HLIT Options History — November 2007

In November 2007, HLIT traded between $10.00 and $11.65. ATM implied volatility averaged 44.5%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 6.4% (HV 20d: 50.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2007-11-07: Highest Volume — 5,335 contracts
  • 2007-11-05: Largest IV spike — 45.1% change
  • 2007-11-13: Highest IV Rank — 50.2%
  • 2007-11-13: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.85$10.00$11.65$11.59$10.37
Max Pain$10.60$10.00$12.50$12.50$10.00
ATM IV44.5%28.8%55.2%38.0%46.5%
Expected Move13.2%8.3%15.5%10.9%13.3%
HV 20d50.9%43.1%61.0%44.9%58.0%
HV 60d46.7%44.3%49.5%46.0%46.7%
IV Rank31.7%4.7%50.2%20.6%35.2%
IV Percentile41.3%0.5%76.1%12.4%49.1%
Term Structure5.7%-3.8%18.9%-2.2%8.9%
VWIV48.0%29.4%70.2%44.7%70.2%
Skew 25d8.8%-4.7%19.4%6.3%11.9%
Skew 10d12.2%-8.0%26.5%-0.5%18.1%
Call IV 25d40.6%30.6%50.3%45.5%35.9%
Put IV 25d49.3%43.4%55.9%51.7%47.7%
Bid-Ask Spread %21.1013.8833.0620.7518.92
Gamma HHI0.480.240.600.240.47
Net GEX183.1K26.7K264.3K26.7K228.2K
Net DEX-6.3M-8.7M-3.9M-4.4M-6.3M
Net VEX-29.2K-32.7K-24.3K-29.4K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.002.240.040.01
Total Volume1,120.048105,3353,427143
Total OI23,705.23818,56026,86018,56024,108

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$11.59$12.5038.0%10.9%44.9%20.6%44.7%6.3%-2.2%26.7K-4.4M-29.4K0.0420.75N/AN/A3,28414311,0307,530
2007-11-02$11.28$12.5028.8%8.3%46.2%4.7%48.0%19.4%18.9%74.9K-4.5M-32.4K0.1426.13N/AN/A83711913,6627,572
2007-11-05$11.39$12.5041.8%13.3%43.9%27.1%47.3%13.9%3.9%81.0K-4.9M-32.1K0.0218.83N/AN/A6471313,6997,680
2007-11-06$11.65$12.5049.6%12.7%43.1%40.6%45.8%14.8%2.9%91.5K-5.5M-32.7K0.3213.88N/AN/A35111213,6607,677
2007-11-07$11.38$12.5033.2%13.0%43.6%12.2%47.6%9.4%4.0%79.4K-4.5M-30.4K2.2417.69N/AN/A1,6463,68913,6927,733
2007-11-08$11.28$10.0034.4%13.1%43.3%14.4%47.4%6.4%7.0%82.8K-3.9M-32.3K0.0520.04N/AN/A3,69519014,9548,753
2007-11-09$11.24$10.0042.5%14.5%43.1%28.3%46.2%7.0%4.7%203.0K-8.3M-32.0K0.0125.28N/AN/A2,2471818,2735,656
2007-11-12$10.88$10.0045.1%14.7%44.2%32.7%46.0%2.4%5.9%212.9K-7.8M-32.7K0.2733.06N/AN/A1323520,0905,655
2007-11-13$11.25$10.0055.2%15.5%44.8%50.2%44.3%9.4%-3.8%247.3K-8.5M-32.5K0.0427.76N/AN/A6912620,0845,662
2007-11-14$11.32$10.0044.2%12.2%43.4%31.2%45.4%4.6%8.4%261.9K-8.7M-31.2K0.0125.11N/AN/A2,1092019,7495,650
2007-11-15$10.46$10.0046.2%13.2%51.2%34.6%46.1%-3.4%9.0%204.9K-6.2M-29.4K0.1119.87N/AN/A4725021,2425,618
2007-11-16$10.78$10.0047.0%13.5%52.5%36.1%47.0%4.0%7.5%244.2K-7.6M-29.8K0.0126.73N/AN/A187221,3405,455
2007-11-19$10.12$10.0048.1%13.8%55.6%37.9%47.7%13.0%4.7%209.2K-5.6M-27.5K0.2214.97N/AN/A51711619,4414,297
2007-11-20$10.36$10.0047.3%13.6%56.6%36.5%47.3%-4.7%5.1%216.0K-6.0M-27.6K0.0924.43N/AN/A2722419,4244,397
2007-11-21$10.00$10.0046.1%13.2%55.9%34.5%46.1%7.2%6.8%203.0K-5.1M-26.2K0.0519.19N/AN/A3091519,6154,397
2007-11-23$10.52$10.0050.6%14.5%59.3%42.2%0.0%17.3%3.3%233.9K-6.8M-27.9K0.4518.09N/AN/A743319,6214,405
2007-11-26$10.10$10.0045.0%12.9%60.5%32.5%0.0%8.3%9.9%209.2K-5.2M-25.2K0.2016.68N/AN/A3056019,6394,430
2007-11-27$10.45$10.0046.9%13.4%57.6%35.9%46.8%16.8%4.2%231.1K-6.3M-25.7K0.0017.40N/AN/A43019,4814,424
2007-11-28$10.93$10.0050.4%14.5%60.4%42.0%29.4%5.6%5.8%264.3K-8.3M-26.5K0.0217.17N/AN/A8661919,4934,424
2007-11-29$10.60$10.0047.4%13.6%61.0%36.7%69.2%15.0%5.3%240.7K-7.1M-24.8K0.0021.09N/AN/A10019,6594,439
2007-11-30$10.37$10.0046.5%13.3%58.0%35.2%70.2%11.9%8.9%228.2K-6.3M-24.3K0.0118.92N/AN/A141219,6694,439