HLIT Options History — December 2008

In December 2008, HLIT traded between $4.33 and $5.88. ATM implied volatility averaged 73.2%, placing in the 73.1% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 43.4% (HV 20d: 116.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2008-12-01: Highest Volume — 275 contracts
  • 2008-12-26: Largest IV spike — 23.9% change
  • 2008-12-12: Highest IV Rank — 92.9%
  • 2008-12-12: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.29$4.33$5.88$4.33$5.61
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV73.2%54.6%86.5%68.6%54.6%
Expected Move21.3%15.7%24.8%19.7%15.7%
HV 20d116.6%92.0%130.2%118.4%92.2%
HV 60d100.9%95.9%104.9%95.9%104.9%
IV Rank73.1%45.6%92.9%66.4%45.6%
IV Percentile86.4%57.9%99.2%87.3%57.9%
Term Structure5.6%-5.3%33.8%4.2%28.5%
VWIV70.3%41.2%86.5%56.2%73.5%
Skew 25d17.6%-6.3%38.1%8.6%5.2%
Skew 10d32.9%4.7%55.9%14.5%12.1%
Call IV 25d71.5%50.5%114.9%81.6%114.9%
Put IV 25d89.1%67.2%122.6%90.2%120.1%
Bid-Ask Spread %19.6611.5034.5628.8623.98
Gamma HHI0.470.430.560.440.46
Net GEX11.7K4.7K16.9K7.8K4.7K
Net DEX473.0K-127.4K922.5K922.5K-94.5K
Net VEX-2.4K-3.0K-1.7K-2.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0017.3317.330.08
Total Volume83.510275275270
Total OI8,928.2737,0959,9449,9447,170

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$4.33$7.5068.6%19.7%118.4%66.4%56.2%8.6%4.2%7.8K922.5K-2.2K17.3328.86N/AN/A152606,8333,111
2008-12-02$4.56$7.5074.5%21.4%121.4%75.1%74.2%8.4%4.5%9.2K897.8K-2.3K0.0019.99N/AN/A0556,8483,031
2008-12-03$4.74$7.5075.9%21.8%123.2%77.2%75.8%24.7%5.1%11.1K839.3K-2.5K0.6817.36N/AN/A22156,8482,977
2008-12-04$4.39$7.5079.5%22.8%122.7%82.6%0.0%22.6%-0.3%8.4K912.1K-1.9K0.0024.87N/AN/A2506,8282,962
2008-12-05$4.74$7.5071.5%22.0%125.6%70.7%76.9%16.4%10.0%11.2K883.6K-2.3K0.0914.11N/AN/A108106,8452,962
2008-12-08$5.19$7.5079.4%23.4%130.2%82.3%81.3%24.8%6.0%14.3K732.2K-2.9K0.7313.70N/AN/A30226,7772,972
2008-12-09$4.97$7.5072.2%23.2%126.5%71.7%81.0%27.2%5.2%14.0K772.5K-2.7K0.0015.08N/AN/A20906,7952,992
2008-12-10$5.20$7.5070.9%23.3%126.7%69.8%0.0%32.3%3.1%15.6K740.2K-2.7K0.0011.50N/AN/A4006,6662,992
2008-12-11$5.13$7.5081.5%23.4%124.3%85.5%48.7%26.6%0.4%15.1K757.6K-2.7K0.0015.18N/AN/A23606,6772,992
2008-12-12$5.60$7.5086.5%24.8%125.1%92.9%86.5%38.1%-5.3%16.4K545.8K-3.0K0.2212.20N/AN/A45106,7672,992
2008-12-15$5.38$7.5080.4%23.0%120.7%83.8%80.4%12.5%-0.1%16.9K604.9K-2.7K0.2715.40N/AN/A37106,7772,992
2008-12-16$5.81$7.5083.2%23.9%121.7%88.0%72.5%9.3%-3.1%16.1K462.7K-3.0K0.0020.50N/AN/A12606,7773,002
2008-12-17$5.81$7.5077.0%22.1%120.8%78.7%70.0%3.9%5.6%15.4K492.4K-2.9K0.3322.08N/AN/A1866,6763,002
2008-12-18$5.55$7.5077.2%22.1%121.6%79.2%0.0%27.1%2.6%12.6K583.9K-2.5K0.0015.20N/AN/A0256,6703,002
2008-12-19$5.86$7.5074.1%21.3%114.2%74.5%0.0%20.5%2.8%15.1K532.9K-2.7K0.5017.68N/AN/A20106,6702,999
2008-12-22$5.69$7.5070.5%20.2%107.5%69.1%0.0%20.4%4.3%4.8K-41.7K-1.7K0.0023.18N/AN/A0106,0591,036
2008-12-23$5.59$7.5067.1%19.2%105.8%64.1%66.4%13.9%7.5%11.6K-28.7K-2.2K0.0019.63N/AN/A3206,0591,046
2008-12-24$5.88$7.5056.3%16.1%106.9%48.1%41.2%-6.3%33.8%14.8K-127.4K-2.4K0.0034.56N/AN/A5806,0681,046
2008-12-26$5.80$7.5069.7%20.0%104.2%68.0%0.0%11.8%4.2%5.0K-73.6K-1.8K0.0028.22N/AN/A3006,1061,046
2008-12-29$5.18$7.5073.5%21.1%112.4%73.7%73.5%17.3%-1.0%9.2K61.1K-1.8K0.7014.55N/AN/A43306,1361,046
2008-12-30$5.31$7.5065.6%18.8%92.0%61.9%0.0%21.5%5.0%9.2K29.8K-1.7K0.0024.67N/AN/A1006,1541,016
2008-12-31$5.61$7.5054.6%15.7%92.2%45.6%0.0%5.2%28.5%4.7K-94.5K-1.7K0.0823.98N/AN/A249216,1541,016