HLIT Options History — August 2009

In August 2009, HLIT traded between $6.32 and $6.87. ATM implied volatility averaged 39.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 8.1% (HV 20d: 47.4%). 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 15 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2009-08-07: Highest Volume — 812 contracts
  • 2009-08-05: Largest IV spike — 34.8% change
  • 2009-08-03: Highest IV Rank — 32.5%
  • 2009-08-11: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.63$6.32$6.87$6.87$6.60
Max Pain$7.02$5.00$7.50$5.00$7.50
ATM IV39.3%29.7%51.1%51.1%33.9%
Expected Move11.8%8.5%14.7%14.7%9.7%
HV 20d47.4%26.2%51.6%51.5%26.7%
HV 60d52.5%48.1%57.3%57.3%48.3%
IV Rank16.0%3.2%32.5%32.5%5.9%
IV Percentile10.3%0.8%27.0%27.0%3.2%
Term Structure10.8%-3.7%24.7%0.0%15.9%
VWIV42.9%28.7%51.0%36.0%50.6%
Skew 25d4.5%3.0%6.1%3.0%6.1%
Skew 10d10.7%2.3%19.4%18.7%18.2%
Call IV 25d49.3%47.5%50.4%50.4%49.0%
Put IV 25d53.8%52.9%55.2%53.3%55.1%
Bid-Ask Spread %18.199.0535.2533.5811.08
Gamma HHI0.370.340.420.360.39
Net GEX26.2K23.8K29.3K24.1K27.0K
Net DEX-1.5M-1.7M-1.2M-1.7M-1.4M
Net VEX-7.2K-8.0K-6.1K-8.0K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.002.000.780.00
Total Volume86.42908127118
Total OI8,602.2868,1558,8298,1558,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$6.87$5.0051.1%14.7%51.5%32.5%0.0%0.0%0.0%24.1K-1.7M-8.0K0.7833.58N/AN/A40316,0752,080
2009-08-04$6.77$5.0034.1%9.8%48.9%9.2%0.0%0.0%17.8%23.8K-1.6M-8.0K0.5013.18N/AN/A1896,0962,090
2009-08-05$6.66$5.0045.9%13.2%48.4%25.4%0.0%0.0%12.5%23.8K-1.5M-7.6K0.0011.13N/AN/A18506,0992,099
2009-08-06$6.62$5.0034.6%9.9%48.4%10.0%36.0%0.0%16.8%24.4K-1.5M-7.8K0.489.05N/AN/A21106,2842,099
2009-08-07$6.71$7.5038.6%13.8%48.3%15.3%48.0%0.0%1.6%24.6K-1.6M-8.0K0.0425.32N/AN/A778346,2852,109
2009-08-10$6.59$7.5038.7%14.6%49.3%15.5%51.0%0.0%-1.3%24.5K-1.4M-7.7K0.2221.84N/AN/A55126,3862,141
2009-08-11$6.49$7.5043.5%14.7%50.0%22.1%0.0%0.0%-3.4%24.2K-1.3M-7.1K0.0432.43N/AN/A235106,4212,153
2009-08-12$6.67$7.5038.1%14.6%48.9%14.7%0.0%0.0%-3.7%27.3K-1.6M-7.7K0.4426.27N/AN/A45206,6012,163
2009-08-13$6.65$7.5050.4%14.4%48.9%31.5%0.0%0.0%-0.7%27.7K-1.5M-7.8K0.0035.25N/AN/A006,6252,163
2009-08-14$6.55$7.5044.5%12.7%49.3%23.4%0.0%0.0%-0.2%26.5K-1.4M-7.5K0.0028.78N/AN/A006,6252,163
2009-08-17$6.32$7.5029.7%8.5%50.9%3.2%28.7%0.0%19.9%25.0K-1.2M-6.8K2.0010.71N/AN/A20406,6252,163
2009-08-18$6.49$7.5029.8%8.6%51.6%3.4%0.0%0.0%24.7%25.8K-1.3M-7.0K0.2511.89N/AN/A2056,6262,203
2009-08-19$6.51$7.5035.9%10.3%50.1%11.7%0.0%0.0%22.2%26.7K-1.3M-7.0K0.009.50N/AN/A006,6262,198
2009-08-20$6.51$7.5038.5%11.0%50.2%15.3%0.0%0.0%18.9%26.3K-1.3M-6.6K0.0012.49N/AN/A0356,6262,198
2009-08-21$6.65$7.5048.6%13.9%49.8%29.0%50.6%0.0%-3.5%27.6K-1.5M-7.1K0.0033.87N/AN/A6106,6262,164
2009-08-24$6.66$7.5037.1%10.6%49.7%13.4%0.0%3.0%18.5%28.2K-1.5M-6.7K0.0011.13N/AN/A3006,5652,042
2009-08-25$6.67$7.5039.1%11.2%49.5%16.1%0.0%5.3%17.0%27.7K-1.5M-7.1K0.0511.62N/AN/A2016,5862,042
2009-08-26$6.77$7.5036.8%10.5%49.4%12.9%0.0%3.5%19.2%28.4K-1.6M-7.0K0.1011.47N/AN/A1016,6022,042
2009-08-27$6.81$7.5036.9%10.6%48.9%10.2%0.0%4.1%19.1%29.3K-1.6M-6.8K0.1511.75N/AN/A4066,6022,042
2009-08-28$6.72$7.5040.0%11.5%26.2%14.6%0.0%5.3%15.9%27.8K-1.6M-6.9K0.009.74N/AN/A506,6092,045
2009-08-31$6.60$7.5033.9%9.7%26.7%5.9%0.0%6.1%15.9%27.0K-1.4M-6.1K0.0011.08N/AN/A1806,6142,045