HLIT Options History — June 2007

In June 2007, HLIT traded between $8.17 and $8.92. ATM implied volatility averaged 49.9%. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 21.0% (HV 20d: 28.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.76.

Notable Days

  • 2007-06-25: Highest Volume — 3,340 contracts
  • 2007-06-11: Largest IV spike — 38.5% change
  • 2007-06-27: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.52$8.17$8.92$8.92$8.87
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV49.9%35.1%73.4%45.1%39.7%
Expected Move14.0%10.8%16.2%12.9%11.4%
HV 20d28.9%27.0%32.9%29.9%32.9%
HV 60d44.4%43.1%47.6%47.6%44.2%
Term Structure4.3%-3.5%20.7%-3.5%7.3%
VWIV48.8%31.9%56.1%50.1%44.9%
Skew 25d2.1%-4.0%14.7%6.1%6.7%
Skew 10d13.3%-0.5%47.6%19.4%-0.5%
Call IV 25d49.6%42.1%56.4%44.2%48.2%
Put IV 25d51.6%41.4%64.4%50.3%54.9%
Bid-Ask Spread %22.398.1630.7814.2528.88
Gamma HHI0.430.410.520.520.48
Net GEX15.6K-5.0K51.3K51.3K39.5K
Net DEX-1.3M-2.3M-644.0K-1.8M-2.3M
Net VEX-11.3K-13.7K-10.2K-13.7K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.760.00110.330.000.04
Total Volume458.286323,340107868
Total OI13,003.61911,98613,59913,27613,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$8.92$7.5045.1%12.9%29.9%0.0%50.1%6.1%-3.5%51.3K-1.8M-13.7K0.0014.25N/AN/A10708,4764,800
2007-06-04$8.80$7.5035.1%13.4%29.7%0.0%39.8%2.7%0.8%33.6K-1.5M-12.4K0.0121.64N/AN/A29128,4464,800
2007-06-05$8.64$7.5045.1%14.7%30.4%0.0%50.0%5.7%0.5%19.4K-1.2M-12.2K0.2625.87N/AN/A187488,2614,802
2007-06-06$8.72$7.5043.1%15.0%30.5%0.0%54.9%3.8%-1.0%22.1K-1.3M-12.0K0.0030.49N/AN/A20008,4044,837
2007-06-07$8.49$7.5052.7%14.7%31.0%0.0%50.8%0.2%0.6%14.0K-1.1M-11.8K1.2818.40N/AN/A781008,5744,837
2007-06-08$8.65$7.5048.5%14.6%27.7%0.0%51.6%2.2%1.5%21.8K-1.5M-11.9K0.0029.36N/AN/A3208,6334,783
2007-06-11$8.49$7.5067.1%14.1%28.4%0.0%44.7%-2.2%4.2%12.8K-1.2M-11.2K0.2528.60N/AN/A150388,6354,783
2007-06-12$8.24$7.5059.7%14.9%28.9%0.0%52.6%-3.8%-3.1%4.7K-910.3K-11.0K0.1018.64N/AN/A480508,6854,767
2007-06-13$8.17$7.5073.4%14.0%28.1%0.0%47.6%-2.3%6.7%-5.0K-644.0K-10.8K0.1619.40N/AN/A308508,5784,768
2007-06-14$8.40$7.5051.8%14.9%28.3%0.0%49.0%-2.1%2.4%2.0K-1.0M-11.3K0.0920.38N/AN/A117108,7274,809
2007-06-15$8.50$7.5050.3%14.4%27.0%0.0%52.0%-2.1%1.5%10.3K-1.3M-11.0K0.1726.09N/AN/A228398,7904,809
2007-06-18$8.31$7.5048.3%13.8%27.8%0.0%31.9%6.2%7.8%1.3K-1.0M-10.4K0.0916.88N/AN/A109107,3504,636
2007-06-19$8.40$7.5050.8%14.6%27.5%0.0%51.4%-2.9%-0.1%5.3K-1.1M-10.6K0.0030.78N/AN/A10207,4444,632
2007-06-20$8.58$7.5037.7%10.8%28.5%0.0%43.8%-0.6%20.7%14.5K-1.5M-10.2K0.088.16N/AN/A320257,5154,632
2007-06-21$8.66$7.5046.2%13.2%28.7%0.0%48.4%-3.7%12.2%21.6K-1.7M-10.5K0.1412.68N/AN/A264367,6854,644
2007-06-22$8.56$7.5046.5%13.3%28.4%0.0%48.3%3.0%3.8%17.7K-1.6M-10.7K0.0026.32N/AN/A90407,9254,664
2007-06-25$8.48$7.5046.3%13.3%27.5%0.0%50.9%6.9%12.8%15.4K-1.6M-10.2K110.3325.56N/AN/A303,3108,0844,664
2007-06-26$8.29$7.5053.7%15.4%28.3%0.0%53.7%-4.0%3.0%3.6K-1.1M-11.2K0.0119.10N/AN/A687108,1094,912
2007-06-27$8.38$7.5056.4%16.2%28.6%0.0%56.1%14.7%0.1%6.6K-1.2M-11.1K0.0021.69N/AN/A36308,0924,895
2007-06-28$8.47$7.5051.0%14.6%28.6%0.0%51.7%8.9%11.8%14.3K-1.6M-11.3K7.8827.01N/AN/A8638,3214,784
2007-06-29$8.87$7.5039.7%11.4%32.9%0.0%44.9%6.7%7.3%39.5K-2.3M-11.5K0.0428.88N/AN/A838308,3214,763