HLIT Options History — February 2007

Name: HLIT Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, HLIT traded between $8.74 and $9.35. ATM implied volatility averaged 39.7%. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 5.6% (HV 20d: 34.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.31.

Notable Days

2007-02-26: Highest Volume — 924 contracts
2007-02-27: Largest IV drop — 41.8% change
2007-02-01: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.06	$8.74	$9.35	$8.99	$8.81
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	39.7%	26.1%	52.8%	52.8%	29.1%
Expected Move	11.2%	7.5%	15.1%	15.1%	8.3%
HV 20d	34.1%	24.9%	47.1%	47.1%	28.4%
Term Structure	2.4%	-6.1%	19.3%	-6.1%	17.8%
VWIV	40.4%	24.7%	54.2%	53.0%	29.1%
Skew 25d	0.2%	-11.6%	12.5%	5.3%	-0.3%
Skew 10d	1.9%	-13.9%	18.4%	13.9%	-4.4%
Call IV 25d	42.7%	38.4%	47.4%	45.4%	43.5%
Put IV 25d	42.9%	31.9%	51.1%	50.8%	43.2%
Bid-Ask Spread %	21.38	10.77	41.64	22.79	41.64
Gamma HHI	0.53	0.49	0.59	0.54	0.49
Net GEX	33.3K	15.2K	58.1K	41.9K	21.5K
Net DEX	-2.6M	-3.8M	-1.6M	-3.4M	-1.8M
Net VEX	-18.7K	-21.3K	-17.2K	-21.3K	-18.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	2.19	0.33	0.00
Total Volume	362.263	65	924	829	65
Total OI	16,322.895	13,582	18,598	18,598	14,420

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-02-01	$8.99	$7.50	52.8%	15.1%	47.1%	0.0%	53.0%	5.3%	-6.1%	41.9K	-3.4M	-21.3K	0.33	22.79	N/A	N/A	624	205	9,629	8,969
2007-02-02	$9.18	$7.50	51.4%	13.3%	46.9%	0.0%	46.5%	7.4%	-2.2%	48.6K	-3.8M	-20.5K	0.09	25.15	N/A	N/A	669	61	9,358	8,855
2007-02-05	$9.23	$7.50	52.6%	13.4%	44.8%	0.0%	35.2%	3.8%	-3.9%	48.4K	-3.6M	-20.1K	0.43	28.80	N/A	N/A	520	225	9,162	8,900
2007-02-06	$9.25	$7.50	41.3%	12.7%	44.1%	0.0%	44.3%	-7.4%	-0.1%	49.7K	-3.2M	-19.9K	0.71	14.41	N/A	N/A	98	70	8,718	8,825
2007-02-07	$9.35	$7.50	51.1%	12.6%	43.7%	0.0%	0.0%	-5.5%	-0.5%	58.1K	-3.5M	-19.2K	0.98	18.02	N/A	N/A	254	249	8,722	8,761
2007-02-08	$9.28	$7.50	43.0%	12.3%	44.1%	0.0%	43.2%	-5.5%	0.4%	52.9K	-3.4M	-19.1K	0.15	14.96	N/A	N/A	267	40	8,635	8,816
2007-02-09	$9.11	$7.50	44.4%	12.7%	28.6%	0.0%	44.7%	2.3%	-3.0%	39.0K	-2.9M	-18.8K	0.00	19.70	N/A	N/A	230	1	8,719	8,817
2007-02-12	$8.86	$7.50	37.9%	10.9%	30.2%	0.0%	29.6%	-0.1%	-3.4%	27.1K	-2.5M	-18.5K	0.00	22.74	N/A	N/A	73	0	8,631	8,816
2007-02-13	$8.74	$7.50	39.8%	11.4%	30.6%	0.0%	0.0%	12.5%	19.3%	15.2K	-2.1M	-18.4K	0.12	24.52	N/A	N/A	273	32	8,675	8,816
2007-02-14	$8.85	$7.50	33.8%	9.7%	29.9%	0.0%	54.2%	2.1%	3.7%	17.3K	-2.4M	-18.4K	2.19	24.23	N/A	N/A	64	140	8,769	8,800
2007-02-15	$9.01	$7.50	32.4%	9.3%	30.2%	0.0%	38.6%	-6.5%	4.5%	20.6K	-2.5M	-18.5K	0.06	24.73	N/A	N/A	168	10	8,832	8,790
2007-02-16	$8.80	$7.50	37.9%	10.9%	31.8%	0.0%	0.0%	-11.6%	-0.3%	15.5K	-2.3M	-18.3K	0.01	28.03	N/A	N/A	122	1	8,822	8,797
2007-02-20	$8.92	$7.50	35.1%	10.1%	31.7%	0.0%	42.0%	4.1%	-1.8%	19.6K	-1.6M	-18.3K	0.08	24.56	N/A	N/A	474	40	6,640	6,942
2007-02-21	$9.16	$7.50	30.6%	8.8%	29.4%	0.0%	0.0%	3.0%	3.8%	28.6K	-2.1M	-17.2K	0.05	11.01	N/A	N/A	319	17	6,723	6,975
2007-02-22	$9.18	$7.50	38.3%	11.0%	28.6%	0.0%	0.0%	-2.3%	1.7%	31.9K	-2.3M	-17.3K	0.00	24.75	N/A	N/A	116	0	6,902	6,958
2007-02-23	$9.10	$7.50	31.9%	9.1%	26.2%	0.0%	0.0%	4.4%	1.5%	31.1K	-2.1M	-17.6K	0.60	10.77	N/A	N/A	70	42	6,866	6,958
2007-02-26	$9.30	$7.50	44.8%	12.8%	24.9%	0.0%	0.0%	-4.6%	-3.9%	36.1K	-2.5M	-17.2K	0.12	14.16	N/A	N/A	824	100	6,826	6,954
2007-02-27	$9.01	$7.50	26.1%	7.5%	27.3%	0.0%	24.7%	3.2%	17.7%	29.3K	-2.1M	-17.9K	0.00	11.31	N/A	N/A	420	0	7,283	7,054
2007-02-28	$8.81	$7.50	29.1%	8.3%	28.4%	0.0%	29.1%	-0.3%	17.8%	21.5K	-1.8M	-18.4K	0.00	41.64	N/A	N/A	65	0	7,366	7,054