HLIT Options History — March 2008

In March 2008, HLIT traded between $7.54 and $8.39. ATM implied volatility averaged 58.6%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 15.0% (HV 20d: 43.6%). 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 11 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-03-03: Highest Volume — 511 contracts
  • 2008-03-12: Largest IV drop — 14.6% change
  • 2008-03-17: Highest IV Rank — 64.4%
  • 2008-03-17: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.01$7.54$8.39$8.26$7.60
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV58.6%52.0%64.4%60.0%59.6%
Expected Move16.9%15.0%18.5%17.2%17.1%
HV 20d43.6%36.6%50.3%50.1%45.1%
HV 60d51.5%50.3%52.3%52.0%52.0%
IV Rank53.8%41.9%64.4%56.4%55.7%
IV Percentile82.4%65.9%93.3%86.1%83.7%
Term Structure0.4%-6.0%7.8%-1.8%2.7%
VWIV53.9%34.0%59.4%55.7%59.4%
Skew 25d7.1%-7.3%23.6%-7.3%7.5%
Skew 10d11.8%-5.6%28.9%-2.0%11.4%
Call IV 25d51.4%36.9%65.6%65.6%52.9%
Put IV 25d58.5%50.7%65.0%58.3%60.4%
Bid-Ask Spread %13.157.5922.8516.4210.87
Gamma HHI0.410.380.460.410.45
Net GEX30.0K23.1K36.8K36.8K23.8K
Net DEX83.5K-380.8K598.3K-90.6K553.0K
Net VEX-7.1K-8.7K-5.2K-8.3K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.005.440.932.29
Total Volume18321511511339
Total OI11,021.110,17811,66710,75410,449

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$8.26$10.0060.0%17.2%50.1%56.4%55.7%-7.3%-1.8%36.8K-90.6K-8.3K0.9316.42N/AN/A2652467,9022,852
2008-03-04$8.28$10.0052.3%15.0%50.2%42.4%0.0%9.4%7.8%35.5K-227.7K-8.7K5.4421.77N/AN/A16878,1132,962
2008-03-05$8.25$10.0053.8%15.4%50.3%45.2%0.0%11.5%7.1%34.6K-210.3K-8.7K0.4022.85N/AN/A102418,1182,967
2008-03-06$8.11$10.0057.4%16.5%44.5%51.8%0.0%14.8%3.0%31.4K50.6K-8.0K0.0016.95N/AN/A22308,1092,988
2008-03-07$8.05$10.0052.9%16.2%44.4%43.6%55.8%0.3%1.6%30.1K89.2K-7.6K0.6211.27N/AN/A34218,1842,988
2008-03-10$7.93$10.0058.3%17.1%44.4%53.3%0.0%-2.4%1.0%28.4K193.6K-7.1K0.1112.29N/AN/A186218,1983,009
2008-03-11$7.95$10.0060.8%17.1%44.2%57.9%49.6%2.5%-1.0%30.6K174.6K-7.2K0.058.46N/AN/A256148,3473,018
2008-03-12$7.79$10.0052.0%16.7%41.3%41.9%59.1%-4.3%0.2%28.5K308.6K-6.6K0.1116.86N/AN/A158178,3232,964
2008-03-13$7.85$10.0058.3%16.7%37.4%53.4%34.0%-0.4%-0.9%30.2K244.2K-6.7K4.647.59N/AN/A11518,4582,958
2008-03-14$8.08$10.0061.9%17.7%36.6%59.8%55.9%3.3%-4.1%32.1K-70.3K-7.5K0.0818.82N/AN/A223188,4682,974
2008-03-17$8.25$10.0064.4%18.5%37.6%64.4%55.6%4.9%-4.6%31.8K-312.7K-8.0K0.1713.74N/AN/A150268,6602,977
2008-03-18$8.39$10.0058.9%16.9%37.7%54.4%59.2%1.3%-0.9%32.7K-380.8K-8.0K0.1513.77N/AN/A144218,6832,970
2008-03-19$7.91$10.0060.9%17.5%42.5%58.1%44.1%0.1%-2.6%28.3K150.8K-6.8K0.528.47N/AN/A88468,6192,978
2008-03-20$7.97$10.0064.0%18.3%42.5%63.6%58.1%23.6%-6.0%28.8K58.9K-7.2K0.288.20N/AN/A108308,6692,998
2008-03-24$8.23$10.0058.8%16.9%44.2%54.3%48.5%21.4%4.2%30.4K-118.2K-6.8K0.0112.85N/AN/A17727,3732,805
2008-03-25$8.20$10.0060.7%17.4%44.1%57.7%51.5%21.5%3.0%30.2K-59.0K-6.9K0.8714.21N/AN/A23207,4192,805
2008-03-26$7.97$10.0057.7%16.5%43.2%52.3%57.7%15.1%-3.8%28.4K194.3K-6.0K1.4810.50N/AN/A62927,4422,805
2008-03-27$7.56$10.0059.4%17.0%45.9%55.3%59.4%7.5%3.1%24.7K523.5K-5.4K0.308.72N/AN/A246757,4942,884
2008-03-28$7.54$10.0059.2%17.0%45.1%55.0%59.2%11.1%0.1%23.1K598.3K-5.3K0.008.30N/AN/A2107,5332,959
2008-03-31$7.60$10.0059.6%17.1%45.1%55.7%59.4%7.5%2.7%23.8K553.0K-5.2K2.2910.87N/AN/A1032367,5432,906