HI Options History — January 2017

In January 2017, HI traded between $36.50 and $38.65. ATM implied volatility averaged 25.9%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 11.9% (HV 20d: 14.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2017-01-11: Highest Volume — 519 contracts
  • 2017-01-06: Largest IV spike — 145.2% change
  • 2017-01-30: Highest IV Rank — 39.7%
  • 2017-01-30: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.77$36.50$38.65$38.25$36.67
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.9%14.7%45.1%23.0%24.9%
Expected Move7.2%4.2%12.9%6.6%7.1%
HV 20d14.0%10.1%18.4%18.1%16.9%
HV 60d25.3%24.9%26.0%25.4%25.8%
IV Rank14.6%0.0%39.7%10.3%13.3%
IV Percentile48.5%0.0%99.6%36.1%59.1%
Term Structure-2.1%-21.6%12.3%9.0%4.4%
VWIV27.0%20.9%32.6%22.1%28.0%
Skew 25d6.4%-15.6%67.6%7.5%4.7%
Skew 10d12.1%1.7%40.8%3.0%38.1%
Call IV 25d24.1%12.1%46.2%16.0%23.5%
Put IV 25d30.6%22.5%96.7%23.4%28.2%
Bid-Ask Spread %108.2797.17131.71111.78102.51
Gamma HHI0.740.650.810.780.65
Net GEX44.0K37.5K49.5K43.1K39.0K
Net DEX-852.0K-1.0M-582.7K-945.8K-582.7K
Net VEX-5.1K-5.5K-4.3K-5.4K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.130.420.160.36
Total Volume406.6144519504144
Total OI684.95634719697638

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$38.25$35.0023.0%6.6%18.1%10.3%22.1%7.5%9.0%43.1K-945.8K-5.4K0.16111.78N/AN/A43569535162
2017-01-04$38.65$35.0014.7%4.2%18.2%0.0%22.3%10.3%12.3%44.6K-989.4K-5.4K0.17105.30N/AN/A43574535173
2017-01-05$38.50$35.0016.7%6.3%18.4%2.6%27.0%4.2%-2.1%45.1K-1.0M-5.4K0.1799.65N/AN/A43574535173
2017-01-06$38.53$35.0041.0%6.1%14.5%34.3%29.2%5.6%-3.3%44.4K-981.2K-5.5K0.17112.59N/AN/A43574535173
2017-01-09$38.05$35.0021.1%5.9%14.9%8.4%27.0%3.0%-3.1%43.6K-947.6K-5.3K0.17102.91N/AN/A43574535173
2017-01-10$38.17$35.0023.3%7.2%14.9%11.2%27.3%2.3%-4.2%42.7K-922.2K-5.3K0.17100.37N/AN/A43574535173
2017-01-11$38.28$35.0024.2%6.9%14.2%12.3%27.1%3.3%-4.7%44.6K-942.9K-5.3K0.17105.75N/AN/A44574535173
2017-01-12$37.98$35.0023.7%6.8%12.8%11.8%27.5%0.6%-5.6%43.2K-912.9K-5.3K0.17109.16N/AN/A44574545173
2017-01-13$38.15$35.0033.0%9.5%11.1%23.8%22.9%-9.2%-9.4%42.9K-894.0K-5.4K0.21120.84N/AN/A34674545173
2017-01-17$37.75$35.0021.3%6.1%11.4%8.5%29.6%4.3%-1.7%45.0K-932.4K-5.2K0.21105.76N/AN/A34674546173
2017-01-18$37.95$35.0021.0%6.0%11.4%8.2%30.4%5.1%-4.1%45.1K-869.6K-5.1K0.21103.53N/AN/A34674546173
2017-01-19$37.48$35.0029.4%8.4%10.6%19.2%24.7%-4.3%-7.5%47.3K-891.2K-5.0K0.21115.05N/AN/A34674546173
2017-01-20$37.20$35.0022.4%6.4%10.6%10.1%26.6%3.9%6.1%45.8K-799.2K-4.9K0.20108.39N/AN/A34669546173
2017-01-23$37.00$35.0024.4%7.0%10.1%12.6%27.9%2.9%6.3%42.6K-679.3K-4.8K0.1397.17N/AN/A33444527107
2017-01-24$37.58$35.0024.9%7.2%11.8%13.4%32.6%16.4%5.5%46.3K-724.6K-4.8K0.13101.86N/AN/A33444527107
2017-01-25$38.13$35.0021.8%6.2%13.0%9.2%30.6%5.4%-0.1%49.5K-841.9K-4.9K0.1399.98N/AN/A33444527107
2017-01-26$37.30$35.0036.8%10.6%15.0%28.9%20.9%67.6%-21.6%37.5K-805.2K-5.1K0.13131.71N/AN/A33444527107
2017-01-27$37.35$35.0025.2%7.2%14.9%13.7%28.1%10.3%3.3%46.3K-728.6K-4.7K0.42105.47N/AN/A10644527107
2017-01-30$36.50$35.0045.1%12.9%16.8%39.7%29.0%-15.6%-21.3%41.9K-620.7K-4.5K0.36125.67N/AN/A10638527107
2017-01-31$36.67$35.0024.9%7.1%16.9%13.3%28.0%4.7%4.4%39.0K-582.7K-4.3K0.36102.51N/AN/A10638527111