HI Options History — September 2016

In September 2016, HI traded between $30.29 and $32.29. ATM implied volatility averaged 25.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.7% (HV 20d: 15.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.21.

Notable Days

  • 2016-09-08: Highest Volume — 310 contracts
  • 2016-09-13: Largest IV drop — 25.1% change
  • 2016-09-12: Highest IV Rank — 28.9%
  • 2016-09-26: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.31$30.29$32.29$31.89$31.76
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.2%18.3%37.2%22.9%20.7%
Expected Move6.5%5.3%7.6%6.6%5.9%
HV 20d15.5%9.9%21.3%11.4%21.3%
HV 60d21.6%17.2%25.1%24.3%17.6%
IV Rank13.2%4.1%28.9%10.1%7.3%
IV Percentile37.2%3.2%92.1%21.8%7.1%
Term Structure1.5%-10.2%11.8%-5.3%8.7%
VWIV23.2%18.1%27.9%18.1%23.0%
Skew 25d3.8%-6.0%13.9%-6.0%5.5%
Skew 10d13.0%2.8%40.6%3.9%37.2%
Call IV 25d20.1%16.2%25.9%24.8%18.5%
Put IV 25d23.9%18.8%33.9%18.8%23.9%
Bid-Ask Spread %99.0994.43117.31105.56102.67
Gamma HHI0.600.430.910.540.43
Net GEX-7.8K-60.4K8.7K-8.4K3.0K
Net DEX-40.1K-101.9K97.7K-45.0K-71.9K
Net VEX-544-1.0K-350-1.0K-398
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.213.587.693.767.69
Total Volume20596310295113
Total OI366.524264457457292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$31.89$30.0022.9%6.6%11.4%10.1%18.1%-6.0%-5.3%-8.4K-45.0K-1.0K3.76105.56N/AN/A62233208249
2016-09-02$32.04$30.0025.6%7.3%9.9%13.6%19.7%-5.6%-9.6%-9.8K-20.5K-8603.76106.16N/AN/A62233208249
2016-09-06$31.87$30.0030.0%6.4%9.9%19.5%24.4%0.9%3.0%-12.3K-8.1K-7693.7696.02N/AN/A62233208249
2016-09-07$31.99$30.0029.8%6.8%9.9%19.2%23.2%5.3%0.3%-10.6K-23.9K-7513.7697.84N/AN/A62233208249
2016-09-08$32.29$30.0035.5%6.7%10.4%26.7%23.7%7.4%1.7%-3.4K-72.2K-6933.7799.01N/AN/A65245208249
2016-09-09$31.59$30.0032.4%6.6%13.2%22.6%24.4%5.2%1.0%-16.3K2.8K-6683.5895.85N/AN/A65233211237
2016-09-12$31.45$30.0037.2%6.9%13.3%28.9%25.4%4.9%0.1%-19.3K-18.1K-5443.5895.73N/AN/A65233211232
2016-09-13$30.65$30.0027.9%6.7%15.4%16.6%24.7%3.1%-0.1%-48.1K49.2K-5413.5896.53N/AN/A65233211232
2016-09-14$30.29$30.0022.9%6.6%15.0%10.1%23.4%2.3%0.7%-60.4K97.7K-5763.5894.43N/AN/A65233211232
2016-09-15$30.58$30.0022.6%6.5%15.3%9.7%22.6%2.9%1.4%-41.7K41.8K-5203.5894.89N/AN/A65233211232
2016-09-16$30.31$30.0022.5%6.4%14.5%9.5%23.3%2.3%0.6%7.4K-63.2K-4283.6495.63N/AN/A64233211232
2016-09-19$30.66$30.0023.0%6.6%15.4%10.3%26.0%4.5%1.2%4.9K-62.6K-3706.3896.32N/AN/A138318282
2016-09-20$30.58$30.0022.1%6.3%15.2%9.1%22.6%4.0%2.9%7.3K-64.7K-4356.3897.55N/AN/A138318287
2016-09-21$30.94$30.0022.5%6.5%16.1%9.6%22.4%13.9%2.8%8.1K-74.1K-4386.3898.36N/AN/A138318287
2016-09-22$31.74$30.0020.0%5.7%19.1%6.2%21.8%7.4%9.5%5.9K-90.3K-3786.3899.37N/AN/A138318287
2016-09-23$31.43$30.0022.8%6.5%19.3%9.9%22.8%4.2%3.1%4.8K-83.0K-3706.3899.46N/AN/A138318287
2016-09-26$31.17$30.0026.4%7.6%19.3%14.7%27.9%6.0%-10.2%5.9K-83.1K-3766.38117.31N/AN/A138318287
2016-09-27$31.08$30.0023.6%6.8%19.3%11.0%25.2%3.3%2.3%4.4K-75.3K-3507.6997.49N/AN/A1310018287
2016-09-28$31.73$30.0018.3%5.3%20.9%4.1%21.3%5.8%11.8%8.7K-101.9K-4857.6996.56N/AN/A13100182105
2016-09-29$31.37$30.0021.0%6.0%21.1%7.6%21.4%2.0%5.5%5.9K-76.9K-4467.6998.21N/AN/A13100182110
2016-09-30$31.76$30.0020.7%5.9%21.3%7.3%23.0%5.5%8.7%3.0K-71.9K-3987.69102.67N/AN/A13100182110