HLIT Options History — March 2009

In March 2009, HLIT traded between $4.57 and $6.99. ATM implied volatility averaged 64.4%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 14.7% (HV 20d: 79.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-03-06: Highest Volume — 740 contracts
  • 2009-03-18: Largest IV drop — 33.8% change
  • 2009-03-09: Highest IV Rank — 72.4%
  • 2009-03-17: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.73$4.57$6.99$5.13$6.50
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV64.4%49.0%79.4%69.6%61.9%
Expected Move18.1%14.0%21.2%19.9%17.8%
HV 20d79.1%61.1%95.7%63.1%92.7%
HV 60d79.9%77.2%83.4%80.7%77.2%
IV Rank52.8%32.8%72.4%59.6%49.6%
IV Percentile65.4%37.3%90.1%75.4%61.5%
Term Structure1.9%-6.3%19.4%-1.1%-1.0%
VWIV55.6%42.8%68.1%60.6%52.4%
Skew 25d11.9%-12.6%32.5%22.5%-9.8%
Skew 10d22.4%-12.5%53.3%34.7%-12.5%
Call IV 25d56.4%39.0%70.7%51.5%65.9%
Put IV 25d68.2%49.0%89.0%73.9%56.1%
Bid-Ask Spread %21.219.8634.9217.8122.42
Gamma HHI0.730.480.970.480.80
Net GEX5.4K-1.0K16.5K-24913.7K
Net DEX-367.6K-991.8K280.7K105.7K-826.8K
Net VEX-2.8K-3.4K-2.0K-2.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.0010.000.004.00
Total Volume156.1820740300
Total OI4,818.7274,0715,2364,0714,843

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$5.13$5.0069.6%19.9%63.1%59.6%0.0%22.5%-1.1%-249105.7K-2.4K0.0017.81N/AN/A0302,3931,678
2009-03-03$5.01$5.0067.7%19.4%63.3%57.1%0.0%19.1%-3.1%-794160.0K-2.3K0.0025.35N/AN/A1602,3931,678
2009-03-04$5.04$5.0060.6%17.4%61.5%47.9%60.6%22.7%7.1%-975176.3K-2.2K0.3223.68N/AN/A185602,3931,678
2009-03-05$4.57$5.0068.9%19.8%70.2%58.7%0.0%12.2%-1.0%-1.0K280.7K-2.0K0.1019.64N/AN/A105102,5511,738
2009-03-06$4.59$5.0071.6%19.5%67.9%62.2%68.1%13.1%-0.8%-704269.7K-2.0K0.0016.49N/AN/A74002,6241,748
2009-03-09$4.59$5.0079.4%18.7%61.1%72.4%0.0%12.6%2.9%507209.3K-2.3K0.009.86N/AN/A002,9851,748
2009-03-10$5.03$5.0071.8%18.6%71.2%62.5%65.0%21.6%4.8%1.5K35.4K-2.6K0.2614.32N/AN/A3841002,9851,723
2009-03-11$5.19$5.0070.3%18.9%70.2%60.5%66.0%25.5%3.6%3.1K-108.9K-3.0K0.0013.70N/AN/A14403,1301,823
2009-03-12$5.69$5.0069.7%20.0%76.2%59.8%67.1%32.5%1.1%2.4K-403.2K-3.1K0.0017.37N/AN/A8803,1491,823
2009-03-13$5.71$5.0066.0%18.9%76.1%54.9%0.0%26.2%-0.2%3.9K-420.1K-3.1K0.0020.80N/AN/A1503,2081,823
2009-03-16$5.48$5.0069.3%19.9%76.8%59.3%0.0%29.2%-0.8%3.5K-311.8K-3.0K0.0015.00N/AN/A1303,2031,823
2009-03-17$5.92$5.0074.0%21.2%80.5%65.3%43.7%28.0%-6.3%2.3K-583.2K-2.2K0.0019.05N/AN/A19803,1901,823
2009-03-18$6.32$5.0049.0%14.0%83.5%32.8%58.2%13.7%1.0%7.9K-777.0K-3.1K0.0034.92N/AN/A17803,3541,823
2009-03-19$6.16$5.0059.9%17.2%83.7%47.0%47.2%3.3%19.4%6.8K-704.4K-3.2K0.2431.49N/AN/A41103,3701,823
2009-03-20$5.80$5.0069.3%19.9%86.1%59.2%0.0%-3.8%-3.0%4.5K-544.7K-3.1K0.2223.68N/AN/A45103,4031,833
2009-03-23$6.51$5.0061.5%17.6%93.0%49.1%47.6%18.6%1.9%9.9K-715.7K-3.0K0.0024.63N/AN/A11103,1401,773
2009-03-24$6.31$5.0053.1%15.2%90.9%38.1%42.8%-12.6%4.7%9.0K-640.9K-3.1K10.0023.31N/AN/A1103,1851,773
2009-03-25$6.50$5.0051.3%14.7%90.3%35.8%47.6%-5.6%4.6%10.8K-700.4K-2.8K0.0023.47N/AN/A4603,1861,783
2009-03-26$6.99$5.0056.1%16.1%92.8%42.0%56.0%5.8%5.6%16.5K-991.8K-2.9K0.0421.65N/AN/A376153,2311,783
2009-03-27$6.63$5.0058.0%16.6%95.7%44.5%52.4%-4.6%5.9%14.0K-864.6K-3.4K4.0025.48N/AN/A143,4121,798
2009-03-30$6.42$5.0057.1%16.4%93.6%43.3%0.0%-9.2%-4.3%11.2K-731.6K-3.4K0.0022.55N/AN/A05003,3911,798
2009-03-31$6.50$5.0061.9%17.8%92.7%49.6%0.0%-9.8%-1.0%13.7K-826.8K-2.9K0.0022.42N/AN/A003,3911,452