HI Options History — November 2015

In November 2015, HI traded between $29.69 and $31.36. ATM implied volatility averaged 30.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.7% (HV 20d: 29.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 3.70.

Notable Days

  • 2015-11-18: Highest Volume — 1,434 contracts
  • 2015-11-09: Largest IV spike — 21.8% change
  • 2015-11-09: Highest IV Rank — 54.8%
  • 2015-11-18: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.42$29.69$31.36$30.66$30.29
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.2%25.1%35.0%32.1%28.3%
Expected Move8.5%7.2%9.9%9.2%8.1%
HV 20d29.4%26.9%33.5%29.2%27.8%
HV 60d27.3%25.2%28.8%28.3%26.2%
IV Rank41.3%27.3%54.8%46.9%32.7%
IV Percentile73.1%31.3%94.0%91.3%63.9%
Term Structure-3.0%-4.6%-0.9%-3.3%-3.7%
VWIV29.9%25.7%34.4%32.1%27.1%
Skew 25d5.8%-3.4%27.8%27.8%3.1%
Skew 10d10.6%-5.6%58.2%58.2%5.6%
Call IV 25d27.4%21.1%36.5%27.9%28.4%
Put IV 25d33.3%27.6%55.7%55.7%31.6%
Bid-Ask Spread %93.1477.38105.7693.9095.16
Gamma HHI0.780.470.980.790.81
Net GEX-18.2K-531.6K44.5K29.2K-39.9K
Net DEX-182.5K-689.6K2.6M-466.9K182.8K
Net VEX-2.6K-4.0K-2.2K-2.8K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.700.0021.764.641.95
Total Volume202.3501,4341410
Total OI993.156932,485762920

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$30.66$30.0032.1%9.2%29.2%46.9%32.1%27.8%-3.3%29.2K-466.9K-2.8K4.6493.90N/AN/A25116402360
2015-11-03$30.64$30.0032.6%9.4%28.4%48.3%32.7%27.1%-4.0%36.0K-535.2K-2.5K4.6495.41N/AN/A25116402294
2015-11-04$30.50$30.0032.0%9.2%27.9%46.6%32.0%5.7%-3.2%36.8K-520.2K-2.5K4.6494.78N/AN/A25116401294
2015-11-05$30.91$30.0032.0%8.5%27.4%46.7%29.9%7.0%-3.3%35.7K-642.6K-2.4K5.2793.71N/AN/A22116402294
2015-11-06$31.36$30.0028.7%8.5%27.4%37.4%25.9%7.7%-3.0%31.4K-689.6K-2.3K0.0095.28N/AN/A130399294
2015-11-09$30.52$30.0035.0%8.7%29.5%54.8%0.0%-2.8%-3.8%41.4K-552.1K-2.3K0.0090.91N/AN/A00410294
2015-11-10$30.54$30.0034.7%8.7%28.7%54.1%30.8%-3.4%-3.1%44.5K-540.5K-2.3K4.1489.87N/AN/A28116415294
2015-11-11$30.61$30.0028.6%8.2%28.1%37.1%27.3%3.7%-3.4%37.4K-584.5K-2.2K4.14105.76N/AN/A28116415294
2015-11-12$29.95$30.0030.4%8.7%29.6%42.1%29.2%1.5%-3.0%39.7K-395.8K-2.3K1.3894.10N/AN/A146201415294
2015-11-13$29.95$30.0030.9%8.8%29.5%43.4%29.7%1.2%-3.3%32.8K-326.2K-2.5K0.4296.42N/AN/A15565463379
2015-11-16$30.15$30.0032.9%9.4%29.5%49.0%32.9%3.5%-4.4%29.1K-362.2K-2.5K4.6994.99N/AN/A45211468419
2015-11-17$30.02$30.0033.1%9.5%29.5%49.7%32.9%1.8%-4.6%-5.1K-102.4K-2.6K3.7994.45N/AN/A67254507629
2015-11-18$30.69$30.0034.4%9.9%30.3%53.2%34.4%5.5%-3.5%-6.7K-446.4K-2.4K21.7681.41N/AN/A631,371509628
2015-11-19$29.69$30.0028.3%8.1%32.7%36.3%29.0%1.5%-1.6%-531.6K2.6M-4.0K0.9577.38N/AN/A1181125501,910
2015-11-20$30.20$30.0025.7%7.4%33.1%29.1%25.7%11.7%-1.8%-34.0K-660.2K-3.0K1.3786.93N/AN/A57785631,922
2015-11-23$29.80$30.0025.1%7.2%33.5%27.3%0.0%2.3%-0.9%-37.1K349.3K-2.9K0.0093.80N/AN/A70280622
2015-11-24$30.47$30.0025.5%7.3%33.2%28.4%0.0%4.0%-1.3%-34.9K62.8K-2.9K1.0095.47N/AN/A1010287622
2015-11-25$30.61$30.0025.7%7.4%26.9%29.0%25.9%3.5%-1.3%-35.8K15.0K-2.7K1.7896.20N/AN/A3664282622
2015-11-27$30.86$30.0027.1%7.8%27.0%32.9%27.1%4.2%-3.3%-33.5K-57.1K-2.6K1.9596.92N/AN/A3976286622
2015-11-30$30.29$30.0028.3%8.1%27.8%32.7%0.0%3.1%-3.7%-39.9K182.8K-2.8K0.0095.16N/AN/A00281639