HLIT Options History — June 2008

In June 2008, HLIT traded between $9.17 and $10.56. ATM implied volatility averaged 39.4%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.3% (HV 20d: 39.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2008-06-05: Highest Volume — 6,040 contracts
  • 2008-06-12: Largest IV spike — 15.6% change
  • 2008-06-23: Highest IV Rank — 32.5%
  • 2008-06-23: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.86$9.17$10.56$9.26$9.51
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV39.4%34.7%43.4%34.7%36.3%
Expected Move11.5%9.9%12.4%9.9%10.4%
HV 20d39.1%34.5%43.0%34.7%40.1%
HV 60d40.1%38.7%41.6%39.9%39.6%
IV Rank25.8%17.9%32.5%17.9%20.7%
IV Percentile18.0%6.0%35.3%6.0%9.1%
Term Structure5.3%1.6%13.9%7.0%13.9%
VWIV39.7%34.7%43.3%34.7%36.4%
Skew 25d3.4%-10.7%13.3%11.6%13.3%
Skew 10d5.5%-17.1%22.8%21.7%22.8%
Call IV 25d36.3%29.3%45.1%37.4%40.8%
Put IV 25d39.7%33.2%54.1%49.0%54.1%
Bid-Ask Spread %9.024.2016.244.9916.24
Gamma HHI0.790.480.940.490.89
Net GEX285.7K97.8K754.7K97.8K337.0K
Net DEX-11.1M-18.4M-7.5M-7.8M-7.5M
Net VEX-23.0K-26.5K-17.8K-17.8K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.800.070.10
Total Volume1,090.812436,040876378
Total OI21,993.71417,11227,33817,11222,563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$9.26$7.5034.7%9.9%34.7%17.9%34.7%11.6%7.0%97.8K-7.8M-17.8K0.074.99N/AN/A8166014,2452,867
2008-06-03$9.17$7.5039.2%11.2%34.5%25.4%0.0%-3.6%1.6%104.6K-7.5M-18.0K0.004.20N/AN/A332014,4852,927
2008-06-04$9.55$7.5038.7%11.1%35.9%24.6%38.7%0.2%5.1%100.1K-8.6M-18.5K0.0015.87N/AN/A682014,4522,927
2008-06-05$9.99$7.5035.9%10.3%37.1%20.0%35.9%-10.7%3.0%114.3K-10.1M-18.6K0.0513.01N/AN/A5,74729314,9672,927
2008-06-06$10.00$7.5038.6%11.2%37.2%24.4%37.1%-9.4%4.4%245.0K-11.9M-22.3K0.427.44N/AN/A37816018,2273,047
2008-06-09$9.84$7.5037.3%11.1%37.5%22.3%38.4%2.4%4.8%258.6K-11.0M-22.0K0.267.48N/AN/A43811418,3313,230
2008-06-10$9.82$7.5036.8%11.8%37.7%21.4%39.3%1.6%3.3%268.1K-11.0M-22.6K0.527.35N/AN/A39720818,6543,262
2008-06-11$9.50$7.5035.5%12.1%40.5%19.3%41.4%-1.1%2.1%234.3K-9.4M-22.4K0.017.26N/AN/A7641118,6963,432
2008-06-12$9.57$7.5041.0%11.8%40.5%28.5%39.6%3.5%3.9%245.5K-9.6M-22.1K0.656.82N/AN/A16210518,7593,443
2008-06-13$9.91$7.5040.9%11.7%41.6%28.3%40.9%2.7%4.6%275.5K-11.2M-22.2K0.027.47N/AN/A299718,5683,488
2008-06-16$10.16$7.5039.9%11.4%40.0%26.6%39.9%7.7%5.5%324.5K-12.8M-21.8K0.077.61N/AN/A4,09327318,7443,488
2008-06-17$10.24$7.5041.9%12.0%39.9%29.9%41.8%10.1%3.4%403.5K-14.9M-25.2K0.026.50N/AN/A3,1185021,3743,654
2008-06-18$10.44$7.5041.5%11.9%40.1%29.2%41.3%9.7%4.4%409.6K-17.4M-26.5K0.669.81N/AN/A33121823,4853,672
2008-06-19$10.56$7.5041.1%11.8%36.7%28.7%41.2%11.3%4.8%298.0K-18.4M-25.8K0.0210.26N/AN/A387923,5613,777
2008-06-20$10.12$7.5041.6%11.9%40.5%29.5%41.6%4.3%4.0%754.7K-15.7M-26.5K0.029.85N/AN/A5461323,4803,782
2008-06-23$9.99$7.5043.4%12.4%40.0%32.5%43.3%5.5%4.7%288.3K-10.1M-25.8K1.807.78N/AN/A12222018,2233,292
2008-06-24$9.84$7.5041.9%12.0%40.5%29.9%41.6%2.7%6.2%293.6K-9.3M-25.6K0.007.88N/AN/A389018,2963,441
2008-06-25$10.14$7.5040.8%11.7%41.5%28.1%40.8%7.1%6.9%312.8K-10.9M-25.7K0.0410.42N/AN/A2331018,5113,441
2008-06-26$9.86$7.5039.9%11.4%43.0%26.6%39.9%3.2%9.0%323.3K-9.5M-25.4K0.2310.79N/AN/A3979218,6243,451
2008-06-27$9.64$7.5040.5%11.6%42.2%27.7%40.5%-0.3%8.8%309.8K-8.3M-24.6K0.0110.48N/AN/A1,048718,6243,451
2008-06-30$9.51$7.5036.3%10.4%40.1%20.7%36.4%13.3%13.9%337.0K-7.5M-23.3K0.1016.24N/AN/A3453319,0133,550