HI Options History — February 2016

In February 2016, HI traded between $24.63 and $28.11. ATM implied volatility averaged 34.6%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.8% (HV 20d: 29.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.49.

Notable Days

  • 2016-02-02: Highest Volume — 318 contracts
  • 2016-02-25: Largest IV drop — 40.2% change
  • 2016-02-02: Highest IV Rank — 70.6%
  • 2016-02-02: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.42$24.63$28.11$26.71$28.10
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.6%22.5%41.2%40.3%24.6%
Expected Move9.7%6.5%11.8%11.6%7.0%
HV 20d29.8%24.5%34.1%24.5%29.8%
HV 60d26.1%24.4%27.6%24.4%25.4%
IV Rank51.2%15.8%70.6%68.1%21.8%
IV Percentile78.2%4.8%98.8%98.4%20.6%
Term Structure-2.2%-7.8%8.3%-4.1%-3.2%
VWIV35.2%26.2%41.1%41.1%28.3%
Skew 25d3.9%-17.2%15.2%-2.7%-5.2%
Skew 10d6.9%-24.5%31.8%-5.5%-0.6%
Call IV 25d32.1%19.1%49.2%43.0%31.2%
Put IV 25d36.0%26.0%41.3%40.3%26.0%
Bid-Ask Spread %90.1071.76105.2186.32101.63
Gamma HHI0.640.410.900.480.45
Net GEX-18.4K-47.8K105-555-1.7K
Net DEX143.1K-27.1K486.4K41.3K-27.1K
Net VEX-1.2K-1.4K-850-935-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.491.2112.831.214.18
Total Volume139.25101318146176
Total OI515.2243661362327

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$26.71$25.0040.3%11.6%24.5%68.1%41.1%-2.7%-4.1%-55541.3K-9351.2186.32N/AN/A6680252110
2016-02-02$26.00$25.0041.2%11.8%24.5%70.6%41.1%-4.5%-6.9%-2.4K72.3K-85012.8380.03N/AN/A23295249110
2016-02-03$24.93$25.0035.3%10.1%27.7%53.3%35.3%-17.2%-3.1%-36.9K398.2K-1.4K3.8185.07N/AN/A2180256354
2016-02-04$24.63$25.0034.3%8.8%27.6%50.4%30.8%3.6%-0.3%-39.1K486.4K-1.3K2.6771.76N/AN/A3080256377
2016-02-05$24.74$25.0034.6%8.9%28.0%51.4%31.1%6.7%-0.8%-39.4K460.4K-1.4K2.5875.36N/AN/A3180264379
2016-02-08$25.48$25.0039.2%10.1%30.8%64.7%35.4%3.6%-0.2%-39.8K314.3K-1.4K2.5375.60N/AN/A3281272379
2016-02-09$25.73$25.0037.3%10.3%31.2%59.1%35.8%2.5%-1.3%-42.9K269.4K-1.4K2.5376.71N/AN/A3281273383
2016-02-10$25.80$25.0034.8%10.0%31.3%51.8%34.8%-3.5%-0.8%-41.0K241.5K-1.3K2.5382.94N/AN/A3281273383
2016-02-11$25.37$25.0036.2%10.4%31.3%56.0%35.7%2.1%-4.0%-47.8K329.4K-1.3K2.3880.27N/AN/A3481273383
2016-02-12$26.30$25.0035.9%10.3%34.1%54.9%35.8%11.4%-3.0%-36.8K165.3K-1.2K2.6194.50N/AN/A3181266383
2016-02-16$26.76$25.0036.8%10.5%31.9%57.7%36.8%10.9%-3.6%-22.9K73.4K-1.2K2.7094.37N/AN/A3081272383
2016-02-17$26.94$25.0036.0%10.3%31.9%55.5%36.2%0.5%-4.6%-5.0K3.7K-1.1K2.4594.48N/AN/A3381272383
2016-02-18$26.92$25.0036.7%10.5%31.5%57.6%36.8%10.3%-4.1%-6262.8K-1.0K2.7996.32N/AN/A2981274383
2016-02-19$26.91$25.0036.8%10.6%30.9%57.9%36.9%9.9%-4.5%-5703.6K-1.1K3.1296.82N/AN/A2681278383
2016-02-22$27.25$25.0034.1%9.8%30.8%49.9%34.4%9.3%-1.0%105-8.6K-1.1K2.20103.77N/AN/A3577121122
2016-02-23$26.78$25.0033.0%9.5%30.2%46.5%32.8%7.4%-3.7%-58898-1.1K4.03100.82N/AN/A35141133122
2016-02-24$27.16$25.0037.6%10.8%29.2%60.2%37.8%11.1%-7.8%-5.5K43.3K-1.3K4.06100.16N/AN/A35142133191
2016-02-25$27.71$25.0022.5%6.5%29.7%15.8%40.2%15.2%4.9%-4.0K-2.5K-1.3K4.3099.94N/AN/A33142133192
2016-02-26$28.11$25.0024.6%7.0%29.9%21.8%26.2%7.5%8.3%-1.5K-5.8K-1.3K4.30105.21N/AN/A33142135192
2016-02-29$28.10$25.0024.6%7.0%29.8%21.8%28.3%-5.2%-3.2%-1.7K-27.1K-1.3K4.18101.63N/AN/A34142135192