HLIT Options History — April 2009

In April 2009, HLIT traded between $6.26 and $7.50. ATM implied volatility averaged 63.5%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 9.5% (HV 20d: 72.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-04-13: Highest Volume — 425 contracts
  • 2009-04-09: Largest IV spike — 62.6% change
  • 2009-04-13: Highest IV Rank — 62.1%
  • 2009-04-13: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.83$6.26$7.50$6.73$7.33
Max Pain$7.26$5.00$7.50$5.00$7.50
ATM IV63.5%40.8%71.5%50.4%69.7%
Expected Move18.6%14.4%20.5%14.4%20.0%
HV 20d72.9%56.5%92.9%92.9%58.6%
HV 60d73.8%70.6%77.1%77.1%72.1%
IV Rank51.6%22.0%62.1%34.6%59.8%
IV Percentile62.2%23.0%76.2%39.7%74.2%
Term Structure-3.3%-10.9%11.3%5.5%-4.2%
VWIV66.6%55.1%71.5%55.1%69.7%
Skew 25d12.0%-18.9%72.1%59.6%-11.0%
Skew 10d20.3%-16.8%98.2%83.0%-14.0%
Call IV 25d62.5%45.6%67.6%64.8%66.7%
Put IV 25d74.5%48.7%132.6%124.4%55.7%
Bid-Ask Spread %23.0615.2233.2521.9115.22
Gamma HHI0.760.650.880.760.76
Net GEX18.0K11.9K34.0K16.6K20.2K
Net DEX-916.7K-1.2M-607.3K-908.9K-1.2M
Net VEX-3.2K-3.6K-2.7K-2.9K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.004.380.001.06
Total Volume119.6674425119101
Total OI4,290.3812,7365,5694,8433,250

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$6.73$5.0050.4%14.4%92.9%34.6%0.0%59.6%5.5%16.6K-908.9K-2.9K0.0021.91N/AN/A11903,3911,452
2009-04-02$6.84$5.0054.3%15.6%82.9%39.7%55.1%72.1%11.3%19.3K-996.1K-3.1K0.0023.58N/AN/A36803,5061,452
2009-04-03$6.94$7.5062.5%18.3%82.8%50.4%0.0%18.2%-2.7%23.4K-1.1M-3.4K3.5026.28N/AN/A10353,7221,452
2009-04-06$6.84$7.5062.7%19.1%83.4%50.7%66.6%16.9%-4.9%22.5K-1.0M-3.2K0.0028.68N/AN/A17203,7321,487
2009-04-07$6.51$7.5063.0%19.1%82.4%51.0%0.0%8.7%-4.2%19.0K-911.5K-3.3K0.0027.13N/AN/A2503,8981,487
2009-04-08$6.73$7.5040.8%18.2%82.4%22.0%0.0%13.3%-1.2%19.3K-903.2K-3.1K0.0026.36N/AN/A3003,9151,487
2009-04-09$7.12$7.5066.3%19.0%78.8%55.3%66.3%24.1%-4.8%34.0K-1.1M-3.3K0.3925.30N/AN/A51203,8091,487
2009-04-13$6.78$7.5071.5%20.5%81.6%62.1%71.5%0.0%-10.9%28.6K-991.4K-3.2K0.0515.52N/AN/A405203,8171,497
2009-04-14$6.51$7.5067.9%19.5%81.6%57.4%68.3%10.1%-6.4%12.4K-769.2K-3.1K0.0028.79N/AN/A604,0721,497
2009-04-15$6.53$7.5064.8%18.6%77.4%53.4%0.0%13.1%-2.7%12.5K-759.5K-3.0K3.8033.25N/AN/A5194,0611,497
2009-04-16$6.65$7.5067.5%19.4%74.3%56.9%0.0%16.3%-5.6%12.8K-810.0K-3.0K0.0030.09N/AN/A044,0211,484
2009-04-17$6.67$7.5066.4%19.0%73.5%55.5%66.5%-6.5%-4.6%13.0K-815.4K-3.1K1.9417.76N/AN/A18354,0211,488
2009-04-20$6.26$7.5058.3%16.7%73.9%44.9%0.0%-18.9%-4.0%11.9K-607.3K-2.7K4.3829.08N/AN/A482102,266470
2009-04-21$6.67$7.5065.2%18.7%65.3%53.9%0.0%-5.6%-2.0%13.2K-707.0K-3.1K1.0922.24N/AN/A11122,257560
2009-04-22$6.81$7.5066.6%19.1%64.5%55.7%0.0%-1.6%-6.1%13.8K-774.5K-3.1K0.0019.02N/AN/A6102,265572
2009-04-23$6.98$7.5066.7%19.1%64.2%55.8%66.7%1.1%-5.2%15.7K-871.9K-3.1K0.1418.32N/AN/A141202,317483
2009-04-24$7.08$7.5063.8%18.3%59.0%52.0%0.0%3.5%-4.0%16.4K-909.7K-3.2K0.1119.50N/AN/A140152,359503
2009-04-27$6.88$7.5068.9%19.8%56.7%58.8%0.0%2.7%-7.1%16.5K-890.3K-3.2K0.0020.13N/AN/A2702,479503
2009-04-28$7.14$7.5065.8%18.9%56.5%54.7%65.8%0.0%0.6%17.7K-998.7K-3.4K0.1018.77N/AN/A103102,490503
2009-04-29$7.50$7.5069.6%19.9%58.6%59.6%69.7%12.6%-6.5%19.1K-1.2M-3.3K0.0817.43N/AN/A252202,576513
2009-04-30$7.33$7.5069.7%20.0%58.6%59.8%69.7%-11.0%-4.2%20.2K-1.2M-3.6K1.0615.22N/AN/A49522,717533