HI Options History — October 2016

In October 2016, HI traded between $30.15 and $31.84. ATM implied volatility averaged 24.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.7% (HV 20d: 18.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2016-10-12: Highest Volume — 242 contracts
  • 2016-10-05: Largest IV spike — 27.8% change
  • 2016-10-31: Highest IV Rank — 17.2%
  • 2016-10-31: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.91$30.15$31.84$31.58$30.40
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV24.7%18.6%28.3%20.8%28.3%
Expected Move7.3%5.9%8.1%6.0%8.1%
HV 20d18.0%13.1%21.9%21.3%13.1%
HV 60d16.4%15.4%16.7%16.4%15.4%
IV Rank12.4%4.4%17.2%7.3%17.2%
IV Percentile44.6%4.0%69.4%7.5%69.4%
Term Structure-0.8%-3.5%10.2%10.2%-1.9%
VWIV23.7%19.8%28.1%23.4%28.1%
Skew 25d4.6%0.1%16.2%4.9%3.6%
Skew 10d11.8%-0.1%45.0%39.6%7.0%
Call IV 25d23.4%19.8%27.9%19.8%27.9%
Put IV 25d28.0%24.7%40.3%24.7%31.5%
Bid-Ask Spread %97.5992.88104.00102.7198.21
Gamma HHI0.530.360.910.470.60
Net GEX843-7.8K8.2K2.8K-7.8K
Net DEX-17.6K-94.0K91.0K-66.3K85.7K
Net VEX-540-676-393-393-642
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.257.627.620.32
Total Volume188.619112242112150
Total OI351.095202443292230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$31.58$30.0020.8%6.0%21.3%7.3%23.4%4.9%10.2%2.8K-66.3K-3937.62102.71N/AN/A1399182110
2016-10-04$31.23$30.0020.7%5.9%21.6%7.2%23.2%0.1%10.0%2.6K-53.8K-4146.6398.75N/AN/A16106182113
2016-10-05$31.52$30.0026.4%7.6%21.9%14.7%26.5%2.9%0.8%1.7K-60.6K-4480.91104.00N/AN/A116106187122
2016-10-06$31.84$30.0023.7%7.5%21.9%11.2%25.2%2.1%-1.2%8.2K-90.4K-5600.9192.88N/AN/A116106287122
2016-10-07$31.55$30.0018.6%7.2%20.7%4.4%26.1%0.1%-0.7%5.3K-90.5K-4870.9195.22N/AN/A116106287122
2016-10-10$31.50$30.0019.9%7.6%20.7%6.1%19.8%6.5%-2.6%5.8K-94.0K-4860.9197.03N/AN/A116106287122
2016-10-11$30.91$30.0021.9%7.5%19.6%8.8%21.8%5.1%-3.5%5.3K-49.5K-4820.9196.34N/AN/A116106287122
2016-10-12$31.00$30.0025.9%7.4%19.1%14.0%21.7%5.1%-2.7%5.0K-57.8K-4711.0996.23N/AN/A116126287122
2016-10-13$30.58$30.0024.7%7.1%19.5%12.5%22.6%4.2%-1.9%3.7K-18.5K-5961.0996.54N/AN/A116126287152
2016-10-14$30.76$30.0025.4%7.3%19.3%13.4%20.8%4.9%-2.4%3.9K-28.3K-5850.7897.44N/AN/A11691287152
2016-10-17$30.86$30.0026.3%7.5%18.9%14.6%21.2%5.8%-2.2%5.0K-33.6K-5730.7898.29N/AN/A11691287156
2016-10-18$30.76$30.0025.7%7.4%19.0%13.8%21.4%5.4%-2.9%4.5K-31.8K-5570.7897.71N/AN/A11691287156
2016-10-19$30.82$30.0025.6%7.3%18.5%13.7%21.6%5.3%-2.1%6.0K-43.5K-5390.7897.50N/AN/A11691287156
2016-10-20$30.60$30.0024.8%7.1%15.9%12.6%23.0%4.3%-2.1%2.1K-48.2K-5110.7895.91N/AN/A11691287156
2016-10-21$30.58$30.0026.0%7.5%15.6%14.2%23.7%4.0%-3.1%-4.3K-54.9K-5010.7896.25N/AN/A11691287156
2016-10-24$30.75$30.0026.9%7.7%15.6%15.4%24.2%5.1%-2.0%-4.1K42.1K-4780.2598.03N/AN/A1132812082
2016-10-25$30.70$30.0025.9%7.4%15.6%14.1%24.6%16.2%-0.9%-5.9K66.2K-6200.3297.38N/AN/A1143612097
2016-10-26$30.55$30.0025.9%7.4%13.4%14.1%24.9%4.4%-1.1%-7.1K77.4K-6760.3298.34N/AN/A11436121109
2016-10-27$30.15$30.0027.3%7.8%13.6%15.9%26.6%3.5%-2.7%-7.5K91.0K-6590.3297.85N/AN/A11436121109
2016-10-28$30.40$30.0027.4%7.9%13.1%16.1%26.8%3.7%-1.9%-7.5K89.4K-6650.3296.73N/AN/A11436121109
2016-10-31$30.40$30.0028.3%8.1%13.1%17.2%28.1%3.6%-1.9%-7.8K85.7K-6420.3298.21N/AN/A11436121109