HLIT Options History — June 2009

In June 2009, HLIT traded between $5.61 and $6.65. ATM implied volatility averaged 50.6%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 15.9% (HV 20d: 66.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-06-24: Highest Volume — 1,924 contracts
  • 2009-06-22: Largest IV spike — 78.7% change
  • 2009-06-24: Highest IV Rank — 47.7%
  • 2009-06-08: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.15$5.61$6.65$6.11$5.89
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV50.6%32.7%62.2%44.4%49.1%
Expected Move15.2%9.4%18.9%12.7%14.1%
HV 20d66.5%57.8%107.5%107.5%59.4%
HV 60d81.7%77.2%86.9%86.6%78.4%
IV Rank31.8%7.4%47.7%23.3%29.8%
IV Percentile31.5%4.4%52.4%22.6%23.8%
Term Structure13.0%-9.0%29.3%20.9%19.3%
VWIV57.1%39.1%75.6%47.6%73.3%
Skew 25d-1.0%-5.0%2.0%2.0%-1.6%
Skew 10d-1.8%-6.6%2.3%2.3%-2.6%
Call IV 25d47.7%43.0%50.4%43.0%50.4%
Put IV 25d46.7%43.7%49.2%45.0%48.8%
Bid-Ask Spread %18.419.6033.539.6713.77
Gamma HHI0.500.350.670.570.37
Net GEX21.2K16.6K27.7K19.1K21.2K
Net DEX-1.5M-2.0M-950.4K-1.5M-1.4M
Net VEX-6.9K-9.5K-5.8K-6.8K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.006.670.000.00
Total Volume218.59131,924985
Total OI7,992.7277,2079,9627,3669,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$6.11$5.0044.4%12.7%107.5%23.3%0.0%2.0%20.9%19.1K-1.5M-6.8K0.009.67N/AN/A9805,4441,922
2009-06-02$5.91$5.0044.6%12.8%107.3%23.6%47.6%-5.0%13.5%19.0K-1.3M-6.7K0.059.71N/AN/A3825,5351,922
2009-06-03$5.90$5.0046.4%13.3%63.5%26.0%50.1%0.0%18.4%19.2K-1.3M-6.7K0.0010.77N/AN/A505,5111,924
2009-06-04$6.04$5.0048.4%13.9%64.0%28.7%0.0%0.5%16.1%19.4K-1.4M-6.7K0.009.60N/AN/A605,5111,924
2009-06-05$6.00$5.0048.0%18.7%61.1%28.2%0.0%-1.6%3.0%19.1K-1.4M-6.6K0.0022.68N/AN/A505,5111,924
2009-06-08$5.91$5.0050.0%18.9%60.6%31.0%0.0%0.0%0.3%18.9K-1.3M-6.4K0.6721.66N/AN/A30205,4831,924
2009-06-09$6.50$5.0044.0%16.3%65.2%22.7%56.5%0.0%0.8%19.6K-1.8M-6.7K0.0814.38N/AN/A665505,4821,924
2009-06-10$6.64$5.0040.7%14.5%64.5%18.3%51.2%0.0%5.6%23.8K-2.0M-6.9K0.3122.73N/AN/A227705,8501,944
2009-06-11$6.61$5.0051.0%14.6%59.2%32.3%49.0%0.0%5.8%24.1K-1.9M-7.0K0.0021.85N/AN/A5105,9172,004
2009-06-12$6.61$5.0053.5%15.3%59.1%35.7%0.0%0.0%4.6%24.6K-2.0M-6.9K0.3321.26N/AN/A39135,9672,004
2009-06-15$6.65$5.0052.6%15.1%58.0%34.6%49.1%0.0%5.8%24.3K-2.0M-6.9K0.0022.92N/AN/A10306,0062,014
2009-06-16$6.25$5.0058.2%16.7%63.8%42.1%0.0%0.0%24.8%22.3K-1.6M-6.8K6.6728.54N/AN/A151005,9502,014
2009-06-17$6.06$5.0053.5%15.3%65.3%35.8%39.1%0.0%29.3%21.6K-1.4M-6.4K0.0028.54N/AN/A1605,9582,009
2009-06-18$6.24$5.0061.2%17.5%65.8%46.2%75.6%0.0%-9.0%22.6K-1.6M-6.7K0.0027.76N/AN/A2205,9551,999
2009-06-19$6.36$5.0032.7%9.4%64.1%7.4%0.0%0.0%24.6%18.7K-1.7M-5.9K0.1011.74N/AN/A102105,9561,999
2009-06-22$6.05$5.0058.5%16.8%67.6%42.6%67.5%0.0%19.2%22.2K-1.3M-6.2K0.0011.81N/AN/A065,5511,656
2009-06-23$5.99$5.0053.9%15.5%57.8%36.3%64.4%0.0%3.6%21.2K-1.3M-6.2K0.0010.83N/AN/A1805,5511,660
2009-06-24$5.61$5.0062.2%17.8%61.5%47.7%62.3%0.0%5.7%20.9K-950.4K-5.8K0.0933.53N/AN/A1,7601645,5611,660
2009-06-25$5.86$5.0056.3%16.1%63.3%39.5%0.0%0.0%25.6%16.6K-1.3M-6.9K0.9128.27N/AN/A6055507,0441,788
2009-06-26$6.05$5.0060.5%17.3%63.8%45.2%73.3%0.0%21.1%27.7K-1.5M-9.5K0.0011.10N/AN/A0117,6442,318
2009-06-29$5.96$5.0044.5%12.8%60.4%23.5%0.0%0.0%26.2%20.8K-1.4M-8.7K0.0011.78N/AN/A307,6442,316
2009-06-30$5.89$5.0049.1%14.1%59.4%29.8%0.0%0.0%19.3%21.2K-1.4M-8.8K0.0013.77N/AN/A507,6442,316