HLIT Options History — September 2008

In September 2008, HLIT traded between $8.02 and $9.35. ATM implied volatility averaged 43.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 5.3% (HV 20d: 48.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2008-09-04: Highest Volume — 2,489 contracts
  • 2008-09-29: Largest IV spike — 69.5% change
  • 2008-09-29: Highest IV Rank — 63.3%
  • 2008-09-29: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.53$8.02$9.35$8.39$8.45
Max Pain$7.86$7.50$10.00$10.00$7.50
ATM IV43.2%30.6%61.8%34.9%36.5%
Expected Move12.8%8.8%17.7%10.0%10.5%
HV 20d48.5%38.5%63.6%39.2%62.4%
HV 60d58.1%55.0%62.3%55.1%62.3%
IV Rank32.2%11.2%63.3%18.4%21.1%
IV Percentile38.9%3.2%93.3%8.7%15.5%
Term Structure6.7%-3.9%27.9%5.9%23.0%
VWIV45.3%35.6%72.2%41.5%72.2%
Skew 25d-6.7%-24.6%3.2%-4.1%-24.6%
Skew 10d-1.0%-15.0%20.1%-2.2%-5.5%
Call IV 25d48.3%30.1%69.2%32.5%59.1%
Put IV 25d41.7%28.4%63.7%28.4%34.5%
Bid-Ask Spread %21.306.1137.946.1110.53
Gamma HHI0.450.430.510.440.45
Net GEX105.5K70.9K119.7K76.7K112.4K
Net DEX-3.1M-5.4M-786.4K-1.5M-3.6M
Net VEX-13.5K-15.6K-12.3K-13.9K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.430.190.15
Total Volume337.81392,489253155
Total OI17,048.61915,83818,28715,83816,365

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$8.39$10.0034.9%10.0%39.2%18.4%41.5%-4.1%5.9%76.7K-1.5M-13.9K0.196.11N/AN/A2124111,6554,183
2008-09-03$8.43$10.0030.6%8.8%38.5%11.2%0.0%-0.3%13.5%83.7K-1.6M-13.6K0.007.74N/AN/A39011,8074,224
2008-09-04$8.02$10.0042.8%12.3%40.6%31.5%42.7%3.2%3.3%70.9K-786.4K-12.7K0.0022.32N/AN/A2,489011,8334,224
2008-09-05$8.03$7.5045.8%12.8%40.5%36.6%44.7%-3.6%4.6%96.0K-1.5M-14.0K0.0011.35N/AN/A81013,4174,170
2008-09-08$8.47$7.5034.6%12.8%40.4%18.0%45.2%-0.5%7.8%102.9K-2.6M-14.1K0.6519.42N/AN/A463013,4744,150
2008-09-09$8.26$7.5032.1%12.2%40.9%13.8%42.6%-3.8%6.9%100.6K-2.1M-13.1K0.0015.92N/AN/A1,054013,4834,150
2008-09-10$8.51$7.5031.1%11.7%42.1%12.1%40.2%-2.8%8.8%111.9K-3.1M-13.9K0.1433.81N/AN/A1442014,1374,150
2008-09-11$8.72$7.5033.8%9.7%42.5%16.5%40.1%-8.0%8.5%111.1K-3.5M-14.1K0.006.49N/AN/A156014,0474,130
2008-09-12$8.84$7.5044.6%12.8%42.8%34.6%40.1%-14.4%0.7%111.4K-3.8M-15.1K0.3416.13N/AN/A712413,8764,130
2008-09-15$8.62$7.5048.9%14.0%43.7%41.7%50.9%-6.9%-2.0%112.7K-3.2M-14.3K0.0523.63N/AN/A188913,8614,110
2008-09-16$8.66$7.5048.9%14.0%39.9%41.7%49.8%-7.8%-0.8%112.0K-3.3M-13.9K0.0930.49N/AN/A1081013,8424,119
2008-09-17$8.35$7.5044.6%12.8%42.1%34.6%44.6%-13.0%6.8%108.4K-2.5M-12.6K0.0029.69N/AN/A84013,8224,109
2008-09-18$9.09$7.5051.1%14.7%51.6%45.5%43.4%-10.8%-2.6%118.0K-4.5M-15.3K0.0221.22N/AN/A4991013,8864,109
2008-09-19$9.35$7.5051.8%14.9%52.3%46.6%47.1%-2.9%-3.9%119.7K-5.4M-15.6K0.0014.94N/AN/A615013,8174,024
2008-09-22$8.79$7.5045.3%13.0%57.1%35.7%36.3%-11.8%3.0%114.1K-4.3M-12.6K1.4324.62N/AN/A13819813,2002,744
2008-09-23$8.38$7.5040.8%11.7%59.7%28.4%38.3%-1.1%27.9%110.0K-3.5M-12.4K1.0137.90N/AN/A14814913,2372,713
2008-09-24$8.41$7.5053.9%15.5%59.4%50.2%60.4%3.1%0.4%109.8K-3.4M-12.5K0.0035.31N/AN/A54013,2842,852
2008-09-25$8.52$7.5056.2%16.1%58.9%54.0%0.0%-2.1%0.9%112.4K-3.6M-12.6K0.6327.20N/AN/A352213,3242,852
2008-09-26$8.73$7.5036.5%10.5%59.7%21.0%35.6%-22.1%22.1%113.8K-4.3M-13.5K0.1114.58N/AN/A62713,3592,874
2008-09-29$8.20$7.5061.8%17.7%63.6%63.3%72.2%-5.5%6.5%107.7K-3.1M-12.3K0.0037.94N/AN/A196013,4042,874
2008-09-30$8.45$7.5036.5%10.5%62.4%21.1%0.0%-24.6%23.0%112.4K-3.6M-12.4K0.1510.53N/AN/A1352013,4912,874