HLIT Options History — August 2007

In August 2007, HLIT traded between $8.05 and $9.97. ATM implied volatility averaged 47.4%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 5.1% (HV 20d: 42.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.43.

Notable Days

  • 2007-08-31: Highest Volume — 3,022 contracts
  • 2007-08-29: Largest IV drop — 30.0% change
  • 2007-08-14: Highest IV Rank — 73.5%
  • 2007-08-16: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.61$8.05$9.97$8.94$9.97
Max Pain$9.89$7.50$10.00$10.00$7.50
ATM IV47.4%29.6%68.7%48.4%37.1%
Expected Move13.5%8.5%17.1%13.9%10.6%
HV 20d42.4%29.5%59.2%29.5%59.2%
HV 60d34.1%30.1%42.7%30.1%42.7%
IV Rank36.8%6.0%73.5%38.4%19.0%
IV Percentile41.8%1.2%92.2%48.3%9.0%
Term Structure-0.0%-26.5%23.7%-5.9%6.1%
VWIV50.6%37.1%64.7%55.4%37.1%
Skew 25d0.0%-11.1%7.9%-0.5%7.9%
Skew 10d6.7%-8.3%16.5%-2.4%12.7%
Call IV 25d48.3%28.7%60.1%52.9%33.9%
Put IV 25d48.4%28.2%59.7%52.4%41.8%
Bid-Ask Spread %24.518.4442.9429.2217.75
Gamma HHI0.480.410.700.700.56
Net GEX83.1K52.0K115.9K113.6K115.9K
Net DEX-3.4M-6.3M-1.9M-3.2M-6.3M
Net VEX-14.9K-15.9K-13.6K-15.4K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.003.200.043.20
Total Volume476.826403,0221,0083,022
Total OI14,909.04311,79817,70014,93912,638

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$8.94$10.0048.4%13.9%29.5%38.4%55.4%-0.5%-5.9%113.6K-3.2M-15.4K0.0429.22N/AN/A9723611,7933,146
2007-08-02$8.89$10.0042.6%12.2%29.5%28.5%46.8%4.3%-0.3%114.9K-3.1M-15.1K0.0010.34N/AN/A1,229012,0553,182
2007-08-03$8.51$10.0045.4%13.0%33.0%33.3%64.7%-2.2%-4.8%101.8K-3.1M-15.6K0.4127.69N/AN/A27611213,0053,182
2007-08-06$8.12$10.0052.7%15.2%35.3%46.0%55.7%-2.2%-4.0%67.9K-2.0M-13.6K0.0524.04N/AN/A8844613,1193,229
2007-08-07$8.05$10.0060.3%15.8%35.1%59.0%55.5%-2.0%-1.9%53.3K-1.9M-14.2K0.0033.43N/AN/A520013,7323,238
2007-08-08$8.34$10.0043.4%16.3%37.9%29.9%0.0%4.6%-3.3%66.3K-2.9M-14.8K0.3931.11N/AN/A32012414,0333,213
2007-08-09$8.41$10.0046.4%15.4%36.7%35.0%0.0%1.4%-0.4%69.7K-2.9M-15.3K1.9426.86N/AN/A12624514,1913,325
2007-08-10$8.58$10.0052.4%16.3%37.7%45.3%55.9%1.3%-4.3%82.0K-3.2M-15.9K0.1218.64N/AN/A1001214,2153,423
2007-08-13$8.77$10.0057.7%15.7%38.4%54.6%58.1%2.6%-2.2%90.1K-3.5M-15.9K0.1530.12N/AN/A821214,2653,435
2007-08-14$8.58$10.0068.7%16.1%38.9%73.5%0.0%-1.0%-1.3%80.8K-3.5M-15.6K0.0029.79N/AN/A40014,2783,234
2007-08-15$8.05$10.0068.5%16.5%44.4%73.2%55.1%2.9%-3.4%52.0K-2.6M-14.5K0.3432.85N/AN/A2147214,2773,194
2007-08-16$8.12$10.0059.6%17.1%42.6%57.7%0.0%-0.5%-5.3%55.8K-2.7M-14.6K0.0537.90N/AN/A112614,4443,218
2007-08-17$8.48$10.0046.9%13.4%46.2%35.8%51.4%4.6%18.8%73.2K-3.4M-15.3K0.6723.28N/AN/A634214,4283,212
2007-08-20$8.59$10.0049.2%14.1%46.5%39.8%50.3%-0.7%4.2%76.0K-3.6M-14.9K0.0042.94N/AN/A149010,1161,682
2007-08-21$8.60$10.0053.5%15.3%46.0%47.3%0.0%2.9%-1.4%78.3K-3.6M-14.9K0.0039.92N/AN/A150010,2351,682
2007-08-22$8.66$10.0041.4%11.9%46.0%26.4%42.5%4.7%-3.0%81.4K-3.7M-14.5K0.0012.17N/AN/A633010,2911,678
2007-08-23$8.55$10.0035.7%10.2%44.4%16.6%0.0%-0.4%3.4%85.2K-3.6M-14.6K0.008.44N/AN/A540010,7061,678
2007-08-24$8.92$10.0036.6%10.5%46.4%18.2%42.1%-10.3%4.4%90.7K-4.0M-15.3K0.0426.29N/AN/A112510,6411,678
2007-08-27$8.76$10.0037.1%10.6%46.8%19.1%0.0%3.5%3.3%91.9K-3.9M-14.4K0.2812.92N/AN/A361010,7141,683
2007-08-28$8.35$10.0042.3%12.1%48.3%27.9%0.0%-11.1%-26.5%84.6K-3.5M-14.1K0.0015.06N/AN/A65010,7451,693
2007-08-29$8.59$10.0029.6%8.5%49.5%6.0%0.0%-1.3%23.7%85.2K-3.5M-14.0K2.1414.97N/AN/A429010,7501,693
2007-08-30$9.22$10.0035.7%10.2%55.8%16.6%37.8%-8.0%3.3%99.9K-4.6M-15.2K0.0618.05N/AN/A4432510,7661,773
2007-08-31$9.97$7.5037.1%10.6%59.2%19.0%37.1%7.9%6.1%115.9K-6.3M-15.6K3.2017.75N/AN/A7202,30210,8651,773