HI Options History — December 2015

In December 2015, HI traded between $28.10 and $31.27. ATM implied volatility averaged 25.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.2% (HV 20d: 25.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2015-12-09: Highest Volume — 143 contracts
  • 2015-12-09: Largest IV drop — 21.6% change
  • 2015-12-08: Highest IV Rank — 43.8%
  • 2015-12-02: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.57$28.10$31.27$31.27$29.72
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.3%20.2%32.0%27.8%25.5%
Expected Move7.0%5.8%8.2%8.0%7.3%
HV 20d25.5%20.5%28.3%27.4%20.5%
HV 60d27.0%26.0%27.7%26.8%26.0%
IV Rank24.0%9.1%43.8%31.3%24.5%
IV Percentile34.1%3.2%88.1%59.1%34.5%
Term Structure2.0%-3.5%4.9%-2.1%2.5%
VWIV25.8%22.0%30.9%28.6%25.6%
Skew 25d4.6%-0.7%12.3%2.6%5.0%
Skew 10d6.2%-0.8%15.4%10.8%6.7%
Call IV 25d24.8%21.0%28.2%25.6%28.2%
Put IV 25d29.4%23.5%38.1%28.2%33.2%
Bid-Ask Spread %94.7389.6199.0397.9194.84
Gamma HHI0.760.480.970.860.64
Net GEX-21.6K-50.6K12.8K-32.5K5.1K
Net DEX297.4K-178.2K1.0M-178.2K-35.7K
Net VEX-1.8K-2.6K-1.1K-2.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.252.290.250.96
Total Volume94.40901432596
Total OI798552931920593

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$31.27$30.0027.8%8.0%27.4%31.3%0.0%2.6%-2.1%-32.5K-178.2K-2.4K0.2597.91N/AN/A205281639
2015-12-02$30.82$30.0028.6%8.2%28.0%33.7%28.6%3.6%-3.5%-38.6K-33.4K-2.6K1.3194.81N/AN/A5471286644
2015-12-03$30.44$30.0028.6%7.2%28.3%33.6%25.2%2.4%1.5%-43.2K111.1K-2.6K1.3193.69N/AN/A5471286644
2015-12-04$30.43$30.0026.5%6.9%27.8%27.4%24.4%3.4%2.4%-47.9K118.4K-2.6K1.3493.66N/AN/A5371286644
2015-12-07$30.04$30.0028.6%6.9%27.5%33.7%0.0%2.2%2.0%-50.6K288.1K-2.4K0.0095.06N/AN/A00282644
2015-12-08$29.50$30.0032.0%6.9%26.6%43.8%25.3%0.0%1.9%-43.6K496.3K-2.3K1.3494.04N/AN/A5371287644
2015-12-09$29.43$30.0025.1%7.2%26.6%23.4%25.4%-0.7%0.4%-44.8K555.8K-2.3K0.9995.66N/AN/A7271287644
2015-12-10$29.37$30.0025.0%7.2%26.6%23.2%25.4%-0.7%1.0%-47.4K583.0K-2.2K0.9994.99N/AN/A7271287644
2015-12-11$28.92$30.0025.9%7.4%26.0%25.8%30.9%12.3%1.3%-38.7K676.5K-2.1K1.5189.61N/AN/A4771287639
2015-12-14$29.28$30.0025.0%7.2%26.5%23.1%28.4%11.3%2.5%-50.6K730.6K-1.8K1.5194.61N/AN/A4771287639
2015-12-15$29.07$30.0025.5%7.3%26.4%24.6%29.0%10.6%1.1%-47.8K635.8K-1.8K1.5190.91N/AN/A4771287639
2015-12-16$29.07$30.0023.8%6.8%26.4%19.4%25.9%11.8%2.8%-48.0K719.3K-1.7K2.0392.20N/AN/A3571287639
2015-12-17$28.50$30.0024.2%6.9%25.6%20.8%29.0%11.0%1.9%-488984.7K-1.4K2.2992.80N/AN/A3171282639
2015-12-18$28.10$30.0024.7%7.1%23.5%22.3%29.8%8.6%0.0%-2.3K1.0M-1.3K2.2996.17N/AN/A3171282639
2015-12-21$28.29$30.0020.2%5.8%22.6%9.1%22.0%-0.5%3.7%-1.8K249.6K-1.1K1.6797.47N/AN/A2135226326
2015-12-22$29.14$30.0023.1%6.6%25.1%17.6%24.1%3.3%3.6%4.4K94.2K-1.3K1.6799.03N/AN/A2135226331
2015-12-23$29.76$30.0022.8%6.5%24.9%16.5%22.8%2.8%4.0%10.6K-81.1K-1.3K1.6794.79N/AN/A2135229331
2015-12-24$29.76$30.0022.4%6.4%24.9%15.3%22.4%2.9%4.9%11.1K-69.8K-1.3K0.9095.01N/AN/A3935230331
2015-12-28$29.73$30.0023.3%6.7%24.6%18.0%23.7%3.5%4.7%12.6K-83.2K-1.3K0.7796.22N/AN/A3930250331
2015-12-29$29.96$30.0024.2%6.9%24.0%20.6%24.2%2.5%4.3%12.8K-138.4K-1.3K0.8195.55N/AN/A5847251333
2015-12-30$30.04$30.0024.4%7.0%20.8%21.3%24.4%2.6%3.5%5.7K-114.0K-1.3K1.0495.00N/AN/A4547241352
2015-12-31$29.72$30.0025.5%7.3%20.5%24.5%25.6%5.0%2.5%5.1K-35.7K-1.3K0.9694.84N/AN/A4947241352