HI Options History — March 2016

In March 2016, HI traded between $28.20 and $30.01. ATM implied volatility averaged 23.0%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.5% (HV 20d: 18.5%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.91.

Notable Days

  • 2016-03-17: Highest Volume — 190 contracts
  • 2016-03-02: Largest IV drop — 21.6% change
  • 2016-03-01: Highest IV Rank — 29.0%
  • 2016-03-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.92$28.20$30.01$28.20$30.01
Max Pain$29.55$25.00$30.00$25.00$30.00
ATM IV23.0%19.8%27.0%27.0%21.6%
Expected Move6.7%5.7%7.7%7.7%6.2%
HV 20d18.5%14.2%29.8%29.8%17.2%
HV 60d24.8%23.9%25.5%25.3%24.1%
IV Rank17.2%7.7%29.0%29.0%13.0%
IV Percentile13.6%0.8%45.6%45.2%5.6%
Term Structure1.2%-5.2%5.3%-5.2%4.9%
VWIV24.1%21.0%29.2%28.3%21.6%
Skew 25d6.3%-4.2%43.6%-4.2%2.4%
Skew 10d8.8%-3.7%59.4%-0.1%4.6%
Call IV 25d24.7%21.2%31.6%31.6%26.0%
Put IV 25d31.0%21.6%68.3%27.4%28.5%
Bid-Ask Spread %94.6359.30106.31102.7096.40
Gamma HHI0.610.470.900.480.90
Net GEX8.7K-1.8K27.9K-1.8K27.9K
Net DEX-155.4K-367.2K-24.2K-24.2K-367.2K
Net VEX-1.4K-1.5K-1.3K-1.3K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.911.414.793.191.41
Total Volume174.864158190180183
Total OI381.136329427329427

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$28.20$25.0027.0%7.7%29.8%29.0%28.3%-4.2%-5.2%-1.8K-24.2K-1.3K3.19102.70N/AN/A43137137192
2016-03-02$28.20$25.0021.2%6.1%27.7%11.8%29.2%3.6%5.3%-592-38.8K-1.3K2.69106.31N/AN/A51137147197
2016-03-03$28.63$30.0021.3%7.1%21.9%12.2%29.0%5.1%0.6%1.8K-83.1K-1.5K2.6993.63N/AN/A51137167197
2016-03-04$28.89$30.0022.4%7.1%20.7%15.6%22.7%-2.6%-0.0%2.6K-110.4K-1.5K3.1994.93N/AN/A43137167197
2016-03-07$29.16$30.0022.5%7.3%20.7%15.7%23.7%-1.4%0.2%3.6K-139.0K-1.4K2.9894.48N/AN/A46137169197
2016-03-08$28.84$30.0026.9%7.4%20.1%28.8%24.0%-3.0%-1.1%3.3K-118.8K-1.5K3.0494.80N/AN/A45137173197
2016-03-09$29.00$30.0024.5%7.0%20.1%21.6%23.3%-1.3%0.1%3.9K-130.6K-1.4K4.5795.18N/AN/A30137173197
2016-03-10$29.00$30.0024.0%6.9%20.2%20.2%22.7%-1.8%0.3%4.4K-134.0K-1.4K4.7995.37N/AN/A29139173197
2016-03-11$29.24$30.0022.9%6.6%18.3%16.9%22.9%27.2%1.7%8.1K-168.9K-1.3K4.7997.21N/AN/A29139172199
2016-03-14$29.06$30.0024.1%6.9%15.4%20.4%22.9%-1.4%0.6%4.4K-135.9K-1.4K4.7959.57N/AN/A29139172199
2016-03-15$28.79$30.0023.7%6.8%15.5%19.3%21.8%-2.1%0.7%4.4K-135.3K-1.4K4.6259.30N/AN/A29134175199
2016-03-16$28.76$30.0024.3%7.0%15.5%21.0%24.0%7.1%-0.1%4.1K-126.2K-1.4K3.9497.48N/AN/A34134173197
2016-03-17$29.34$30.0024.9%7.1%16.5%22.9%25.0%-0.7%-1.5%6.9K-175.7K-1.4K2.3997.50N/AN/A56134179197
2016-03-18$29.11$30.0022.9%6.6%17.0%16.8%22.9%32.0%0.4%13.7K-216.2K-1.3K2.3995.92N/AN/A56134209197
2016-03-21$29.02$30.0025.3%7.3%16.8%24.1%25.7%-0.8%1.2%9.9K-183.9K-1.4K2.1098.74N/AN/A51107206170
2016-03-22$28.85$30.0021.3%6.1%15.4%12.2%21.6%37.5%4.0%13.3K-170.5K-1.3K2.1097.71N/AN/A51107207170
2016-03-23$28.40$30.0019.9%5.7%16.4%8.0%24.0%-0.8%2.1%12.3K-147.8K-1.5K2.10102.89N/AN/A51107232170
2016-03-24$28.39$30.0019.8%5.7%14.9%7.7%23.6%-0.5%4.1%10.6K-125.5K-1.4K2.10101.76N/AN/A51107232170
2016-03-28$28.53$30.0021.3%6.1%14.2%12.3%25.3%-1.3%1.2%11.9K-143.2K-1.4K1.41103.05N/AN/A76107232170
2016-03-29$29.17$30.0023.3%6.7%16.1%17.9%24.3%2.7%2.4%20.3K-243.0K-1.5K1.4199.30N/AN/A76107257170
2016-03-30$29.63$30.0021.0%6.0%16.8%11.5%21.0%43.6%4.5%26.8K-300.8K-1.5K1.4197.73N/AN/A76107257170
2016-03-31$30.01$30.0021.6%6.2%17.2%13.0%21.6%2.4%4.9%27.9K-367.2K-1.5K1.4196.40N/AN/A76107257170