HLIT Options History — November 2008

In November 2008, HLIT traded between $3.91 and $6.95. ATM implied volatility averaged 73.8%, placing in the 78.5% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 27.0% (HV 20d: 100.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2008-11-24: Highest Volume — 700 contracts
2008-11-11: Largest IV spike — 30.9% change
2008-11-20: Highest IV Rank — 100.0%
2008-11-21: Largest Expected Move — 26.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.25	$3.91	$6.95	$6.95	$5.15
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	73.8%	51.2%	91.3%	55.5%	74.9%
Expected Move	21.5%	15.0%	26.2%	15.9%	21.5%
HV 20d	100.8%	94.1%	115.2%	98.2%	105.3%
HV 60d	79.3%	69.5%	90.2%	69.6%	89.7%
IV Rank	78.5%	44.4%	100.0%	51.3%	75.7%
IV Percentile	90.0%	57.9%	100.0%	72.6%	92.1%
Term Structure	1.7%	-6.3%	12.5%	4.0%	6.8%
VWIV	73.7%	55.8%	86.4%	55.8%	73.1%
Skew 25d	11.1%	-11.7%	50.5%	50.5%	18.2%
Skew 10d	19.7%	-15.4%	64.5%	64.5%	33.8%
Call IV 25d	69.7%	49.9%	91.3%	56.4%	73.2%
Put IV 25d	80.8%	45.3%	107.0%	107.0%	91.4%
Bid-Ask Spread %	16.27	8.72	33.08	19.65	18.03
Gamma HHI	0.48	0.33	0.81	0.80	0.39
Net GEX	20.2K	4.5K	92.8K	88.8K	11.7K
Net DEX	681.1K	-872.4K	1.1M	-872.4K	729.9K
Net VEX	-4.2K	-10.5K	-1.7K	-10.5K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.00	8.58	0.00	0.10
Total Volume	159.526	10	700	17	165
Total OI	13,380.421	8,880	14,557	14,174	9,895

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-11-03	$6.95	$7.50	55.5%	15.9%	98.2%	51.3%	55.8%	50.5%	4.0%	88.8K	-872.4K	-10.5K	0.00	19.65	N/A	N/A	17	0	10,815	3,359
2008-11-04	$6.91	$7.50	52.5%	15.0%	97.9%	46.4%	0.0%	17.7%	7.2%	92.8K	-759.2K	-10.1K	2.14	12.77	N/A	N/A	85	182	10,820	3,359
2008-11-05	$6.35	$7.50	67.6%	19.4%	101.7%	70.8%	67.6%	-11.0%	-4.6%	53.0K	64.3K	-8.1K	0.17	9.59	N/A	N/A	120	20	10,895	3,344
2008-11-06	$5.93	$7.50	60.2%	17.2%	102.9%	58.8%	65.4%	-11.7%	0.4%	26.7K	620.2K	-6.1K	0.36	8.72	N/A	N/A	116	42	10,957	3,344
2008-11-07	$6.09	$7.50	51.2%	20.1%	103.7%	44.4%	0.0%	12.5%	4.6%	15.6K	704.4K	-5.9K	0.00	33.08	N/A	N/A	33	0	11,050	3,304
2008-11-10	$5.52	$7.50	60.5%	21.5%	94.1%	59.4%	75.1%	26.1%	-2.3%	10.4K	951.2K	-4.1K	1.19	12.15	N/A	N/A	149	178	11,077	3,304
2008-11-11	$5.27	$7.50	79.1%	21.3%	94.4%	89.6%	0.0%	0.2%	0.3%	9.2K	960.4K	-3.8K	0.35	12.00	N/A	N/A	31	11	11,214	3,339
2008-11-12	$4.92	$7.50	83.3%	22.5%	95.1%	96.3%	78.4%	-6.1%	-2.6%	6.6K	1.1M	-3.0K	3.50	14.66	N/A	N/A	4	14	11,218	3,339
2008-11-13	$5.32	$7.50	75.8%	21.7%	97.5%	84.1%	77.1%	0.4%	1.1%	5.7K	950.0K	-3.5K	0.45	12.88	N/A	N/A	42	19	11,218	3,296
2008-11-14	$4.83	$7.50	74.8%	21.4%	100.9%	82.5%	73.1%	17.5%	-0.3%	6.0K	1.1M	-2.6K	4.11	13.90	N/A	N/A	35	144	11,214	3,288
2008-11-17	$4.62	$7.50	81.5%	23.4%	97.6%	93.4%	0.0%	13.0%	-4.8%	5.6K	1.1M	-2.2K	0.00	14.51	N/A	N/A	20	0	11,231	3,246
2008-11-18	$4.48	$7.50	85.0%	24.4%	97.6%	99.1%	0.0%	5.5%	-6.3%	4.6K	1.1M	-1.8K	0.39	15.42	N/A	N/A	28	11	11,236	3,239
2008-11-19	$4.34	$7.50	85.1%	24.4%	96.6%	99.3%	85.3%	4.5%	0.6%	4.8K	1.1M	-2.0K	0.00	18.49	N/A	N/A	239	0	11,258	3,235
2008-11-20	$3.91	$7.50	90.8%	26.0%	99.9%	100.0%	0.0%	-11.4%	2.9%	4.5K	957.9K	-1.7K	0.51	27.25	N/A	N/A	35	18	11,292	3,160
2008-11-21	$4.46	$7.50	91.3%	26.2%	115.2%	100.0%	0.0%	12.1%	-0.4%	5.5K	994.8K	-2.3K	0.00	13.49	N/A	N/A	10	0	11,306	3,173
2008-11-24	$4.78	$7.50	86.4%	24.8%	111.4%	92.7%	86.4%	21.0%	3.1%	6.8K	796.7K	-2.7K	0.00	17.83	N/A	N/A	700	0	6,116	2,764
2008-11-25	$4.79	$7.50	72.8%	20.9%	100.1%	72.5%	73.1%	18.4%	12.5%	12.9K	734.6K	-2.9K	8.58	15.51	N/A	N/A	31	266	6,770	2,764
2008-11-26	$5.17	$7.50	73.8%	21.2%	105.7%	74.0%	0.0%	34.4%	9.3%	12.0K	665.6K	-3.5K	3.03	19.23	N/A	N/A	66	200	6,778	3,011
2008-11-28	$5.15	$7.50	74.9%	21.5%	105.3%	75.7%	0.0%	18.2%	6.8%	11.7K	729.9K	-3.5K	0.10	18.03	N/A	N/A	150	15	6,784	3,111