HI Options History — September 2020

In September 2020, HI traded between $26.79 and $32.31. ATM implied volatility averaged 46.4%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 17.2% (HV 20d: 29.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2020-09-21: Highest Volume — 332 contracts
  • 2020-09-02: Largest IV spike — 97.6% change
  • 2020-09-04: Highest IV Rank — 64.3%
  • 2020-09-02: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.13$26.79$32.31$32.31$28.35
Max Pain$28.33$25.00$30.00$30.00$30.00
ATM IV46.4%26.8%107.0%54.1%30.9%
Expected Move11.9%7.7%30.7%15.5%8.9%
HV 20d29.2%23.5%37.1%30.1%36.1%
HV 60d36.7%34.2%42.3%42.3%34.7%
IV Rank22.2%8.6%64.3%27.6%11.5%
IV Percentile41.1%10.7%92.9%67.5%17.1%
Term Structure-2.9%-64.5%20.3%-32.9%3.5%
VWIV37.6%27.0%58.4%40.0%28.1%
Skew 25d5.5%-17.5%45.9%12.9%4.0%
Skew 10d6.3%-32.7%42.9%-32.7%-0.3%
Call IV 25d40.0%25.6%92.0%32.2%28.9%
Put IV 25d45.5%28.0%137.9%45.2%32.9%
Bid-Ask Spread %110.0686.70126.20112.24105.10
Gamma HHI0.370.250.570.530.31
Net GEX26.3K1.5K62.9K50.9K25.5K
Net DEX-836.8K-2.6M400.9K-2.6M-332.1K
Net VEX-7.5K-10.6K-5.3K-8.9K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0036.0036.000.00
Total Volume38.8571332374
Total OI2,346.1432,0372,4672,4292,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$32.31$30.0054.1%15.5%30.1%27.6%0.0%12.9%-32.9%50.9K-2.6M-8.9K36.00112.24N/AN/A1361,623806
2020-09-02$32.30$30.00106.9%30.7%28.5%64.2%0.0%45.9%-64.5%35.0K-2.4M-10.6K0.00122.14N/AN/A301,623841
2020-09-03$31.25$25.0074.0%13.4%25.9%41.4%40.0%1.5%2.7%40.1K-2.1M-9.8K0.00110.28N/AN/A10101,626841
2020-09-04$31.36$25.00107.0%15.5%23.5%64.3%38.0%4.4%-11.8%27.0K-2.0M-8.7K0.00116.53N/AN/A101,560841
2020-09-08$30.48$25.0079.6%16.9%24.5%45.3%53.4%23.9%1.7%35.8K-1.8M-8.7K0.00111.56N/AN/A101,560841
2020-09-09$30.62$25.0036.7%10.5%24.6%15.5%0.0%1.3%20.3%39.8K-1.8M-8.6K0.00114.08N/AN/A601,559841
2020-09-10$30.03$25.0030.0%8.6%24.8%10.8%37.9%-8.7%6.0%30.8K-1.6M-7.5K0.02116.08N/AN/A5511,556841
2020-09-11$29.63$25.0032.6%9.3%23.5%12.6%58.4%2.3%11.4%21.7K-1.3M-7.0K0.00112.37N/AN/A011,554842
2020-09-14$29.80$25.0027.8%8.0%23.8%9.3%28.8%2.8%16.4%62.9K-1.3M-7.0K0.00115.11N/AN/A3901,554841
2020-09-15$28.69$30.0026.8%7.7%26.0%8.6%27.4%0.5%17.3%32.3K-140.8K-6.5K0.3896.86N/AN/A831,312841
2020-09-16$28.80$30.0034.4%9.9%26.2%13.9%31.5%30.3%12.4%33.4K-309.1K-6.3K3.47108.37N/AN/A15521,317841
2020-09-17$28.06$30.0045.3%13.0%26.8%21.5%44.9%12.1%12.5%4.9K90.6K-6.4K0.3686.70N/AN/A1141,327893
2020-09-18$28.57$30.0033.0%9.5%28.2%12.9%41.5%-17.5%-10.4%6.1K-24.0K-6.1K0.05101.48N/AN/A2211,338893
2020-09-21$26.83$30.0031.3%9.0%34.5%11.8%41.3%-7.2%0.8%1.5K400.9K-5.3K0.0199.52N/AN/A33021,148889
2020-09-22$26.97$30.0038.1%10.9%32.6%16.4%27.0%5.0%-10.5%15.0K43.2K-7.2K0.00126.20N/AN/A4401,468891
2020-09-23$26.79$30.0032.3%9.3%32.6%12.5%35.9%-4.3%0.0%14.6K99.8K-7.1K0.44115.54N/AN/A941,493889
2020-09-24$27.10$30.0035.5%10.2%33.3%14.6%28.1%6.7%-6.7%16.3K-43.6K-7.3K0.45121.20N/AN/A1151,492893
2020-09-25$27.28$30.0041.1%11.8%33.0%18.6%29.3%18.4%-14.1%16.6K36.8K-6.7K5.00105.53N/AN/A3151,492895
2020-09-28$28.34$30.0041.6%11.9%37.1%18.9%45.8%-9.9%-11.7%23.7K-318.6K-7.7K0.08102.25N/AN/A1311,494910
2020-09-29$28.20$30.0034.6%9.9%36.6%14.0%40.1%-9.4%-3.3%18.8K-228.4K-7.5K0.00112.10N/AN/A1401,485910
2020-09-30$28.35$30.0030.9%8.9%36.1%11.5%28.1%4.0%3.5%25.5K-332.1K-7.5K0.00105.10N/AN/A401,498910