HLIT Options History — September 2009

In September 2009, HLIT traded between $6.41 and $6.99. ATM implied volatility averaged 40.0%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 14.8% (HV 20d: 25.2%). 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 21 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2009-09-28: Highest Volume — 340 contracts
  • 2009-09-10: Largest IV spike — 40.3% change
  • 2009-09-14: Highest IV Rank — 26.7%
  • 2009-09-14: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.75$6.41$6.99$6.50$6.68
Max Pain$5.36$5.00$7.50$7.50$5.00
ATM IV40.0%30.0%48.6%39.4%32.6%
Expected Move11.7%8.6%13.9%11.3%9.3%
HV 20d25.2%23.0%29.0%26.7%23.5%
HV 60d40.7%35.4%48.3%48.3%35.4%
IV Rank14.6%0.5%26.7%13.7%4.1%
IV Percentile10.6%0.8%22.2%9.9%2.0%
Term Structure8.2%0.9%24.5%9.4%18.8%
VWIV50.5%43.9%74.0%44.0%59.8%
Skew 25d2.4%-6.3%12.8%2.7%-4.9%
Skew 10d13.0%-3.2%22.2%15.9%-1.9%
Call IV 25d47.9%45.3%50.9%49.8%47.6%
Put IV 25d50.3%40.5%58.8%52.5%42.7%
Bid-Ask Spread %18.6910.3330.5310.3311.23
Gamma HHI0.530.360.630.380.57
Net GEX29.0K19.7K37.0K27.0K27.9K
Net DEX-1.6M-1.9M-1.2M-1.3M-1.5M
Net VEX-5.5K-6.5K-4.4K-5.5K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.610.000.00
Total Volume86.0950340400
Total OI9,121.3338,6739,7048,6749,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$6.50$7.5039.4%11.3%26.7%13.7%0.0%2.7%9.4%27.0K-1.3M-5.5K0.0010.33N/AN/A4006,6292,045
2009-09-02$6.41$7.5038.3%11.0%26.6%12.2%0.0%2.7%8.2%26.6K-1.2M-6.5K0.0012.67N/AN/A1706,6342,045
2009-09-03$6.44$7.5037.4%10.7%26.6%10.9%0.0%2.8%7.6%25.9K-1.2M-5.7K0.0010.95N/AN/A2206,6282,045
2009-09-04$6.56$5.0036.7%12.1%27.1%10.0%44.0%4.3%6.3%26.2K-1.3M-5.4K0.1127.86N/AN/A916,6502,045
2009-09-08$6.61$5.0041.3%12.1%26.5%16.4%44.1%4.0%5.2%19.7K-1.4M-5.1K0.6129.92N/AN/A18116,6562,045
2009-09-09$6.71$5.0031.7%12.6%26.3%2.8%74.0%5.3%5.3%25.7K-1.5M-5.7K0.0216.15N/AN/A6216,6692,055
2009-09-10$6.99$5.0044.4%12.7%28.4%20.8%44.5%4.1%3.7%30.2K-1.8M-6.0K0.0619.45N/AN/A160106,7182,055
2009-09-11$6.89$5.0042.3%12.1%29.0%17.8%0.0%3.8%6.5%28.1K-1.7M-5.7K0.0022.12N/AN/A7206,7882,055
2009-09-14$6.89$5.0048.6%13.9%28.3%26.7%0.0%4.4%0.9%26.6K-1.8M-5.9K0.0026.73N/AN/A8006,8602,055
2009-09-15$6.94$5.0043.9%12.6%24.4%20.1%43.9%0.0%5.1%28.7K-1.8M-5.8K0.0021.03N/AN/A4506,9242,055
2009-09-16$6.90$5.0045.5%13.0%23.2%22.3%45.7%6.1%3.6%25.6K-1.7M-5.8K0.0022.59N/AN/A15906,9412,055
2009-09-17$6.95$5.0047.0%13.5%23.3%24.4%47.2%6.1%1.6%31.1K-1.8M-6.0K0.0014.38N/AN/A32407,0812,055
2009-09-18$6.87$5.0047.1%13.5%23.9%24.6%48.0%6.2%1.4%34.6K-1.8M-6.0K0.0023.03N/AN/A27807,3462,055
2009-09-21$6.83$5.0042.7%12.2%23.0%18.3%0.0%-2.1%9.3%34.7K-1.8M-5.6K0.0029.91N/AN/A007,4532,004
2009-09-22$6.82$5.0047.2%13.5%23.0%24.8%0.0%-4.8%4.2%35.2K-1.9M-5.8K0.0016.86N/AN/A4207,4532,004
2009-09-23$6.85$5.0041.0%11.8%23.0%16.0%0.0%-1.4%9.6%37.0K-1.8M-5.7K0.0030.53N/AN/A2607,4952,004
2009-09-24$6.69$5.0032.9%9.4%24.1%4.6%53.6%-6.3%17.6%28.9K-1.5M-4.5K0.0013.12N/AN/A2607,5212,004
2009-09-25$6.64$5.0030.0%8.6%24.1%0.5%0.0%12.8%19.1%25.6K-1.4M-4.4K0.0011.13N/AN/A507,5362,004
2009-09-28$6.78$5.0039.0%11.2%24.8%13.2%59.8%-4.5%4.1%35.0K-1.7M-5.1K0.0011.09N/AN/A34007,5292,004
2009-09-29$6.74$5.0030.7%8.8%24.0%1.4%0.0%6.2%24.5%29.6K-1.5M-4.6K0.0011.47N/AN/A6007,6402,004
2009-09-30$6.68$5.0032.6%9.3%23.5%4.1%0.0%-4.9%18.8%27.9K-1.5M-4.4K0.0011.23N/AN/A007,7002,004