HLIT Options History — April 2007

In April 2007, HLIT traded between $8.27 and $10.87. ATM implied volatility averaged 51.3%. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 10.6% (HV 20d: 40.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-04-26: Highest Volume — 3,687 contracts
  • 2007-04-12: Largest IV spike — 31.7% change
  • 2007-04-25: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.15$8.27$10.87$9.82$8.27
Max Pain$9.50$7.50$10.00$7.50$10.00
ATM IV51.3%40.6%69.7%40.6%50.9%
Expected Move15.1%11.6%20.0%11.7%14.6%
HV 20d40.8%30.4%63.2%45.2%63.2%
HV 60d42.0%38.2%50.1%43.6%50.1%
Term Structure-2.2%-13.0%14.6%8.7%-1.4%
VWIV51.6%40.4%68.7%40.7%46.6%
Skew 25d5.6%-7.8%72.7%72.7%14.6%
Skew 10d10.7%-9.4%107.8%107.8%32.4%
Call IV 25d51.1%35.3%65.9%38.4%35.3%
Put IV 25d56.7%46.3%111.1%111.1%49.9%
Bid-Ask Spread %17.578.5227.7312.9522.72
Gamma HHI0.410.340.530.530.43
Net GEX79.4K12.4K143.6K126.4K12.4K
Net DEX-4.6M-7.5M1.3M-4.3M1.3M
Net VEX-20.8K-24.1K-14.0K-21.7K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.007.650.010.53
Total Volume1,006.31183,687268719
Total OI20,409.916,53022,26319,30918,826

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$9.82$7.5040.6%11.7%45.2%0.0%40.7%72.7%8.7%126.4K-4.3M-21.7K0.0112.95N/AN/A266211,9207,389
2007-04-03$10.30$7.5045.8%13.1%47.0%0.0%45.8%6.2%3.7%143.6K-6.0M-21.5K4.4312.35N/AN/A5132,27312,0237,389
2007-04-04$10.33$7.5040.6%11.6%44.7%0.0%40.6%-3.1%9.0%93.6K-5.3M-24.1K0.0716.95N/AN/A5133511,8959,627
2007-04-05$10.75$7.5040.7%11.7%42.4%0.0%40.4%0.0%9.3%94.1K-6.8M-23.6K0.1523.46N/AN/A99914711,9669,630
2007-04-09$10.52$10.0041.4%14.4%43.1%0.0%49.9%5.4%-3.0%96.0K-6.2M-23.6K0.0120.88N/AN/A296212,1289,690
2007-04-10$10.53$10.0041.2%14.6%36.6%0.0%0.0%0.2%-2.5%95.0K-6.1M-23.3K0.0017.26N/AN/A167012,0259,692
2007-04-11$10.42$10.0040.7%14.8%32.9%0.0%51.0%-1.3%-4.7%104.0K-5.6M-22.6K0.4116.45N/AN/A1144711,9789,692
2007-04-12$10.36$10.0053.5%15.3%31.7%0.0%47.2%2.0%-6.5%100.5K-5.5M-22.7K0.2823.67N/AN/A922611,9489,721
2007-04-13$10.70$10.0051.5%14.8%33.5%0.0%51.4%2.5%-3.2%72.9K-6.9M-21.5K0.0220.08N/AN/A437911,9679,747
2007-04-16$10.87$10.0054.1%15.5%33.8%0.0%53.5%2.8%-3.4%69.5K-7.5M-20.2K0.0816.77N/AN/A6074812,0479,751
2007-04-17$10.70$10.0055.3%15.9%34.3%0.0%50.6%6.6%0.4%77.8K-7.2M-20.4K0.1018.60N/AN/A1,21112112,0889,754
2007-04-18$10.55$10.0058.1%16.7%34.6%0.0%58.5%0.0%-9.7%90.2K-6.7M-21.2K0.0915.86N/AN/A4614212,3949,756
2007-04-19$10.44$10.0057.4%16.5%34.7%0.0%57.9%-3.3%-8.0%98.4K-6.5M-21.2K0.0219.12N/AN/A295612,4769,768
2007-04-20$10.34$10.0063.2%18.1%34.6%0.0%63.2%3.3%-13.0%98.6K-6.1M-21.7K0.1514.36N/AN/A95314112,4929,771
2007-04-23$10.19$10.0061.1%17.5%34.8%0.0%61.2%-7.6%-9.6%50.7K-2.8M-20.7K0.5215.14N/AN/A2151129,3888,317
2007-04-24$10.17$10.0062.4%17.9%33.2%0.0%63.3%-7.8%-9.1%50.9K-2.8M-20.8K7.6514.52N/AN/A3302,5259,5418,406
2007-04-25$10.29$10.0069.7%20.0%30.4%0.0%68.7%-2.2%-12.5%65.5K-3.3M-20.0K0.3914.10N/AN/A1,0274019,7436,787
2007-04-26$8.86$10.0053.0%15.2%61.8%0.0%50.1%7.6%-2.5%21.1K789.3K-16.0K0.4227.73N/AN/A2,5891,09810,4596,960
2007-04-27$8.58$10.0044.9%12.9%62.5%0.0%40.7%1.7%14.6%26.8K445.6K-15.8K0.328.52N/AN/A97731011,9927,055
2007-04-30$8.27$10.0050.9%14.6%63.2%0.0%46.6%14.6%-1.4%12.4K1.3M-14.0K0.5322.72N/AN/A47124811,7287,098