1,027.4557091,2787161,278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$32.25$30.0026.5%7.6%29.7%53.8%26.5%10.1%3.7%-3.8K178.0K-1.9K2.19103.27N/AN/A3270402314
2015-03-03$31.89$30.0024.1%6.9%29.0%43.9%20.9%-10.2%-7.3%-8.2K202.3K-1.8K2.19104.90N/AN/A3270403306
2015-03-04$31.20$30.0027.5%7.9%29.0%57.5%27.6%1.0%-2.3%-16.6K259.5K-1.7K2.00101.59N/AN/A3570403306
2015-03-05$31.22$35.0029.2%7.2%28.9%64.4%24.7%-2.0%0.6%-17.5K269.6K-1.8K1.5285.17N/AN/A4670407306
2015-03-06$30.53$35.0025.4%6.9%21.4%49.4%26.5%-5.8%1.0%-20.8K299.8K-1.8K0.6087.51N/AN/A11770417306
2015-03-09$30.82$35.0028.1%7.1%19.5%59.9%0.0%4.2%1.1%-18.2K244.2K-2.0K0.0094.62N/AN/A50473306
2015-03-10$30.35$35.0026.2%7.0%19.4%52.3%24.5%2.6%1.1%-20.9K279.5K-2.0K0.0094.08N/AN/A70478306
2015-03-11$29.90$35.0024.1%6.9%18.8%44.0%24.1%0.0%1.5%-20.8K321.9K-1.9K0.0094.09N/AN/A024484306
2015-03-12$30.62$35.0023.5%6.7%20.7%41.9%23.5%2.9%1.1%-23.6K258.5K-2.0K0.0294.09N/AN/A2696484323
2015-03-13$29.89$30.0023.9%6.9%22.4%43.4%23.9%1.0%0.4%16.4K-39.8K-3.0K0.0093.43N/AN/A020747329
2015-03-16$29.53$30.0024.6%7.1%22.8%46.2%23.2%1.6%0.1%14.3K71.9K-2.9K0.0087.63N/AN/A2081747347
2015-03-17$29.74$30.0024.6%7.1%21.5%46.1%0.0%0.5%-0.1%15.1K12.4K-3.0K0.0093.59N/AN/A00888348
2015-03-18$29.85$30.0024.0%6.9%21.1%43.8%0.0%1.7%0.4%12.9K-98.8K-3.0K0.0094.56N/AN/A020888321
2015-03-19$29.94$30.0024.1%6.9%21.1%44.0%0.0%1.3%0.3%7.8K-107.3K-3.0K2.5094.55N/AN/A410888341
2015-03-20$30.53$30.0023.7%6.8%22.5%42.7%0.0%2.7%1.1%29.2K-348.9K-3.1K0.2195.01N/AN/A20143889351
2015-03-23$30.72$30.0024.1%6.9%22.6%44.3%0.0%2.6%3.6%37.8K-616.1K-4.5K0.0095.31N/AN/A02888347
2015-03-24$30.92$30.0024.2%6.9%22.7%44.5%24.2%2.4%2.3%37.4K-688.1K-4.4K0.0095.86N/AN/A01888348
2015-03-25$30.37$30.0024.5%7.0%23.5%45.8%24.5%1.5%2.1%39.1K-527.3K-4.5K0.0095.16N/AN/A032888349
2015-03-26$30.11$30.0024.6%7.0%23.3%45.9%24.7%1.7%2.2%34.3K-355.2K-4.4K0.2194.38N/AN/A42790888375
2015-03-27$29.98$30.0024.4%7.0%23.0%45.2%0.0%1.5%2.2%35.0K-313.0K-4.3K0.0095.21N/AN/A015888375
2015-03-30$30.95$30.0025.4%7.3%25.3%49.2%25.5%7.2%1.7%32.8K-655.6K-4.3K0.2489.50N/AN/A427104888390
2015-03-31$30.84$30.0024.4%7.0%25.1%45.5%24.6%10.5%3.3%34.7K-626.4K-4.2K0.2597.22N/AN/A427106888390