HLIT Options History — September 2007

In September 2007, HLIT traded between $9.85 and $10.64. ATM implied volatility averaged 43.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 11.1% (HV 20d: 54.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2007-09-24: Highest Volume — 2,620 contracts
  • 2007-09-11: Largest IV spike — 19.4% change
  • 2007-09-11: Highest IV Rank — 43.0%
  • 2007-09-06: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.31$9.85$10.64$10.33$10.61
Max Pain$9.74$7.50$10.00$7.50$10.00
ATM IV43.2%39.4%51.0%46.4%42.1%
Expected Move12.4%11.3%13.7%13.3%12.1%
HV 20d54.3%43.1%59.9%56.3%43.1%
HV 60d43.7%42.6%44.5%43.1%43.6%
IV Rank29.5%22.9%43.0%35.0%27.6%
IV Percentile30.0%13.3%58.4%42.9%26.3%
Term Structure8.1%-1.7%16.9%-1.7%16.9%
VWIV43.3%39.4%54.8%45.9%42.0%
Skew 25d2.0%-14.4%13.1%-1.1%6.3%
Skew 10d4.4%-22.8%33.7%-3.9%8.2%
Call IV 25d45.2%31.3%56.2%42.3%35.9%
Put IV 25d47.2%37.8%62.5%41.2%42.2%
Bid-Ask Spread %20.5011.6729.6918.9217.24
Gamma HHI0.450.330.620.470.62
Net GEX11.2K-74.9K97.5K93.3K-74.9K
Net DEX-5.7M-7.4M-4.6M-6.8M-5.0M
Net VEX-22.8K-25.3K-18.9K-18.9K-23.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.430.310.15
Total Volume978.6321692,6202,051625
Total OI18,864.36814,71920,90014,71920,131

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$10.33$7.5046.4%13.3%56.3%35.0%45.9%-1.1%-1.7%93.3K-6.8M-18.9K0.3118.92N/AN/A1,56149011,1403,579
2007-09-05$10.03$10.0045.9%13.2%57.7%34.2%44.4%7.2%-0.2%96.3K-6.2M-19.7K0.0615.81N/AN/A5203011,4273,710
2007-09-06$10.00$10.0047.7%13.7%57.2%37.3%42.9%6.9%-1.4%97.5K-6.0M-20.0K2.3120.53N/AN/A6281,44911,6183,728
2007-09-07$9.94$7.5040.1%13.3%57.5%24.2%46.5%8.1%2.2%74.6K-5.3M-20.9K1.3918.65N/AN/A8531,18811,7624,829
2007-09-10$9.85$10.0042.8%12.5%57.6%28.8%43.7%5.7%6.5%49.3K-4.6M-21.9K2.4311.67N/AN/A4991,21212,0935,825
2007-09-11$10.38$10.0051.0%12.5%59.6%43.0%43.0%10.7%6.6%18.0K-5.8M-23.4K0.0413.27N/AN/A5282112,1396,948
2007-09-12$10.12$10.0041.9%12.5%59.9%27.2%40.1%-8.4%6.7%21.2K-5.2M-23.4K0.1829.69N/AN/A1432612,1506,959
2007-09-13$10.10$10.0044.1%12.7%53.7%31.2%44.4%5.5%6.4%24.1K-5.2M-23.4K0.0418.21N/AN/A2571012,2336,960
2007-09-14$10.06$10.0042.5%12.2%54.0%28.3%54.8%-14.4%6.7%21.6K-4.9M-23.3K0.1818.91N/AN/A54410012,3206,960
2007-09-17$10.20$10.0042.5%12.2%52.6%28.3%42.5%4.6%7.8%29.5K-5.5M-22.7K0.2617.13N/AN/A1895012,6266,941
2007-09-18$10.64$10.0042.4%12.2%53.9%28.1%42.2%-7.4%7.4%12.9K-7.4M-21.7K1.3322.50N/AN/A8331,11112,6816,961
2007-09-19$10.46$10.0043.0%12.3%54.7%29.1%42.4%-4.9%7.0%-2.5K-6.3M-23.8K0.3025.63N/AN/A2908812,5598,014
2007-09-20$10.56$10.0039.4%11.3%54.7%22.9%39.4%4.9%10.3%-25.8K-6.7M-23.3K0.0019.41N/AN/A535012,5628,102
2007-09-21$10.55$10.0039.4%11.3%54.2%23.0%39.6%6.2%9.0%-22.9K-6.8M-23.8K0.0024.38N/AN/A186012,7988,102
2007-09-24$10.35$10.0042.8%12.3%53.8%28.7%43.3%-8.4%15.1%-34.5K-5.0M-23.7K1.3822.82N/AN/A1,1001,52011,2447,775
2007-09-25$10.57$10.0042.3%12.1%53.1%27.9%42.2%12.5%16.9%-57.2K-5.1M-24.4K0.2320.59N/AN/A77717511,0129,110
2007-09-26$10.61$10.0042.0%12.0%48.7%27.4%41.9%13.1%16.7%-52.5K-5.6M-25.3K0.0527.70N/AN/A3842011,4289,285
2007-09-27$10.58$10.0042.2%12.1%48.6%27.8%42.2%-9.7%14.6%-55.1K-5.5M-24.9K0.0026.52N/AN/A652011,4379,275
2007-09-28$10.61$10.0042.1%12.1%43.1%27.6%42.0%6.3%16.9%-74.9K-5.0M-23.7K0.1517.24N/AN/A5458010,8569,275