HLIT Options History — July 2007

In July 2007, HLIT traded between $8.84 and $9.51. ATM implied volatility averaged 59.6%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 31.0% (HV 20d: 28.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2007-07-25: Highest Volume — 1,812 contracts
  • 2007-07-05: Largest IV spike — 54.2% change
  • 2007-07-24: Highest IV Rank — 100.0%
  • 2007-07-25: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.16$8.84$9.51$8.92$8.87
Max Pain$8.57$7.50$10.00$7.50$10.00
ATM IV59.6%31.3%84.1%41.9%53.1%
Expected Move17.8%9.0%24.1%12.0%15.2%
HV 20d28.6%26.1%32.6%32.6%29.4%
HV 60d38.8%29.5%43.6%43.4%30.1%
IV Rank71.4%37.8%100.0%46.9%46.6%
IV Percentile79.9%35.2%100.0%53.2%64.6%
Term Structure-8.9%-21.7%27.3%3.7%-6.5%
VWIV61.8%36.9%81.5%39.2%61.5%
Skew 25d6.3%-9.3%22.4%3.0%-1.7%
Skew 10d13.6%-6.1%46.2%-3.8%-6.1%
Call IV 25d54.0%47.7%62.0%48.2%57.3%
Put IV 25d60.3%49.2%75.5%51.2%55.7%
Bid-Ask Spread %19.7110.9628.8625.3122.36
Gamma HHI0.710.520.830.550.76
Net GEX88.9K45.7K133.4K52.0K103.7K
Net DEX-3.3M-3.8M-2.5M-2.8M-2.9M
Net VEX-13.5K-16.6K-10.8K-11.6K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.740.000.06
Total Volume877.667421,8123471,669
Total OI14,613.90510,81717,14713,72314,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$8.92$7.5041.9%12.0%32.6%0.0%39.2%3.0%3.7%52.0K-2.8M-11.6K0.0025.31N/AN/A34708,9304,793
2007-07-03$8.88$7.5031.3%9.0%31.8%0.0%36.9%1.5%27.3%48.0K-2.7M-11.7K0.0010.96N/AN/A4208,9574,793
2007-07-05$8.84$7.5048.3%13.9%31.8%46.9%42.3%10.1%-0.7%45.7K-2.5M-11.4K0.0211.64N/AN/A501118,9564,793
2007-07-06$8.95$7.5044.4%16.8%30.3%38.8%59.5%9.4%-8.5%50.2K-2.6M-10.8K0.0015.78N/AN/A1,46508,7674,782
2007-07-09$9.14$7.5044.0%18.0%30.5%37.8%63.9%15.8%-12.0%93.4K-3.4M-12.4K0.0219.66N/AN/A9682010,0384,782
2007-07-10$9.00$7.5049.2%18.3%30.2%48.8%64.5%12.3%-13.2%96.0K-3.4M-12.8K0.3720.19N/AN/A57321010,5844,802
2007-07-11$9.05$7.5059.4%18.1%27.6%70.4%63.7%11.4%-12.9%97.2K-3.3M-13.6K0.0520.16N/AN/A2211010,8275,002
2007-07-12$9.27$7.5063.5%18.2%27.9%79.0%63.6%3.6%-10.9%121.4K-3.8M-13.5K0.5021.06N/AN/A59530010,8234,892
2007-07-13$9.30$7.5060.8%17.4%26.8%73.2%61.1%17.9%-8.8%130.0K-3.8M-13.9K1.7418.58N/AN/A15326610,8785,125
2007-07-16$9.13$10.0063.7%18.3%27.9%79.4%63.9%4.5%-11.1%90.3K-2.9M-12.6K0.1119.40N/AN/A6597210,9015,380
2007-07-17$9.16$7.5063.7%18.3%26.1%79.5%63.8%2.0%-11.6%86.2K-2.9M-12.5K0.0719.96N/AN/A2181511,0355,390
2007-07-18$9.16$7.5068.2%19.5%26.1%88.9%67.8%2.0%-15.3%55.4K-2.9M-12.4K0.0818.55N/AN/A3332511,2305,390
2007-07-19$9.45$10.0067.3%19.3%27.2%87.0%67.3%22.4%-13.5%133.4K-3.6M-13.1K0.0520.86N/AN/A7674211,4025,370
2007-07-20$9.46$10.0072.5%20.8%27.1%98.1%72.2%19.0%-18.5%68.8K-3.7M-13.6K0.0323.07N/AN/A1,0382711,7775,370
2007-07-23$9.51$10.0070.4%20.2%26.5%93.7%70.5%-2.7%-11.6%84.8K-3.7M-14.0K0.0424.58N/AN/A1,450608,4612,356
2007-07-24$9.28$7.5077.7%22.3%28.1%100.0%77.1%11.8%-18.2%86.2K-3.5M-14.5K0.4928.86N/AN/A1,0104999,1492,410
2007-07-25$9.16$10.0084.1%24.1%27.0%100.0%81.5%-1.1%-21.7%87.5K-3.3M-15.1K0.5320.67N/AN/A1,1846289,8692,668
2007-07-26$9.44$10.0062.1%17.8%28.4%62.1%61.4%-1.2%-6.1%112.6K-3.7M-16.3K0.4815.57N/AN/A1,21257810,5293,163
2007-07-27$9.16$10.0063.5%18.2%31.1%64.6%53.7%-9.3%-9.1%111.0K-3.7M-16.6K0.1514.64N/AN/A3885911,0493,106
2007-07-30$9.17$10.0062.4%17.9%26.8%62.6%61.7%1.8%-8.8%113.7K-3.5M-15.9K0.4922.14N/AN/A54627011,1033,105
2007-07-31$8.87$10.0053.1%15.2%29.4%46.6%61.5%-1.7%-6.5%103.7K-2.9M-15.0K0.0622.36N/AN/A1,56910011,1093,046