HI Options History — November 2016

In November 2016, HI traded between $29.10 and $36.30. ATM implied volatility averaged 25.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.0% (HV 20d: 28.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2016-11-17: Highest Volume — 302 contracts
  • 2016-11-09: Largest IV drop — 27.2% change
  • 2016-11-08: Highest IV Rank — 29.2%
  • 2016-11-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.17$29.10$36.30$29.85$34.98
Max Pain$30.24$30.00$35.00$30.00$30.00
ATM IV25.6%20.4%37.4%29.9%21.5%
Expected Move7.0%5.9%8.6%8.6%6.2%
HV 20d28.6%12.9%37.0%14.0%36.7%
HV 60d22.4%15.8%26.4%15.8%26.4%
IV Rank13.6%6.9%29.2%19.3%8.3%
IV Percentile44.4%7.1%92.5%77.8%15.1%
Term Structure-1.8%-6.5%2.0%-3.3%-1.7%
VWIV25.5%20.5%39.1%30.0%22.0%
Skew 25d4.5%-1.8%29.4%0.3%-0.2%
Skew 10d7.6%-8.7%43.0%0.9%-0.6%
Call IV 25d23.3%19.3%30.9%23.6%24.4%
Put IV 25d27.8%22.3%50.4%23.9%24.2%
Bid-Ask Spread %92.3066.74100.5396.8183.49
Gamma HHI0.740.420.950.610.94
Net GEX27.8K-9.3K71.7K-8.0K71.7K
Net DEX-318.4K-829.6K125.6K105.9K-472.4K
Net VEX-1.1K-1.8K-647-653-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.132.250.391.74
Total Volume147.38133302159104
Total OI393.667230642230511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$29.85$30.0029.9%8.6%14.0%19.3%30.0%0.3%-3.3%-8.0K105.9K-6530.3996.81N/AN/A11445121109
2016-11-02$29.45$30.0029.0%8.3%13.8%18.2%29.1%3.0%-3.5%-9.3K125.6K-6470.2899.34N/AN/A16345121115
2016-11-03$29.18$30.0028.9%7.4%13.0%18.0%25.9%-1.8%-2.2%-51493.4K-7540.2896.16N/AN/A16345171115
2016-11-04$29.10$30.0031.2%7.3%12.9%21.0%25.6%-0.9%-1.5%-26184.8K-7470.3496.03N/AN/A16355171115
2016-11-07$29.85$30.0034.5%7.6%16.6%25.3%26.5%0.7%-2.2%-3.9K83.9K-7880.4496.68N/AN/A12555171136
2016-11-08$30.43$30.0037.4%7.7%17.2%29.2%26.8%3.8%-2.7%-5.9K44.6K-8290.2895.81N/AN/A12535181157
2016-11-09$31.73$30.0027.3%7.8%22.9%15.8%27.2%8.1%-0.1%-4.1K-83.2K-7000.2897.35N/AN/A12535181157
2016-11-10$33.38$30.0023.2%6.6%28.1%10.5%22.0%6.9%0.3%13.7K-187.1K-8551.2092.13N/AN/A1518181157
2016-11-11$34.60$30.0026.1%7.5%30.3%14.4%39.1%10.9%-1.1%24.8K-348.9K-8242.2586.62N/AN/A1227189163
2016-11-14$33.08$30.0027.6%7.9%35.3%16.2%31.3%0.0%-6.5%13.9K-203.2K-7090.3892.32N/AN/A7227190153
2016-11-15$33.15$30.0023.7%6.8%35.2%11.2%29.0%1.6%-2.7%14.4K-201.9K-7270.3981.98N/AN/A8433202153
2016-11-16$33.55$30.0023.4%6.7%35.3%10.8%24.9%9.3%0.3%20.8K-261.4K-7590.3066.74N/AN/A13139218167
2016-11-17$34.05$35.0021.7%6.2%35.2%8.5%21.9%10.3%2.0%45.4K-360.0K-9570.1792.00N/AN/A25943281173
2016-11-18$34.85$30.0020.4%5.9%35.7%6.9%20.5%29.4%0.6%58.8K-683.6K-1.3K0.1394.54N/AN/A26834469173
2016-11-21$35.03$30.0020.7%5.9%35.7%7.2%21.7%2.1%-1.8%64.5K-546.6K-1.4K0.8498.38N/AN/A5647306101
2016-11-22$36.20$30.0021.8%6.3%36.7%8.7%21.9%3.2%-1.9%57.8K-822.1K-1.5K0.98100.53N/AN/A5251339121
2016-11-23$36.30$30.0023.0%6.6%36.5%10.2%23.1%3.9%-3.0%50.6K-829.6K-1.6K0.9892.76N/AN/A5251341145
2016-11-25$36.25$30.0021.9%6.3%35.8%8.8%22.0%2.1%-2.6%53.9K-822.1K-1.7K1.1794.73N/AN/A5261341155
2016-11-28$36.00$30.0022.4%6.4%36.2%9.4%22.5%1.4%-3.1%56.4K-780.5K-1.7K1.6193.30N/AN/A4166341165
2016-11-29$35.50$30.0021.4%6.1%37.0%8.2%21.9%1.2%-1.2%68.9K-621.1K-1.8K1.6190.51N/AN/A4166341170
2016-11-30$34.98$30.0021.5%6.2%36.7%8.3%22.0%-0.2%-1.7%71.7K-472.4K-1.8K1.7483.49N/AN/A3866341170