HLIT Options History — August 2008

In August 2008, HLIT traded between $7.51 and $8.93. ATM implied volatility averaged 40.4%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 33.9% (HV 20d: 74.3%). 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 20 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2008-08-04: Highest Volume — 1,324 contracts
  • 2008-08-11: Largest IV spike — 43.8% change
  • 2008-08-13: Highest IV Rank — 60.4%
  • 2008-08-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.43$7.51$8.93$7.81$8.80
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.4%27.3%60.1%48.5%32.1%
Expected Move11.5%7.8%13.9%13.9%9.2%
HV 20d74.3%37.1%85.2%78.6%37.7%
HV 60d56.1%54.3%57.4%55.0%54.3%
IV Rank27.6%5.8%60.4%41.2%13.7%
IV Percentile29.0%0.8%89.3%54.8%4.4%
Term Structure6.2%-1.3%23.1%0.3%16.3%
VWIV40.4%29.8%49.1%49.1%35.6%
Skew 25d3.9%-14.5%14.4%7.8%6.5%
Skew 10d7.9%-11.1%22.4%22.4%6.3%
Call IV 25d36.2%25.2%44.7%43.9%26.9%
Put IV 25d40.1%24.9%51.7%51.7%33.4%
Bid-Ask Spread %16.755.2435.0114.656.64
Gamma HHI0.430.410.450.420.44
Net GEX70.9K54.2K83.7K56.1K78.7K
Net DEX-1.9M-3.1M234.5K-235.2K-2.4M
Net VEX-16.4K-19.0K-12.7K-14.2K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.050.280.00
Total Volume328.286131,32446871
Total OI16,386.04815,44817,91215,48515,859

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$7.81$10.0048.5%13.9%78.6%41.2%49.1%7.8%0.3%56.1K-235.2K-14.2K0.2814.65N/AN/A36510311,4064,079
2008-08-04$7.51$10.0048.3%13.0%79.3%40.7%45.2%4.7%0.7%54.2K234.5K-12.7K0.317.86N/AN/A1,01231211,6834,117
2008-08-05$7.70$10.0044.8%13.2%79.4%35.0%45.9%8.0%2.2%60.6K-268.5K-14.6K0.0410.09N/AN/A3811512,3184,409
2008-08-06$8.02$10.0035.5%12.5%81.2%19.3%38.2%12.7%2.4%65.7K-1.0M-15.4K0.0411.35N/AN/A6923112,5264,268
2008-08-07$7.97$10.0038.6%12.2%80.3%24.6%40.5%14.4%4.3%69.7K-1.2M-15.9K0.3911.75N/AN/A1134412,8024,191
2008-08-08$8.41$10.0032.5%12.2%83.3%14.4%42.7%-1.8%7.0%65.5K-1.9M-17.3K0.0128.42N/AN/A6861012,8284,233
2008-08-11$8.55$10.0046.7%12.9%83.5%38.2%42.1%0.5%0.6%71.1K-2.5M-18.0K0.4135.01N/AN/A45218513,2374,243
2008-08-12$8.66$10.0054.1%12.5%83.8%50.4%41.4%2.8%2.4%72.8K-2.7M-18.5K0.0232.61N/AN/A284513,3604,404
2008-08-13$8.83$10.0060.1%12.7%83.5%60.4%44.4%4.0%1.9%74.4K-3.1M-19.0K0.0327.91N/AN/A3371013,5084,404
2008-08-14$8.81$10.0042.6%12.2%83.5%31.2%42.6%-14.5%3.5%72.7K-3.0M-18.7K0.1011.45N/AN/A1972013,2924,414
2008-08-15$8.78$10.0039.9%11.4%83.4%26.8%34.8%-7.2%4.0%72.7K-2.9M-18.1K0.0021.50N/AN/A173013,3544,417
2008-08-18$8.36$10.0041.3%11.8%84.9%29.1%41.3%10.3%4.7%72.5K-1.9M-16.5K0.3620.98N/AN/A2137711,5903,927
2008-08-19$8.33$10.0040.5%11.6%84.9%27.8%29.8%8.5%8.1%69.3K-1.7M-16.4K0.4721.70N/AN/A1296011,4944,004
2008-08-20$8.45$10.0043.8%12.6%84.9%33.3%43.8%11.5%4.2%69.4K-1.9M-16.2K0.1221.46N/AN/A2172511,4244,024
2008-08-21$8.42$10.0043.0%12.3%84.9%31.9%0.0%9.3%4.0%72.0K-1.8M-16.2K0.0021.67N/AN/A13011,5944,043
2008-08-22$8.58$10.0032.2%9.2%85.1%14.0%39.5%-3.5%7.5%76.0K-2.2M-16.5K0.075.88N/AN/A1771211,6014,043
2008-08-25$8.60$10.0028.4%8.1%85.2%7.6%30.2%4.0%16.0%83.7K-2.2M-15.0K0.277.42N/AN/A1103011,6384,043
2008-08-26$8.72$10.0027.3%7.8%37.6%5.8%0.0%4.6%23.1%76.0K-2.4M-16.3K0.005.85N/AN/A02411,6374,071
2008-08-27$8.93$10.0035.8%10.3%37.1%19.9%35.6%-10.1%-1.3%77.9K-2.9M-16.7K1.0522.37N/AN/A10210711,6374,092
2008-08-28$8.86$10.0032.6%9.4%37.4%14.6%0.0%8.9%18.4%78.4K-2.7M-16.6K0.005.24N/AN/A100011,7104,183
2008-08-29$8.80$10.0032.1%9.2%37.7%13.7%0.0%6.5%16.3%78.7K-2.4M-15.9K0.006.64N/AN/A71011,6764,183