HLIT Options History — May 2009

In May 2009, HLIT traded between $5.11 and $7.73. ATM implied volatility averaged 63.2%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 37.1% (HV 20d: 100.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-05-20: Highest Volume — 3,176 contracts
  • 2009-05-14: Largest IV spike — 26.6% change
  • 2009-05-04: Highest IV Rank — 75.3%
  • 2009-05-15: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.72$5.11$7.73$7.61$5.76
Max Pain$5.50$5.00$7.50$7.50$5.00
ATM IV63.2%51.1%81.6%65.2%53.8%
Expected Move18.6%15.4%20.1%18.7%15.4%
HV 20d100.3%59.6%108.4%59.6%105.9%
HV 60d86.1%71.9%89.0%72.3%88.4%
IV Rank49.8%35.4%75.3%53.9%36.2%
IV Percentile57.9%36.5%94.4%61.5%38.5%
Term Structure1.7%-4.8%22.1%-0.2%22.1%
VWIV64.6%44.3%85.4%65.2%66.6%
Skew 25d11.0%-8.2%25.6%16.7%14.6%
Skew 10d26.6%-7.4%48.7%13.1%21.8%
Call IV 25d60.7%40.8%113.0%41.6%113.0%
Put IV 25d71.7%58.3%127.6%58.3%127.6%
Bid-Ask Spread %22.8712.8229.7218.2225.06
Gamma HHI0.580.480.790.780.65
Net GEX14.5K10.7K21.4K21.4K18.2K
Net DEX-604.0K-1.5M-139.5K-1.3M-1.2M
Net VEX-4.2K-7.0K-2.6K-3.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.630.002.24
Total Volume403.6293,17626481
Total OI5,016.13,3517,3493,3517,349

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$7.61$7.5065.2%18.7%59.6%53.9%65.2%16.7%-0.2%21.4K-1.3M-3.6K0.0018.22N/AN/A26402,766585
2009-05-04$7.73$7.5081.6%18.5%59.7%75.3%64.3%-0.3%-4.8%21.2K-1.5M-3.7K0.9128.77N/AN/A5184722,902585
2009-05-05$6.05$7.5062.5%18.0%107.1%50.3%63.9%-4.7%3.4%12.4K-279.4K-3.2K0.8426.23N/AN/A4143493,1421,057
2009-05-06$6.00$7.5063.9%19.1%105.9%52.1%64.6%0.8%1.6%12.8K-400.2K-3.3K0.3326.21N/AN/A114383,263882
2009-05-07$5.70$5.0051.1%18.9%106.2%35.5%44.3%20.6%1.2%11.6K-300.5K-3.1K0.3312.95N/AN/A168563,329920
2009-05-08$5.87$5.0058.5%19.5%104.4%45.2%0.0%22.6%-2.2%12.2K-359.5K-3.2K0.0416.65N/AN/A5023,335911
2009-05-11$5.54$5.0061.2%18.4%104.9%48.7%64.2%25.6%0.8%11.2K-254.5K-3.0K1.0120.08N/AN/A84853,353913
2009-05-12$5.43$5.0062.6%19.2%104.4%48.2%63.4%23.2%-0.8%10.7K-218.0K-2.9K0.7019.17N/AN/A1811273,362925
2009-05-13$5.11$5.0053.3%19.7%105.8%35.4%68.9%0.0%-3.1%11.0K-139.5K-2.6K0.0028.39N/AN/A22003,452921
2009-05-14$5.26$5.0067.4%19.3%106.3%54.8%0.0%-7.6%-0.4%11.5K-231.5K-3.0K0.0029.29N/AN/A12603,582921
2009-05-15$5.16$5.0070.2%20.1%106.2%58.5%85.4%-8.2%-4.2%12.1K-225.5K-3.0K0.0829.47N/AN/A144123,704921
2009-05-18$5.21$5.0068.2%19.6%104.7%55.8%68.2%-5.1%1.8%11.6K-401.2K-3.0K0.3916.86N/AN/A128503,185662
2009-05-19$5.28$5.0061.7%17.7%101.6%46.9%60.9%17.7%-0.2%12.0K-412.5K-3.1K0.5612.82N/AN/A123693,179712
2009-05-20$5.34$5.0062.2%17.8%101.3%47.6%0.0%17.9%4.0%11.5K-448.8K-3.3K0.3821.13N/AN/A2,3018753,271781
2009-05-21$5.17$5.0066.0%18.9%100.5%52.8%66.5%21.0%2.4%16.7K-601.9K-6.2K1.4320.50N/AN/A1091565,0681,646
2009-05-22$5.19$5.0062.1%17.8%100.2%47.4%62.1%19.4%4.1%15.5K-647.9K-6.3K0.5117.90N/AN/A2021035,1321,781
2009-05-26$5.75$5.0063.6%18.2%108.4%49.6%60.8%15.0%4.1%19.2K-1.1M-7.0K0.0029.72N/AN/A25115,3321,884
2009-05-27$5.57$5.0062.7%18.0%107.3%48.3%0.0%8.6%5.0%18.6K-1.0M-6.9K2.6329.55N/AN/A8215,4091,884
2009-05-28$5.63$5.0066.5%19.1%105.2%53.5%66.6%11.2%-1.0%18.9K-1.1M-6.9K0.0028.49N/AN/A17005,4111,905
2009-05-29$5.76$5.0053.8%15.4%105.9%36.2%0.0%14.6%22.1%18.2K-1.2M-6.6K2.2425.06N/AN/A25565,4441,905