HI Options History — December 2016

In December 2016, HI traded between $34.95 and $38.45. ATM implied volatility averaged 22.2%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.6% (HV 20d: 25.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2016-12-15: Highest Volume — 528 contracts
  • 2016-12-14: Largest IV drop — 51.2% change
  • 2016-12-13: Highest IV Rank — 33.6%
  • 2016-12-19: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.29$34.95$38.45$34.95$38.23
Max Pain$34.52$30.00$35.00$30.00$35.00
ATM IV22.2%15.9%40.8%21.7%15.9%
Expected Move5.4%3.5%6.9%6.2%4.6%
HV 20d25.8%18.1%36.0%36.0%18.1%
HV 60d26.0%25.4%26.5%26.4%25.4%
IV Rank9.2%1.0%33.6%8.6%1.0%
IV Percentile28.9%0.4%98.4%17.5%0.4%
Term Structure4.1%-2.2%11.4%-2.2%9.1%
VWIV20.5%16.5%28.1%22.1%21.2%
Skew 25d10.5%-1.2%46.6%2.0%2.7%
Skew 10d23.5%-0.2%71.1%2.9%4.0%
Call IV 25d19.3%11.9%32.8%24.9%16.3%
Put IV 25d29.9%18.7%75.2%26.9%19.0%
Bid-Ask Spread %102.3191.89113.0391.89108.36
Gamma HHI0.770.530.960.940.77
Net GEX46.1K22.2K76.8K73.6K43.6K
Net DEX-957.6K-1.4M-483.9K-483.9K-960.1K
Net VEX-3.8K-5.6K-1.4K-1.8K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.141.761.760.14
Total Volume353.143105528105498
Total OI641.571507812507697

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$34.95$30.0021.7%6.2%36.0%8.6%22.1%2.0%-2.2%73.6K-483.9K-1.8K1.7691.89N/AN/A3867341166
2016-12-02$35.17$30.0021.7%6.2%35.4%8.6%22.0%1.0%-2.2%76.1K-508.5K-1.8K1.6392.08N/AN/A4167341176
2016-12-05$35.45$35.0023.6%5.8%35.1%11.1%20.1%8.3%1.4%76.6K-613.2K-1.7K1.6394.86N/AN/A4167344176
2016-12-06$35.60$35.0023.9%5.8%34.6%11.4%20.1%8.4%1.3%76.8K-657.4K-1.7K1.6394.82N/AN/A4167344176
2016-12-07$36.85$35.0027.4%6.0%35.7%16.0%20.8%7.5%2.2%44.4K-905.8K-1.4K0.4099.79N/AN/A16867344176
2016-12-08$37.30$35.0026.9%5.1%33.6%15.4%20.1%7.7%7.2%40.3K-1.3M-2.5K0.50100.14N/AN/A13367483176
2016-12-09$37.40$35.0029.5%6.1%29.6%18.8%21.5%7.3%1.2%38.1K-1.4M-2.6K0.50100.94N/AN/A13367493176
2016-12-12$36.98$35.0030.4%5.7%27.9%19.9%19.7%4.2%3.4%35.0K-1.4M-2.6K0.50102.93N/AN/A13367493176
2016-12-13$37.73$35.0040.8%3.5%21.9%33.6%19.6%8.1%11.4%22.2K-1.4M-2.4K0.28106.64N/AN/A24267473176
2016-12-14$37.10$35.0019.9%5.7%23.4%6.2%20.1%5.3%2.8%22.8K-833.0K-3.2K0.28100.92N/AN/A24267407176
2016-12-15$37.45$35.0018.1%5.2%23.3%3.8%20.3%1.6%8.3%22.4K-879.9K-3.2K0.15103.07N/AN/A46167407176
2016-12-16$37.28$35.0018.4%5.3%23.3%4.2%21.0%1.1%8.9%37.4K-1.1M-5.6K0.15101.17N/AN/A46167636176
2016-12-19$37.92$35.0024.1%6.9%22.7%11.7%20.4%40.9%2.5%46.2K-861.1K-5.4K0.14113.03N/AN/A43559535158
2016-12-20$38.15$35.0016.5%4.7%22.7%1.7%17.9%4.7%3.9%45.1K-976.1K-5.4K0.14102.54N/AN/A43563535158
2016-12-21$38.45$35.0016.5%4.7%20.2%1.7%16.5%46.2%4.7%45.4K-990.8K-5.5K0.14105.79N/AN/A43563535162
2016-12-22$38.24$35.0019.4%5.6%20.4%5.6%18.0%46.6%1.9%44.0K-962.9K-5.4K0.14107.86N/AN/A43563535162
2016-12-23$38.20$35.0018.9%5.4%20.4%4.8%28.1%9.0%4.4%41.6K-913.3K-5.6K0.14105.18N/AN/A43563535162
2016-12-27$38.38$35.0017.8%5.1%20.1%3.5%18.3%8.2%6.4%45.6K-989.6K-5.4K0.14106.34N/AN/A43563535162
2016-12-28$38.17$35.0016.7%4.8%19.3%2.0%19.7%1.5%7.0%46.2K-1.0M-5.4K0.14105.51N/AN/A43563535162
2016-12-29$38.15$35.0018.5%5.3%18.2%4.4%21.9%-1.2%1.8%45.5K-987.8K-5.4K0.14104.66N/AN/A43563535162
2016-12-30$38.23$35.0015.9%4.6%18.1%1.0%21.2%2.7%9.1%43.6K-960.1K-5.5K0.14108.36N/AN/A43563535162