HLIT Options History — December 2007

In December 2007, HLIT traded between $9.69 and $10.99. ATM implied volatility averaged 49.3%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 0.4% (HV 20d: 48.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-12-19: Highest Volume — 3,040 contracts
  • 2007-12-10: Largest IV spike — 16.8% change
  • 2007-12-18: Highest IV Rank — 57.0%
  • 2007-12-18: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.42$9.69$10.99$10.41$10.48
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV49.3%41.3%59.2%45.9%47.0%
Expected Move14.7%11.9%17.0%13.2%13.5%
HV 20d48.8%35.3%57.7%57.5%35.5%
HV 60d46.1%45.2%47.0%46.6%46.7%
IV Rank40.0%26.2%57.0%34.2%36.0%
IV Percentile56.1%22.8%83.1%44.6%48.8%
Term Structure5.4%1.0%9.5%9.5%5.3%
VWIV51.9%42.2%59.1%47.1%52.8%
Skew 25d3.0%-11.0%25.4%13.4%-6.9%
Skew 10d10.0%-15.5%60.6%18.5%-4.9%
Call IV 25d49.7%32.9%59.2%32.9%55.4%
Put IV 25d52.6%41.1%77.2%46.2%48.5%
Bid-Ask Spread %20.208.3631.2919.398.36
Gamma HHI0.660.470.870.480.78
Net GEX232.3K153.5K407.5K231.6K248.8K
Net DEX-6.8M-11.5M-3.1M-6.5M-8.3M
Net VEX-18.7K-23.2K-14.5K-23.0K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.006.890.000.10
Total Volume750.91373,040435169
Total OI21,937.913,56524,85224,11316,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$10.41$10.0045.9%13.2%57.5%34.2%47.1%13.4%9.5%231.6K-6.5M-23.0K0.0019.39N/AN/A435019,6724,441
2007-12-04$10.38$10.0049.4%14.2%57.3%40.2%49.4%15.6%3.4%233.3K-6.2M-23.2K0.2118.73N/AN/A1994219,9094,441
2007-12-05$10.55$10.0049.4%14.2%56.9%40.2%0.0%14.7%6.4%240.4K-6.8M-22.8K0.0218.56N/AN/A231519,7434,450
2007-12-06$10.53$10.0046.0%13.2%56.5%34.4%0.0%12.2%7.0%239.6K-6.9M-22.3K0.2523.64N/AN/A1614019,9494,455
2007-12-07$10.70$10.0042.0%15.7%56.9%27.4%56.6%0.3%1.0%233.5K-7.7M-21.7K0.0519.48N/AN/A2161019,9694,495
2007-12-10$10.56$10.0049.0%16.0%57.0%39.6%56.0%-4.8%2.4%238.9K-7.1M-21.1K0.1713.23N/AN/A1172020,0964,505
2007-12-11$10.13$10.0041.3%14.8%57.7%26.2%53.8%-11.0%5.3%245.6K-5.6M-19.8K0.0714.58N/AN/A4533020,1614,493
2007-12-12$10.18$10.0047.7%15.9%56.2%37.3%55.9%-7.1%3.0%244.7K-5.3M-20.1K0.1220.05N/AN/A4355220,1604,476
2007-12-13$9.86$10.0053.4%15.3%56.8%47.2%53.5%-9.6%5.9%243.3K-3.8M-19.4K0.0523.57N/AN/A2191220,2034,473
2007-12-14$9.74$10.0053.2%15.2%50.1%46.7%52.8%5.5%6.2%245.2K-3.6M-18.9K0.6630.69N/AN/A30220020,3454,476
2007-12-17$9.69$10.0057.5%16.5%48.5%54.1%57.1%22.0%3.1%286.0K-3.1M-17.9K6.8918.61N/AN/A2611,79820,3494,486
2007-12-18$9.98$10.0059.2%17.0%44.8%57.0%59.1%8.6%2.5%407.5K-5.3M-17.2K1.6631.29N/AN/A42169720,3643,458
2007-12-19$10.45$10.0050.8%14.6%47.1%42.7%50.9%25.4%7.5%250.8K-8.5M-14.5K0.0020.46N/AN/A3,040020,5472,378
2007-12-20$10.65$10.0050.8%14.6%45.6%42.7%50.3%-2.8%7.7%175.3K-10.1M-15.6K0.0218.38N/AN/A1,2652521,7522,378
2007-12-21$10.90$10.0052.0%14.9%42.7%44.6%52.1%-2.7%5.0%153.5K-11.5M-16.4K0.4615.07N/AN/A1697722,4862,366
2007-12-24$10.87$10.0049.5%14.2%39.7%40.4%48.9%-2.4%6.3%164.5K-7.4M-15.5K0.0020.28N/AN/A353111,8341,731
2007-12-26$10.99$10.0052.1%14.9%38.2%44.9%48.9%3.7%7.3%162.9K-7.8M-15.1K0.6625.12N/AN/A1046911,9311,732
2007-12-27$10.63$10.0047.4%13.6%36.7%36.8%46.5%-4.6%5.5%179.4K-6.9M-14.8K0.0419.14N/AN/A1,8528012,0101,794
2007-12-28$10.74$10.0041.5%11.9%35.3%26.6%42.2%-9.4%8.1%220.5K-8.4M-16.4K0.0225.32N/AN/A1,4283013,7021,871
2007-12-31$10.48$10.0047.0%13.5%35.5%36.0%52.8%-6.9%5.3%248.8K-8.3M-17.8K0.108.36N/AN/A1541514,8091,868