HI Options History — October 2015

In October 2015, HI traded between $25.85 and $29.83. ATM implied volatility averaged 28.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.1% (HV 20d: 24.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 8.75.

Notable Days

  • 2015-10-07: Highest Volume — 266 contracts
  • 2015-10-13: Largest IV spike — 43.0% change
  • 2015-10-13: Highest IV Rank — 51.8%
  • 2015-10-06: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$25.85$29.83$25.85$29.63
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.0%17.1%33.9%30.6%30.7%
Expected Move8.3%7.2%9.7%8.8%8.8%
HV 20d24.9%18.4%30.6%18.4%30.5%
HV 60d26.6%23.7%29.1%23.7%27.6%
IV Rank35.4%5.2%51.8%42.7%43.0%
IV Percentile67.3%0.8%92.9%86.1%86.5%
Term Structure-2.0%-6.4%9.4%0.8%-2.8%
VWIV29.1%22.0%32.0%31.5%30.7%
Skew 25d2.1%-5.9%12.0%4.0%1.9%
Skew 10d3.8%-2.0%29.1%7.5%3.2%
Call IV 25d28.1%22.7%31.1%27.3%29.0%
Put IV 25d30.2%22.8%36.1%31.3%30.9%
Bid-Ask Spread %92.9485.9797.7489.4793.13
Gamma HHI0.670.460.880.880.75
Net GEX-18.9K-127.0K25.9K-56.0K25.7K
Net DEX1.7M-250.5K3.7M3.7M-211.0K
Net VEX-2.9K-4.3K-2.2K-2.8K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.750.24173.000.601.04
Total Volume150.227472668051
Total OI1,711.4097162,6162,603757

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$25.85$30.0030.6%8.8%18.4%42.7%31.5%4.0%0.8%-56.0K3.7M-2.8K0.6089.47N/AN/A50306421,961
2015-10-02$26.28$30.0026.1%7.5%19.4%30.1%22.0%7.5%9.4%-52.5K3.6M-2.9K0.8693.80N/AN/A50436421,974
2015-10-05$27.43$0.0030.2%8.7%24.3%41.6%0.0%0.7%1.0%-24.9K3.4M-2.6K173.0088.83N/AN/A11736421,974
2015-10-06$27.05$0.0027.3%9.7%24.7%33.5%0.0%3.1%-6.4%-23.4K3.2M-2.2K4.3085.97N/AN/A502156431,882
2015-10-07$27.70$0.0029.0%8.1%25.8%38.3%0.0%12.0%-2.7%-25.5K3.1M-2.5K4.2287.42N/AN/A512156431,882
2015-10-08$28.29$0.0027.1%8.2%26.1%32.9%0.0%6.8%-1.4%-127.0K2.7M-4.3K0.8490.32N/AN/A51436451,871
2015-10-09$28.73$0.0017.1%8.2%26.3%5.2%28.5%7.0%-1.7%-104.0K3.1M-3.2K0.2890.89N/AN/A152435821,871
2015-10-12$28.62$30.0023.7%8.5%25.3%23.4%29.8%-4.8%-3.9%-96.0K2.9M-3.5K0.2894.96N/AN/A153436851,870
2015-10-13$28.20$30.0033.9%8.4%25.6%51.8%29.2%-5.9%-3.8%-73.2K3.0M-3.2K0.3795.97N/AN/A153566851,870
2015-10-14$27.86$30.0029.3%8.4%25.0%38.9%30.7%0.4%-3.8%-6.2K3.2M-2.7K0.3794.22N/AN/A153566851,861
2015-10-15$28.10$30.0025.3%7.2%25.0%27.7%29.3%5.3%-2.8%2252.8M-2.6K0.3791.32N/AN/A153566851,707
2015-10-16$27.97$30.0025.0%7.2%24.9%27.1%29.6%5.2%-4.6%2962.8M-2.6K0.3688.97N/AN/A153556851,707
2015-10-19$28.15$30.0027.1%7.8%24.9%32.9%27.9%5.5%-0.5%11.4K178.1K-2.9K0.2691.88N/AN/A11530376340
2015-10-20$28.11$30.0028.0%8.0%24.2%35.5%28.3%7.8%-2.3%12.0K156.9K-2.8K0.2693.99N/AN/A11530376340
2015-10-21$28.18$30.0028.4%8.1%22.9%36.4%28.7%-4.7%-2.6%12.3K150.0K-2.9K0.2697.74N/AN/A11530376340
2015-10-22$28.65$30.0027.8%8.0%23.0%34.8%27.8%-1.7%-0.6%15.8K74.2K-3.0K0.2497.18N/AN/A12530376340
2015-10-23$28.79$30.0028.4%8.2%22.9%36.7%28.5%-3.3%-1.7%17.9K27.6K-3.0K0.2895.99N/AN/A12535386340
2015-10-26$28.65$30.0028.9%8.3%23.0%37.9%28.9%-1.6%-2.3%16.1K90.4K-2.9K0.2997.67N/AN/A12035387360
2015-10-27$28.10$30.0029.8%8.5%24.6%40.3%30.2%-5.4%-3.7%12.1K185.3K-2.7K1.5997.66N/AN/A2235392360
2015-10-28$29.73$30.0032.0%9.2%30.6%46.6%32.0%3.1%-4.6%23.6K-244.3K-2.9K1.2492.43N/AN/A2126394360
2015-10-29$29.83$30.0030.2%8.7%30.3%41.5%30.2%2.8%-2.4%25.9K-250.5K-3.1K1.2494.95N/AN/A2126397360
2015-10-30$29.63$30.0030.7%8.8%30.5%43.0%30.7%1.9%-2.8%25.7K-211.0K-2.9K1.0493.13N/AN/A2526397360