HLIT Options History — January 2007

In January 2007, HLIT traded between $7.17 and $9.05. ATM implied volatility averaged 61.2%. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 10.6% (HV 20d: 50.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-01-18: Highest Volume — 5,642 contracts
  • 2007-01-11: Largest IV spike — 27.4% change
  • 2007-01-31: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.17$7.17$9.05$7.28$9.05
Max Pain$7.25$5.00$7.50$5.00$7.50
ATM IV61.2%46.1%73.3%55.2%73.3%
Expected Move18.0%13.7%21.0%15.8%21.0%
HV 20d50.6%48.0%53.3%53.3%48.0%
Term Structure-9.5%-19.3%8.0%-3.8%-17.9%
VWIV62.0%47.6%69.1%55.3%69.1%
Skew 25d12.4%1.9%72.9%72.9%4.7%
Skew 10d27.1%-6.0%109.2%104.6%-2.2%
Call IV 25d53.3%43.2%68.0%59.1%43.2%
Put IV 25d65.7%47.5%132.0%132.0%47.9%
Bid-Ask Spread %21.5611.4133.8217.3126.10
Gamma HHI0.540.480.650.590.52
Net GEX28.3K-8.5K62.4K49.9K28.6K
Net DEX-3.3M-5.8M-1.2M-2.2M-3.4M
Net VEX-16.0K-22.1K-10.2K-10.2K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.004.350.130.26
Total Volume1,186.41545,6425861,538
Total OI18,885.215,46526,30317,05117,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$7.28$5.0055.2%15.8%0.0%0.0%55.3%72.9%-3.8%49.9K-2.2M-10.2K0.1317.31N/AN/A5196713,1943,857
2007-01-04$7.48$5.0047.9%13.7%0.0%0.0%47.6%69.0%8.0%59.0K-2.7M-11.0K0.1822.44N/AN/A84515313,5583,856
2007-01-05$7.28$7.5054.4%15.8%0.0%0.0%55.2%6.5%-3.4%62.4K-2.5M-10.8K1.2315.67N/AN/A22027014,0553,879
2007-01-08$7.19$7.5054.2%16.7%0.0%0.0%0.0%4.0%-3.7%59.5K-2.3M-10.6K0.1413.39N/AN/A3685014,2174,049
2007-01-09$7.17$7.5055.4%17.6%0.0%0.0%61.6%4.2%-6.8%57.0K-2.2M-10.4K1.0813.79N/AN/A1,6641,79814,2924,089
2007-01-10$7.35$7.5046.1%18.4%0.0%0.0%63.3%9.0%-7.3%38.0K-2.2M-12.4K0.0611.41N/AN/A3302114,9295,561
2007-01-11$8.16$7.5058.7%16.8%0.0%0.0%59.5%13.4%-3.4%45.7K-5.5M-11.4K2.3131.58N/AN/A9992,30415,1555,519
2007-01-12$8.35$7.5063.4%18.2%0.0%0.0%61.5%10.8%-11.4%25.3K-5.6M-12.2K0.0217.67N/AN/A8452015,0436,697
2007-01-16$8.31$7.5062.4%17.9%0.0%0.0%60.1%2.2%-11.0%28.9K-5.8M-12.0K0.2118.37N/AN/A3838015,3256,697
2007-01-17$8.17$7.5061.9%17.7%0.0%0.0%0.0%3.5%-9.7%30.2K-5.2M-12.6K0.0020.35N/AN/A760015,3286,650
2007-01-18$8.14$7.5065.8%18.9%0.0%0.0%63.5%3.5%-11.0%31.2K-5.4M-12.7K4.3518.14N/AN/A1,0544,58815,5766,650
2007-01-19$8.18$7.5069.0%19.8%0.0%0.0%66.7%4.9%-14.3%-8.5K-4.1M-22.1K0.3325.56N/AN/A32610615,26811,035
2007-01-22$8.31$7.5070.6%20.3%0.0%0.0%63.0%14.7%-11.7%-5.7K-1.2M-22.0K0.2325.60N/AN/A390917,1378,328
2007-01-23$8.68$7.5069.6%19.9%0.0%0.0%68.1%3.6%-13.9%75-2.2M-21.5K0.2128.28N/AN/A9852097,4178,401
2007-01-24$8.86$7.5053.2%15.3%0.0%0.0%59.8%5.9%-8.4%4.3K-2.7M-20.9K0.0119.15N/AN/A71257,5878,570
2007-01-25$8.59$7.5063.4%18.2%53.3%0.0%60.3%2.1%-7.2%6.6K-2.3M-21.6K0.0033.82N/AN/A15408,0648,575
2007-01-26$8.87$7.5061.5%17.6%52.1%0.0%67.0%7.1%-15.5%11.7K-2.7M-21.4K0.3622.76N/AN/A5762058,1308,575
2007-01-29$8.99$7.5069.1%19.8%50.5%0.0%68.6%4.2%-19.1%19.9K-3.1M-21.6K0.2022.84N/AN/A5491118,5278,697
2007-01-30$8.95$7.5069.1%19.8%49.4%0.0%66.0%1.9%-19.3%22.0K-3.0M-21.5K0.0126.93N/AN/A42768,6808,805
2007-01-31$9.05$7.5073.3%21.0%48.0%0.0%69.1%4.7%-17.9%28.6K-3.4M-21.7K0.2626.10N/AN/A1,2213178,9298,803