HLIT Options History — July 2009

In July 2009, HLIT traded between $5.37 and $6.93. ATM implied volatility averaged 56.0%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 8.6% (HV 20d: 47.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2009-07-31: Highest Volume — 920 contracts
  • 2009-07-13: Largest IV spike — 49.6% change
  • 2009-07-15: Highest IV Rank — 74.4%
  • 2009-07-16: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.90$5.37$6.93$5.96$6.93
Max Pain$5.11$5.00$7.50$5.00$5.00
ATM IV56.0%39.3%81.8%51.0%48.8%
Expected Move17.0%12.5%20.1%14.6%14.0%
HV 20d47.5%34.7%61.7%59.5%51.3%
HV 60d73.8%53.4%78.4%78.4%58.4%
IV Rank39.2%16.3%74.4%32.4%29.3%
IV Percentile39.4%7.5%94.4%26.2%22.6%
Term Structure4.5%-10.5%20.5%14.2%-2.1%
VWIV62.0%44.3%69.7%66.3%49.3%
Bid-Ask Spread %21.4310.6840.5512.2523.35
Gamma HHI0.380.340.470.360.36
Net GEX20.4K18.0K25.6K21.6K25.6K
Net DEX-1.2M-1.9M-904.5K-1.4M-1.9M
Net VEX-7.7K-8.7K-7.3K-8.7K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.790.670.09
Total Volume98.90909200920
Total OI9,131.1827,84210,1759,9658,214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$5.96$5.0051.0%14.6%59.5%32.4%0.0%0.0%14.2%21.6K-1.4M-8.7K0.0012.25N/AN/A007,6492,316
2009-07-02$5.74$5.0047.7%13.7%60.3%27.8%0.0%0.0%17.7%21.1K-1.2M-8.2K0.6713.18N/AN/A327,6492,316
2009-07-06$5.72$7.5051.9%18.9%60.3%33.5%66.3%0.0%0.8%20.7K-1.2M-8.1K0.7914.08N/AN/A1261007,6462,315
2009-07-07$5.49$5.0056.7%18.8%61.7%40.1%65.6%0.0%1.2%23.4K-976.0K-8.0K0.0516.43N/AN/A2117,7302,415
2009-07-08$5.37$5.0055.0%19.0%49.7%37.8%66.1%0.0%-0.5%18.0K-986.0K-7.4K0.0018.52N/AN/A0107,7502,416
2009-07-09$5.51$5.0047.2%17.6%50.1%27.1%0.0%0.0%2.2%22.2K-1.1M-7.8K0.0022.18N/AN/A1007,7502,411
2009-07-10$5.51$5.0039.3%19.3%50.2%16.3%0.0%0.0%-3.2%20.1K-1.0M-7.6K0.0019.38N/AN/A0207,7492,411
2009-07-13$5.57$5.0058.8%18.7%50.6%43.0%65.3%0.0%-2.7%20.3K-1.1M-7.5K0.3320.81N/AN/A30107,7472,405
2009-07-14$5.65$5.0056.8%18.3%51.0%40.2%0.0%0.0%1.9%18.1K-1.2M-7.7K0.0019.59N/AN/A0107,7562,405
2009-07-15$5.89$5.0081.8%19.1%49.7%74.4%0.0%0.0%-3.1%18.4K-1.3M-7.7K0.0720.83N/AN/A7157,7562,415
2009-07-16$5.98$5.0070.0%20.1%49.0%58.2%0.0%0.0%-5.4%18.6K-1.5M-7.9K0.0021.12N/AN/A6007,7612,414
2009-07-17$5.95$5.0064.2%18.4%47.7%50.3%64.2%0.0%-3.8%18.9K-1.4M-7.9K0.1933.06N/AN/A134257,7282,414
2009-07-20$6.08$5.0067.4%19.3%47.8%54.7%0.0%0.0%2.0%19.9K-1.0M-7.7K0.0032.10N/AN/A1805,8671,975
2009-07-21$6.10$5.0054.3%15.6%44.4%36.8%0.0%0.0%20.1%20.1K-1.0M-7.6K0.0040.55N/AN/A6605,8851,975
2009-07-22$5.92$5.0067.3%19.3%45.6%54.5%67.4%0.0%-6.2%19.8K-904.5K-7.4K0.0032.95N/AN/A2105,9301,975
2009-07-23$5.97$5.0069.9%20.0%38.6%58.2%69.7%0.0%-10.5%19.4K-950.7K-7.4K0.4332.98N/AN/A23105,9251,975
2009-07-24$6.14$5.0058.7%16.8%36.8%42.9%44.3%0.0%20.5%20.0K-1.1M-7.7K0.0029.29N/AN/A6605,9481,985
2009-07-27$6.11$5.0047.4%13.6%35.2%27.4%0.0%0.0%10.7%20.6K-1.1M-7.5K0.0012.23N/AN/A3305,9731,985
2009-07-28$6.06$5.0047.2%13.5%34.9%27.2%0.0%0.0%9.7%20.6K-1.1M-7.5K0.0013.57N/AN/A1005,9951,985
2009-07-29$6.02$5.0043.7%12.5%34.7%22.3%0.0%0.0%20.3%20.5K-1.0M-7.5K0.0010.68N/AN/A605,9971,985
2009-07-30$6.17$5.0047.9%13.7%35.5%28.1%0.0%0.0%14.5%21.1K-1.1M-7.3K0.0612.39N/AN/A345206,0031,985
2009-07-31$6.93$5.0048.8%14.0%51.3%29.3%49.3%0.0%-2.1%25.6K-1.9M-8.4K0.0923.35N/AN/A845756,2092,005