HLIT Options History — February 2009 In February 2009, HLIT traded between $5.02 and $5.88. ATM implied volatility averaged 64.3%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 2.2% (HV 20d: 66.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.43.
Notable Days 2009-02-04 : Highest Volume — 525 contracts2009-02-12 : Largest IV spike — 28.6% change2009-02-17 : Highest IV Rank — 62.9%2009-02-17 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $5.50 $5.02 $5.88 $5.24 $5.44 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 64.3% 47.5% 72.1% 71.8% 65.1% Expected Move 19.3% 17.9% 20.7% 20.6% 18.7% HV 20d 66.4% 54.2% 76.4% 72.0% 59.8% HV 60d 94.2% 80.3% 101.6% 101.6% 80.3% IV Rank 52.7% 30.9% 62.9% 62.5% 53.8% IV Percentile 69.2% 37.7% 79.0% 79.0% 69.8% Term Structure 1.7% -3.4% 5.2% -2.8% 4.1% VWIV 66.4% 62.5% 71.8% 71.8% 66.1% Skew 25d 13.5% -0.4% 29.2% 5.8% 24.0% Skew 10d 22.2% 2.1% 33.8% 12.1% 33.8% Call IV 25d 57.1% 42.1% 69.7% 65.9% 47.4% Put IV 25d 70.6% 67.7% 72.4% 71.6% 71.4% Bid-Ask Spread % 22.30 17.09 27.34 24.14 22.27 Gamma HHI 0.53 0.48 0.72 0.57 0.48 Net GEX 2.6K -186 5.0K 5.0K 698 Net DEX -150.2K -369.5K 84.9K -115.4K 3.8K Net VEX -2.7K -3.1K -2.1K -2.4K -2.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.43 0.00 20.00 0.00 0.00 Total Volume 91.632 0 525 30 16 Total OI 4,699.526 4,028 5,115 4,421 4,055
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 2009-02-02 $5.24 $5.00 71.8% 20.6% 72.0% 62.5% 71.8% 5.8% -2.8% 5.0K -115.4K -2.4K 0.00 24.14 N/A N/A 0 30 3,041 1,380 2009-02-03 $5.02 $5.00 64.7% 18.6% 72.4% 53.3% 64.7% -0.4% 2.4% 4.3K -11.8K -2.1K 0.00 21.58 N/A N/A 25 0 3,041 1,380 2009-02-04 $5.11 $5.00 62.5% 17.9% 68.0% 50.3% 62.5% 22.8% 4.5% 4.7K -52.2K -2.2K 20.00 22.05 N/A N/A 25 500 3,050 1,380 2009-02-05 $5.34 $5.00 65.1% 18.7% 70.8% 53.7% 64.8% 29.2% 2.2% 3.4K -76.6K -3.0K 0.00 24.64 N/A N/A 26 0 3,069 1,880 2009-02-06 $5.74 $5.00 57.6% 19.4% 76.4% 44.0% 0.0% 14.3% 1.9% 4.6K -240.2K -3.1K 0.23 22.45 N/A N/A 347 80 3,044 1,880 2009-02-09 $5.72 $5.00 47.5% 20.2% 73.8% 30.9% 0.0% 8.1% -0.4% 3.3K -299.7K -3.1K 0.00 20.92 N/A N/A 0 0 3,182 1,920 2009-02-10 $5.43 $5.00 55.8% 18.9% 74.2% 41.6% 0.0% 2.5% 3.0% 3.2K -127.5K -3.0K 0.00 17.09 N/A N/A 11 0 3,182 1,920 2009-02-11 $5.68 $5.00 54.3% 19.6% 75.8% 39.7% 0.0% 10.7% 2.7% 3.4K -288.9K -3.1K 0.00 17.12 N/A N/A 85 0 3,192 1,920 2009-02-12 $5.74 $5.00 69.9% 20.0% 69.9% 60.0% 0.0% 12.1% 2.4% 3.2K -304.0K -3.0K 5.00 18.72 N/A N/A 2 10 3,192 1,920 2009-02-13 $5.88 $5.00 67.3% 19.3% 68.6% 56.6% 66.9% 10.8% 3.5% 3.5K -369.5K -3.0K 0.00 20.67 N/A N/A 10 0 3,192 1,913 2009-02-17 $5.64 $5.00 72.1% 20.7% 70.4% 62.9% 0.0% 6.1% -3.4% 3.6K -245.4K -2.9K 1.50 17.24 N/A N/A 10 15 3,202 1,913 2009-02-18 $5.72 $5.00 66.3% 19.0% 54.2% 55.3% 0.0% 7.9% 1.6% 2.5K -319.9K -2.7K 0.00 22.24 N/A N/A 0 0 3,202 1,898 2009-02-19 $5.60 $5.00 66.6% 19.1% 55.1% 55.7% 0.0% 3.6% 1.2% 1.9K -267.2K -2.7K 0.00 25.32 N/A N/A 4 0 3,202 1,898 2009-02-20 $5.44 $5.00 68.2% 19.6% 55.5% 57.8% 68.0% 3.5% 1.7% 1.4K -209.1K -2.6K 3.33 24.74 N/A N/A 90 300 3,202 1,898 2009-02-23 $5.22 $5.00 68.2% 19.5% 58.0% 57.8% 0.0% 21.0% 1.0% -186 84.9K -2.5K 0.00 27.34 N/A N/A 30 0 2,350 1,678 2009-02-24 $5.63 $5.00 68.3% 19.6% 62.9% 57.9% 0.0% 25.3% -1.0% 425 -43.8K -2.6K 0.00 25.59 N/A N/A 0 0 2,352 1,678 2009-02-25 $5.47 $5.00 65.9% 18.9% 62.2% 54.9% 66.1% 24.8% 2.4% 617 6.7K -2.6K 4.00 26.46 N/A N/A 25 100 2,352 1,678 2009-02-26 $5.42 $5.00 63.9% 18.3% 62.3% 52.3% 0.0% 23.8% 5.2% 539 21.3K -2.6K 0.00 23.08 N/A N/A 0 0 2,377 1,678 2009-02-27 $5.44 $5.00 65.1% 18.7% 59.8% 53.8% 0.0% 24.0% 4.1% 698 3.8K -2.5K 0.00 22.27 N/A N/A 16 0 2,377 1,678
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