HI Options History — August 2015

In August 2015, HI traded between $25.78 and $30.28. ATM implied volatility averaged 29.1%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.1% (HV 20d: 24.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-08-12: Highest Volume — 674 contracts
  • 2015-08-24: Largest IV spike — 56.6% change
  • 2015-08-24: Highest IV Rank — 70.0%
  • 2015-08-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.37$25.78$30.28$28.00$27.01
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV29.1%21.6%39.7%30.6%37.8%
Expected Move8.2%6.2%11.4%8.8%10.8%
HV 20d24.9%14.6%34.0%15.4%33.7%
HV 60d21.9%19.6%27.0%26.8%23.2%
IV Rank42.1%22.7%70.0%46.2%64.8%
IV Percentile67.2%25.0%99.2%94.4%98.4%
Term Structure-2.8%-8.1%0.7%-4.9%-4.7%
VWIV28.6%22.1%38.2%33.4%37.2%
Skew 25d0.1%-10.9%11.4%-5.6%-2.9%
Skew 10d0.1%-17.0%16.4%-2.7%-5.1%
Call IV 25d28.5%21.2%42.5%31.8%40.8%
Put IV 25d28.6%20.5%45.1%26.1%37.9%
Bid-Ask Spread %95.8688.45100.0199.6995.94
Gamma HHI0.630.480.760.630.54
Net GEX-72.7K-106.4K-46.1K-79.1K-69.4K
Net DEX2.5M1.1M3.8M2.6M3.7M
Net VEX-8.9K-11.7K-3.8K-10.2K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.002.411.141.67
Total Volume383.61906740224
Total OI2,629.3332,4092,8452,4922,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$28.00$30.0030.6%8.8%15.4%46.2%0.0%-5.6%-4.9%-79.1K2.6M-10.2K0.0099.69N/AN/A007381,754
2015-08-04$27.79$30.0029.0%8.3%15.5%42.1%33.4%-5.2%-7.5%-76.5K2.6M-9.7K1.14100.01N/AN/A1751997381,754
2015-08-05$28.16$30.0037.1%10.6%14.6%63.1%38.2%7.8%-7.8%-79.2K2.5M-10.1K0.3494.43N/AN/A3551197481,754
2015-08-06$29.43$30.0025.6%6.6%21.8%33.2%23.1%11.4%-0.1%-65.0K1.8M-11.3K1.2688.45N/AN/A2052597731,778
2015-08-07$29.90$30.0025.4%6.5%22.3%32.6%22.6%1.1%-0.5%-86.8K1.5M-11.6K1.3194.13N/AN/A1982597661,900
2015-08-10$30.28$30.0025.2%6.3%22.6%31.9%22.1%1.7%0.4%-79.0K1.1M-11.3K0.6897.35N/AN/A2141457671,900
2015-08-11$30.18$30.0026.2%6.6%22.5%34.6%0.0%2.2%-0.1%-77.3K1.2M-11.3K0.0094.12N/AN/A307841,921
2015-08-12$29.80$30.0023.6%6.8%23.0%28.0%23.7%0.2%-0.0%-80.1K1.6M-11.4K0.2795.25N/AN/A5291457841,921
2015-08-13$29.55$30.0023.1%6.6%23.2%26.6%23.1%-0.1%0.6%-62.6K1.6M-11.7K0.2794.04N/AN/A5291459201,921
2015-08-14$29.50$30.0022.7%6.5%22.8%25.5%22.7%-0.4%0.7%-59.7K1.9M-11.4K0.2796.44N/AN/A5291459201,921
2015-08-17$29.85$30.0023.9%6.9%22.7%28.7%23.9%0.8%-0.4%-46.1K1.6M-11.2K0.3195.23N/AN/A4751459201,921
2015-08-18$29.29$30.0024.4%7.0%23.8%30.0%24.4%-0.8%-1.6%-56.0K1.9M-10.4K0.3195.35N/AN/A4751459241,921
2015-08-19$28.98$30.0023.0%6.6%23.3%26.3%0.0%-0.8%0.1%-78.8K2.5M-10.1K0.0095.64N/AN/A009241,921
2015-08-20$28.29$30.0021.6%6.2%24.6%22.7%25.5%-5.7%-1.8%-106.4K2.9M-9.4K0.3199.50N/AN/A4751459241,921
2015-08-21$27.85$30.0025.4%7.3%25.3%32.4%28.8%-6.5%-4.5%-102.7K3.2M-8.1K0.3098.53N/AN/A4681419241,921
2015-08-24$26.31$30.0039.7%11.4%32.4%70.0%25.6%7.1%-8.1%-62.6K3.6M-5.1K0.4897.23N/AN/A2601266361,790
2015-08-25$25.78$30.0036.0%10.3%32.6%60.3%35.5%-10.9%-5.2%-51.9K3.8M-3.8K2.4192.82N/AN/A581406341,775
2015-08-26$26.27$30.0036.9%10.6%33.3%62.6%35.8%-6.4%-5.0%-59.9K3.7M-4.5K2.4193.33N/AN/A581406341,783
2015-08-27$26.70$30.0036.6%10.5%34.0%61.9%34.6%7.7%-4.1%-78.9K3.4M-6.0K1.8998.60N/AN/A741406341,783
2015-08-28$26.84$30.0036.2%10.4%33.7%60.8%34.2%7.5%-4.7%-68.6K3.6M-4.9K1.8996.99N/AN/A741406491,783
2015-08-31$27.01$30.0037.8%10.8%33.7%64.8%37.2%-2.9%-4.7%-69.4K3.7M-4.5K1.6795.94N/AN/A841406491,783