HI Options History — March 2017

In March 2017, HI traded between $35.40 and $37.35. ATM implied volatility averaged 29.5%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 10.7% (HV 20d: 18.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2017-03-06: Highest Volume — 196 contracts
  • 2017-03-03: Largest IV spike — 83.3% change
  • 2017-03-13: Highest IV Rank — 50.0%
  • 2017-03-03: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.35$35.40$37.35$37.35$35.88
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV29.5%18.6%53.0%26.3%23.9%
Expected Move7.0%5.3%13.4%7.5%6.9%
HV 20d18.8%15.3%27.1%26.9%15.3%
HV 60d20.1%18.9%21.3%21.2%20.1%
IV Rank19.3%5.1%50.0%15.1%12.1%
IV Percentile64.4%7.9%99.6%71.4%51.6%
Term Structure0.4%-46.8%13.1%-7.0%3.4%
VWIV24.6%20.2%34.4%27.9%24.8%
Skew 25d2.9%-9.9%12.4%8.7%1.6%
Skew 10d8.8%-9.8%49.0%12.5%0.5%
Call IV 25d21.5%15.4%35.9%21.1%22.1%
Put IV 25d24.4%20.5%31.9%29.9%23.8%
Bid-Ask Spread %100.9488.23118.66101.2694.70
Gamma HHI0.590.490.680.650.53
Net GEX42.2K33.4K52.1K50.1K36.5K
Net DEX-502.7K-660.7K-351.8K-655.7K-430.2K
Net VEX-3.3K-3.9K-2.6K-3.9K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.290.460.290.46
Total Volume179.957162196180163
Total OI668.87651685670652

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$37.35$35.0026.3%7.5%26.9%15.1%27.9%8.7%-7.0%50.1K-655.7K-3.9K0.29101.26N/AN/A13941562108
2017-03-02$36.90$35.0025.5%7.3%27.1%14.1%27.4%6.4%-0.1%48.1K-660.7K-3.9K0.3997.49N/AN/A13954563108
2017-03-03$36.90$35.0046.8%13.4%21.7%41.9%33.8%-9.9%-46.8%48.5K-575.9K-3.8K0.39106.31N/AN/A13954563121
2017-03-06$36.90$35.0028.8%6.3%20.9%18.4%21.4%2.1%2.8%46.2K-603.7K-3.8K0.3899.20N/AN/A14254563121
2017-03-07$36.85$35.0030.2%8.9%19.2%20.3%25.7%1.6%-13.2%45.8K-562.1K-3.6K0.37112.76N/AN/A14252563121
2017-03-08$36.40$35.0035.7%6.1%18.5%27.4%24.4%2.9%4.4%43.6K-516.6K-3.5K0.37103.46N/AN/A14252563121
2017-03-09$36.13$35.0043.0%6.2%18.5%36.9%22.0%3.5%2.4%41.2K-471.9K-3.5K0.37105.25N/AN/A14252563121
2017-03-10$36.42$35.0039.4%6.2%18.2%32.2%21.4%4.8%2.4%43.5K-521.4K-3.4K0.37108.13N/AN/A14252563121
2017-03-13$36.70$35.0053.0%5.5%17.6%50.0%20.5%12.4%7.9%41.6K-504.7K-3.4K0.37106.26N/AN/A14252563121
2017-03-14$36.63$35.0043.6%6.5%17.3%37.7%22.1%5.1%2.1%45.0K-550.2K-3.5K0.37100.43N/AN/A14252563121
2017-03-15$36.90$35.0023.5%6.7%17.5%11.5%23.1%6.5%-1.3%46.6K-597.1K-3.5K0.36118.66N/AN/A14352563121
2017-03-16$36.92$35.0018.6%5.3%17.3%5.1%20.4%-1.0%7.1%52.1K-584.6K-3.5K0.36106.91N/AN/A14352564121
2017-03-17$36.88$35.0020.0%5.7%17.3%6.9%20.2%6.7%5.9%48.9K-607.6K-3.6K0.36100.64N/AN/A14352564121
2017-03-20$36.88$35.0020.0%5.7%15.9%6.8%21.5%7.1%13.1%44.9K-577.7K-3.4K0.4593.72N/AN/A11250534117
2017-03-21$35.75$35.0025.6%7.3%18.7%14.2%26.5%5.1%10.9%40.3K-437.2K-2.9K0.4593.79N/AN/A11250534117
2017-03-22$35.40$35.0023.4%6.7%18.9%11.3%23.9%0.4%1.8%33.6K-370.7K-2.9K0.4692.21N/AN/A11251534117
2017-03-23$35.67$35.0023.2%6.7%19.2%11.1%23.4%-7.0%1.5%36.3K-384.4K-2.9K0.46106.92N/AN/A11251534118
2017-03-24$35.85$35.0023.2%6.7%18.8%11.1%23.6%1.6%2.5%36.2K-416.6K-2.9K0.4691.94N/AN/A11251534118
2017-03-27$35.40$35.0023.4%6.7%19.0%11.3%24.2%-0.1%3.6%33.4K-351.8K-2.7K0.4698.15N/AN/A11251534118
2017-03-28$35.75$35.0025.4%7.3%18.0%14.0%25.7%0.3%1.0%34.6K-377.7K-2.8K0.4688.23N/AN/A11251534118
2017-03-29$35.78$35.0027.4%7.9%15.7%16.6%27.2%0.1%-0.9%36.2K-382.1K-2.6K0.4691.71N/AN/A11251534118
2017-03-30$35.90$35.0028.9%8.3%15.3%18.5%34.4%7.5%5.6%37.1K-421.5K-2.8K0.46103.50N/AN/A11251534118
2017-03-31$35.88$35.0023.9%6.9%15.3%12.1%24.8%1.6%3.4%36.5K-430.2K-2.8K0.4694.70N/AN/A11251534118