HI Options History — September 2015

In September 2015, HI traded between $25.27 and $26.50. ATM implied volatility averaged 32.4%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.7% (HV 20d: 26.7%). 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 5 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-09-16: Highest Volume — 631 contracts
  • 2015-09-28: Largest IV spike — 24.0% change
  • 2015-09-08: Highest IV Rank — 68.1%
  • 2015-09-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.88$25.27$26.50$26.25$25.98
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.4%27.7%39.4%38.5%32.0%
Expected Move9.1%7.9%11.0%11.0%9.2%
HV 20d26.7%18.4%34.9%34.9%18.4%
HV 60d24.0%23.5%24.8%23.8%24.1%
IV Rank48.7%34.6%68.1%65.7%46.5%
IV Percentile89.6%71.0%98.8%98.8%91.3%
Term Structure-1.0%-4.5%3.2%-4.5%-0.7%
VWIV31.5%27.3%38.0%38.0%32.3%
Skew 25d1.8%-8.5%7.3%-8.5%5.5%
Skew 10d1.8%-13.4%10.4%-13.4%8.8%
Call IV 25d29.5%24.6%46.4%46.4%26.8%
Put IV 25d31.2%25.7%37.9%37.9%32.3%
Bid-Ask Spread %92.7886.9099.9894.7894.33
Gamma HHI0.650.480.880.560.86
Net GEX-52.4K-73.7K-40.0K-73.7K-52.5K
Net DEX3.7M3.5M3.9M3.5M3.6M
Net VEX-3.5K-5.2K-2.9K-5.2K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.003.781.420.60
Total Volume336.1431363120380
Total OI2,538.9522,4102,7162,4422,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$26.25$30.0038.5%11.0%34.9%65.7%38.0%-8.5%-4.5%-73.7K3.5M-5.2K1.4294.78N/AN/A841196591,783
2015-09-02$26.20$30.0037.6%10.8%34.4%63.4%37.4%2.9%-4.1%-53.9K3.7M-3.9K1.3498.79N/AN/A891196591,783
2015-09-03$26.31$30.0036.2%9.3%29.7%59.6%32.3%-4.1%-1.6%-56.4K3.7M-4.0K0.2589.14N/AN/A4771196491,783
2015-09-04$26.07$30.0038.1%9.6%28.6%64.6%34.5%1.1%-1.9%-65.1K3.5M-5.2K0.2686.90N/AN/A4771226271,783
2015-09-08$25.88$30.0039.4%9.6%27.6%68.1%33.3%-7.2%-2.9%-44.7K3.8M-3.0K0.0090.56N/AN/A01136271,788
2015-09-09$25.83$30.0031.4%9.0%27.7%46.6%35.0%-1.5%-1.8%-66.7K3.7M-4.0K0.2589.46N/AN/A4771206271,837
2015-09-10$25.59$30.0030.8%8.8%27.6%44.9%29.1%-1.3%-0.8%-47.2K3.9M-2.9K0.1695.51N/AN/A485786271,840
2015-09-11$25.69$30.0031.0%8.9%27.9%45.6%30.3%7.3%-0.3%-47.2K3.9M-3.2K0.1692.68N/AN/A487786351,848
2015-09-14$25.27$30.0031.6%9.1%28.0%47.2%31.5%5.3%-1.6%-40.0K3.8M-2.9K0.2090.37N/AN/A459926851,849
2015-09-15$25.85$30.0032.3%9.3%29.3%49.1%32.3%2.4%-2.9%-43.2K3.7M-3.6K0.0095.35N/AN/A1307121,866
2015-09-16$26.50$30.0030.7%8.8%31.0%44.7%29.6%6.0%-0.5%-43.7K3.6M-3.5K0.4596.66N/AN/A4361957251,866
2015-09-17$26.40$30.0029.1%8.4%31.0%40.6%28.5%4.7%-0.3%-51.4K3.7M-3.7K0.4599.98N/AN/A4361957301,986
2015-09-18$26.26$30.0029.7%8.5%30.1%42.1%29.3%4.0%-0.1%-50.6K3.7M-3.7K0.4595.99N/AN/A4361957301,969
2015-09-21$26.28$30.0029.4%8.4%29.8%39.4%29.7%3.7%0.3%-48.3K3.6M-3.2K3.7895.34N/AN/A451706571,921
2015-09-22$25.92$30.0029.3%8.4%22.5%38.9%29.2%2.2%0.9%-49.0K3.7M-2.9K3.7895.34N/AN/A451706481,921
2015-09-23$25.48$30.0028.5%8.2%22.1%36.9%28.5%3.0%0.7%-52.0K3.7M-3.3K3.4789.18N/AN/A491706481,921
2015-09-24$25.38$30.0029.4%8.4%20.9%39.4%28.6%3.5%1.7%-52.3K3.7M-2.9K1.0089.24N/AN/A49496411,921
2015-09-25$25.47$30.0027.7%7.9%19.9%34.6%27.3%2.1%3.2%-55.0K3.7M-3.0K1.5787.93N/AN/A49776411,927
2015-09-28$25.36$30.0034.4%9.9%19.7%53.1%31.9%2.1%-2.1%-53.2K3.8M-3.1K1.5789.92N/AN/A49776411,958
2015-09-29$25.60$30.0034.0%9.7%20.0%52.0%32.5%4.0%-2.1%-54.6K3.8M-2.9K0.6190.81N/AN/A49306411,957
2015-09-30$25.98$30.0032.0%9.2%18.4%46.5%32.3%5.5%-0.7%-52.5K3.6M-3.1K0.6094.33N/AN/A50306411,961