HLIT Options History — March 2007

In March 2007, HLIT traded between $9.17 and $11.02. ATM implied volatility averaged 47.0%. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 1.2% (HV 20d: 48.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2007-03-21: Highest Volume — 4,290 contracts
  • 2007-03-12: Largest IV spike — 29.1% change
  • 2007-03-02: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.09$9.17$11.02$9.41$9.82
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV47.0%39.0%65.8%45.8%40.7%
Expected Move12.9%11.2%15.0%13.1%11.7%
HV 20d48.2%36.9%53.2%36.9%47.4%
HV 60d45.0%43.8%46.8%44.1%43.8%
Term Structure2.6%-4.5%10.0%-0.3%8.8%
VWIV45.1%39.0%52.8%46.2%40.7%
Skew 25d2.6%-9.5%22.9%5.3%3.3%
Skew 10d3.5%-16.8%36.7%3.2%5.6%
Call IV 25d43.2%31.2%50.2%42.2%36.2%
Put IV 25d45.7%36.9%61.2%47.5%39.5%
Bid-Ask Spread %20.388.0158.3620.8113.72
Gamma HHI0.540.470.640.540.52
Net GEX79.1K42.2K128.8K42.2K123.6K
Net DEX-4.6M-6.4M-2.5M-2.8M-4.6M
Net VEX-19.5K-22.6K-16.5K-18.5K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.060.912.06
Total Volume821.182154,2901,247153
Total OI16,284.77314,48219,22614,48219,226

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$9.41$7.5045.8%13.1%36.9%0.0%46.2%5.3%-0.3%42.2K-2.8M-18.5K0.9120.81N/AN/A6545937,4287,054
2007-03-02$9.52$7.5052.3%15.0%36.9%0.0%52.8%2.2%-4.5%54.0K-3.5M-18.2K0.5317.15N/AN/A1,2946877,7816,797
2007-03-05$9.17$7.5047.3%13.9%38.8%0.0%48.7%1.9%-3.5%46.0K-2.5M-19.1K0.4427.68N/AN/A7883447,8126,949
2007-03-06$9.44$7.5052.6%12.8%40.2%0.0%50.5%13.8%-0.2%57.5K-3.0M-19.6K0.0029.52N/AN/A1508,1277,107
2007-03-07$9.86$7.5047.8%13.9%42.9%0.0%46.9%22.9%-4.1%68.5K-4.0M-18.9K0.4158.36N/AN/A7813248,1367,107
2007-03-08$10.43$7.5049.3%13.6%46.8%0.0%46.5%0.7%-3.1%73.8K-5.3M-17.9K0.0425.32N/AN/A923408,1417,076
2007-03-09$10.36$7.5049.2%13.7%46.8%0.0%47.7%-4.4%-3.3%74.2K-5.1M-18.0K0.0628.04N/AN/A884558,1827,113
2007-03-12$11.02$7.5063.5%14.0%49.9%0.0%48.0%2.9%0.1%52.0K-6.4M-16.5K0.4110.98N/AN/A1,5126168,0497,168
2007-03-13$10.52$7.5065.8%14.6%52.1%0.0%49.9%-2.5%-3.7%55.3K-5.2M-17.6K0.3515.61N/AN/A6172177,9297,246
2007-03-14$10.27$7.5053.6%14.2%52.8%0.0%49.1%-4.4%-0.7%65.5K-4.6M-18.8K0.2423.83N/AN/A7531848,0107,303
2007-03-15$10.38$7.5047.3%13.6%52.8%0.0%46.9%-5.8%1.8%70.7K-5.1M-18.6K0.3426.47N/AN/A174608,2507,243
2007-03-16$10.32$7.5043.7%12.5%52.9%0.0%43.1%-9.5%6.1%75.2K-4.9M-18.5K0.0014.25N/AN/A66608,2567,303
2007-03-19$10.40$7.5047.5%13.6%51.7%0.0%47.5%5.3%2.9%49.9K-4.5M-18.3K0.078.01N/AN/A154117,6047,081
2007-03-20$10.50$7.5045.3%13.0%51.6%0.0%45.3%-4.7%4.0%54.0K-4.7M-17.6K0.7026.05N/AN/A1491047,6087,087
2007-03-21$10.41$7.5043.0%12.3%51.5%0.0%43.0%7.5%6.9%55.5K-4.5M-17.4K0.0113.12N/AN/A4,229617,6207,186
2007-03-22$10.29$7.5040.5%11.6%51.9%0.0%40.5%5.0%7.4%122.7K-5.9M-22.6K0.0013.82N/AN/A20011,4877,231
2007-03-23$10.39$7.5039.0%11.2%51.6%0.0%39.0%7.5%8.5%128.8K-6.2M-22.4K0.0216.92N/AN/A49111,4857,231
2007-03-26$10.09$7.5039.6%11.4%52.8%0.0%39.6%6.1%7.7%127.1K-5.3M-22.2K0.2815.62N/AN/A1373811,5307,231
2007-03-27$9.73$7.5040.1%11.5%53.2%0.0%40.1%0.5%8.8%112.5K-4.2M-22.0K0.8312.61N/AN/A22718911,5787,261
2007-03-28$9.84$7.5040.2%11.5%52.3%0.0%40.2%2.7%10.0%117.1K-4.5M-22.6K0.0013.62N/AN/A128011,7217,372
2007-03-29$9.73$7.5040.3%11.5%47.5%0.0%40.3%0.3%8.7%113.8K-4.1M-22.0K0.0916.77N/AN/A2152011,7877,372
2007-03-30$9.82$7.5040.7%11.7%47.4%0.0%40.7%3.3%8.8%123.6K-4.6M-22.3K2.0613.72N/AN/A5010311,8747,352