HLIT Options History — January 2008

In January 2008, HLIT traded between $8.69 and $10.92. ATM implied volatility averaged 57.7%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 13.8% (HV 20d: 43.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2008-01-14: Highest Volume — 5,659 contracts
  • 2008-01-30: Largest IV drop — 19.4% change
  • 2008-01-23: Highest IV Rank — 81.8%
  • 2008-01-23: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.62$8.69$10.92$10.66$10.92
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV57.7%44.5%73.5%44.5%52.9%
Expected Move16.9%12.8%21.1%12.8%15.2%
HV 20d43.9%36.0%65.0%36.0%64.9%
HV 60d48.0%46.1%53.6%46.8%53.4%
IV Rank54.5%31.8%81.8%31.8%46.2%
IV Percentile75.9%37.1%99.2%37.1%72.6%
Term Structure-2.5%-12.2%9.8%9.8%4.3%
VWIV59.0%44.5%74.3%44.5%49.4%
Skew 25d6.0%-13.2%25.1%-9.8%6.6%
Skew 10d14.2%-14.8%41.2%-8.5%8.0%
Call IV 25d57.3%47.7%73.9%54.5%47.7%
Put IV 25d63.2%44.7%82.1%44.7%54.3%
Bid-Ask Spread %21.1913.1531.6416.0731.64
Gamma HHI0.700.510.930.770.51
Net GEX193.7K47.2K504.2K250.1K94.9K
Net DEX-4.1M-8.9M321.3K-8.9M-8.2M
Net VEX-17.7K-20.8K-15.0K-17.1K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.004.390.310.40
Total Volume1,053.2861705,659170822
Total OI19,817.76216,16325,48016,74118,303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$10.66$10.0044.5%12.8%36.0%31.8%44.5%-9.8%9.8%250.1K-8.9M-17.1K0.3116.07N/AN/A1304014,8591,882
2008-01-03$10.44$10.0044.9%12.9%36.8%32.4%45.0%-13.2%5.5%266.2K-8.0M-17.1K0.0013.15N/AN/A4,0452014,8741,892
2008-01-04$9.95$10.0047.9%15.8%40.0%37.7%58.9%3.9%-3.6%369.0K-8.0M-20.8K0.1719.58N/AN/A5178718,4851,902
2008-01-07$9.96$10.0044.9%15.0%40.0%32.5%52.6%4.5%3.6%424.3K-7.8M-19.8K0.1024.01N/AN/A4424518,4061,937
2008-01-08$9.78$10.0047.9%14.9%39.8%37.6%52.4%8.7%2.5%407.6K-7.3M-19.2K0.1423.44N/AN/A3144518,4621,790
2008-01-09$9.54$10.0048.5%15.2%40.3%38.7%53.6%3.5%2.7%376.7K-5.9M-18.0K0.6723.20N/AN/A33522318,5221,699
2008-01-10$9.52$10.0055.8%16.0%37.9%51.2%55.8%3.3%0.2%382.0K-5.6M-17.8K0.2322.05N/AN/A3468118,7171,870
2008-01-11$9.22$10.0056.1%16.1%39.1%51.8%56.1%16.3%0.7%230.9K-3.7M-15.0K0.0616.78N/AN/A1771118,8881,948
2008-01-14$9.67$10.0057.5%16.5%42.0%54.2%57.5%9.0%-1.9%504.2K-6.1M-17.4K4.3921.15N/AN/A1,0504,60918,9761,948
2008-01-15$9.32$10.0059.2%17.0%43.7%57.1%59.2%19.3%-5.4%138.4K-979.3K-19.1K0.1518.39N/AN/A1953018,6796,431
2008-01-16$9.05$10.0061.5%17.6%44.8%61.1%61.6%11.8%-5.0%48.4K-241.9K-17.4K0.0516.70N/AN/A4152018,7616,422
2008-01-17$8.81$10.0062.4%17.9%43.7%62.6%63.0%4.0%-6.3%48.0K317.2K-16.1K0.8313.75N/AN/A27322718,8656,376
2008-01-18$8.80$10.0062.4%17.9%39.2%62.6%63.7%7.6%-6.1%47.2K148.5K-16.3K0.1415.11N/AN/A4896619,0516,429
2008-01-22$9.04$10.0066.5%19.1%40.1%69.7%60.3%4.2%-8.1%52.0K-341.3K-17.0K0.2822.58N/AN/A48813610,6755,488
2008-01-23$8.69$10.0073.5%21.1%39.7%81.8%74.3%-1.4%-12.2%48.3K321.3K-15.7K0.1423.24N/AN/A3715110,9005,591
2008-01-24$9.22$10.0068.3%19.6%46.9%72.9%68.3%13.0%-6.3%55.5K-1.0M-18.0K0.0726.88N/AN/A6444211,0465,642
2008-01-25$9.37$10.0067.5%19.3%47.2%71.4%71.3%16.1%-6.3%66.1K-1.4M-18.3K0.0221.00N/AN/A5751311,3925,659
2008-01-28$9.60$10.0069.4%19.9%47.6%74.7%70.3%25.1%-9.1%70.5K-2.3M-18.3K0.2225.40N/AN/A46210011,6315,668
2008-01-29$9.57$10.0066.6%19.1%47.2%69.9%67.0%0.5%-9.6%77.0K-2.3M-18.2K0.2723.87N/AN/A1,22633311,9165,743
2008-01-30$10.82$10.0053.7%15.4%65.0%47.6%54.3%-7.3%-0.9%109.7K-7.9M-17.4K0.1126.92N/AN/A2,36126312,5325,916
2008-01-31$10.92$10.0052.9%15.2%64.9%46.2%49.4%6.6%4.3%94.9K-8.2M-16.9K0.4031.64N/AN/A58923312,3825,921