HLIT Options History — May 2007

In May 2007, HLIT traded between $8.20 and $9.10. ATM implied volatility averaged 45.1%. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 10.9% (HV 20d: 55.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2007-05-03: Highest Volume — 1,559 contracts
  • 2007-05-04: Largest IV spike — 69.8% change
  • 2007-05-18: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.76$8.20$9.10$8.20$9.10
Max Pain$7.84$7.50$10.00$10.00$7.50
ATM IV45.1%30.5%62.9%50.2%44.8%
Expected Move13.3%10.6%15.8%14.4%12.8%
HV 20d55.9%30.3%64.8%63.1%30.3%
HV 60d50.7%48.3%51.6%49.9%48.3%
Term Structure2.4%-5.9%20.6%2.3%-3.0%
VWIV48.4%31.4%55.5%47.6%44.4%
Skew 25d-1.5%-14.3%26.3%15.8%-10.5%
Skew 10d5.2%-19.4%33.3%33.0%-8.6%
Call IV 25d48.5%29.2%55.2%37.0%51.0%
Put IV 25d47.0%33.3%55.8%52.8%40.5%
Bid-Ask Spread %22.916.6032.0816.6029.81
Gamma HHI0.490.430.530.430.53
Net GEX36.2K10.9K58.3K10.9K58.3K
Net DEX-433.0K-2.2M1.4M1.4M-2.2M
Net VEX-14.7K-18.2K-13.1K-14.0K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.870.100.00
Total Volume28801,559480112
Total OI17,435.77312,24620,48218,94413,250

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$8.20$10.0050.2%14.4%63.1%0.0%47.6%15.8%2.3%10.9K1.4M-14.0K0.1016.60N/AN/A4374311,7707,174
2007-05-02$8.48$10.0043.5%12.5%61.6%0.0%31.4%26.3%18.8%17.5K827.7K-14.9K0.5611.29N/AN/A35419811,8087,165
2007-05-03$8.72$10.0037.0%10.6%62.9%0.0%47.9%-14.1%10.6%28.3K-57.9K-16.3K0.076.60N/AN/A1,45310612,0497,208
2007-05-04$8.87$7.5062.9%15.5%61.1%0.0%54.3%2.3%-5.1%44.5K-502.6K-18.2K0.0620.34N/AN/A5323013,0807,294
2007-05-07$8.86$7.5037.7%14.6%61.0%0.0%51.1%5.0%-2.0%38.6K190.8K-15.9K0.0018.19N/AN/A68013,1587,324
2007-05-08$8.91$7.5042.6%14.1%61.1%0.0%0.0%6.5%-1.8%47.5K-314.2K-16.9K0.0017.78N/AN/A0013,1217,287
2007-05-09$9.07$7.5030.5%14.3%61.8%0.0%50.0%1.8%-1.3%45.9K-66.7K-15.8K0.0230.89N/AN/A63113,1217,287
2007-05-10$8.67$7.5046.4%13.3%63.2%0.0%0.0%5.8%15.5%31.6K535.6K-14.8K0.0029.30N/AN/A131013,1097,287
2007-05-11$8.68$7.5049.6%14.2%61.5%0.0%49.8%4.5%3.9%32.0K566.4K-14.9K1.8726.27N/AN/A7714413,1107,287
2007-05-14$8.46$7.5048.5%13.9%60.9%0.0%44.9%-3.9%3.4%21.3K801.8K-13.5K0.1423.93N/AN/A1061513,0937,082
2007-05-15$8.28$7.5052.3%15.0%61.0%0.0%55.5%-1.5%-1.9%15.0K999.9K-13.1K0.0029.13N/AN/A46013,1717,035
2007-05-16$8.50$7.5052.2%15.0%62.5%0.0%0.0%1.0%1.0%25.0K565.2K-13.6K0.0732.08N/AN/A75513,1596,978
2007-05-17$8.72$7.5043.5%12.5%63.8%0.0%50.9%7.1%20.6%28.1K363.3K-13.6K0.0231.65N/AN/A230513,1516,980
2007-05-18$8.79$7.5055.0%15.8%64.1%0.0%55.5%-0.9%-5.7%31.3K197.0K-13.9K0.2027.62N/AN/A1473013,3016,985
2007-05-21$8.92$7.5046.9%13.4%64.6%0.0%48.1%-9.6%0.6%37.5K-1.7M-13.8K0.0616.72N/AN/A300187,4774,769
2007-05-22$9.00$7.5039.8%11.4%64.8%0.0%46.8%-9.8%0.8%43.7K-1.8M-13.6K0.0218.39N/AN/A37787,6424,766
2007-05-23$8.91$7.5041.6%11.9%64.4%0.0%44.4%-11.5%-1.1%47.5K-1.9M-13.9K0.2123.20N/AN/A217457,8514,774
2007-05-24$8.77$7.5040.4%11.6%36.8%0.0%0.0%-9.4%1.8%43.4K-1.7M-14.2K0.0525.81N/AN/A563308,0344,792
2007-05-25$8.94$7.5039.0%11.2%35.4%0.0%0.0%-12.3%0.5%51.2K-2.0M-14.9K0.0026.52N/AN/A8308,4184,810
2007-05-29$8.95$7.5044.8%12.8%32.3%0.0%0.0%-14.3%-5.9%48.5K-1.8M-14.2K0.0027.79N/AN/A23508,3904,810
2007-05-30$9.00$7.5042.1%12.1%32.0%0.0%0.0%-10.8%1.4%49.7K-2.0M-14.3K0.2414.03N/AN/A42108,4204,810
2007-05-31$9.10$7.5044.8%12.8%30.3%0.0%0.0%-10.5%-3.0%58.3K-2.2M-14.5K0.0029.81N/AN/A11208,4504,800