HLIT Options History — October 2009

In October 2009, HLIT traded between $5.25 and $6.81. ATM implied volatility averaged 54.1%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 20.2% (HV 20d: 33.9%). 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 5 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-10-01: Highest Volume — 3,482 contracts
  • 2009-10-08: Largest IV drop — 35.3% change
  • 2009-10-07: Highest IV Rank — 59.6%
  • 2009-10-20: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.30$5.25$6.81$6.28$5.25
Max Pain$6.93$5.00$7.50$5.00$5.00
ATM IV54.1%40.5%71.9%44.3%53.9%
Expected Move14.3%10.2%16.0%12.7%15.5%
HV 20d33.9%27.1%48.4%32.2%48.3%
HV 60d35.8%28.5%37.4%37.4%36.7%
IV Rank34.5%15.3%59.6%20.6%34.3%
IV Percentile36.4%10.7%78.2%15.9%37.3%
Term Structure-3.5%-17.7%13.6%12.5%-5.8%
VWIV52.5%36.7%60.1%42.2%36.7%
Skew 25d-5.4%-20.5%14.8%-18.8%14.8%
Skew 10d-1.7%-18.0%35.5%-9.7%35.5%
Call IV 25d52.4%36.8%62.9%54.7%51.7%
Put IV 25d47.0%35.2%66.4%35.9%66.4%
Bid-Ask Spread %16.127.4023.5713.5822.65
Gamma HHI0.440.380.680.620.68
Net GEX33.8K19.6K40.1K19.6K31.5K
Net DEX-2.2M-3.1M-933.3K-1.2M-933.3K
Net VEX-5.5K-6.3K-3.5K-3.5K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.0011.560.000.52
Total Volume30103,4823,482117
Total OI10,461.0917,79712,9409,7048,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$6.28$5.0044.3%12.7%32.2%20.6%42.2%-18.8%12.5%19.6K-1.2M-3.5K0.0013.58N/AN/A3,47487,7002,004
2009-10-02$6.17$5.0049.9%14.3%32.6%28.6%57.7%2.1%-17.7%34.2K-2.4M-6.0K0.0011.65N/AN/A175010,3632,012
2009-10-05$6.18$7.5055.1%10.2%31.8%35.9%60.1%-20.5%13.6%34.2K-2.4M-6.0K0.0019.42N/AN/A115010,4562,012
2009-10-06$6.24$7.5058.2%14.2%31.9%40.2%55.1%0.9%-14.9%35.4K-2.5M-5.9K0.0313.19N/AN/A126410,5472,012
2009-10-07$6.25$7.5071.9%11.1%31.2%59.6%55.3%0.4%10.3%40.1K-2.5M-6.1K0.1115.07N/AN/A37410,6712,016
2009-10-08$6.32$7.5046.5%15.7%27.1%23.8%0.0%-16.2%-4.7%31.8K-2.6M-6.0K0.0018.93N/AN/A140010,7002,018
2009-10-09$6.41$7.5054.9%14.6%27.7%35.6%0.0%-13.8%-4.0%33.7K-2.6M-5.9K0.0014.67N/AN/A26010,7912,015
2009-10-12$6.46$7.5061.5%15.2%28.0%45.0%0.0%-9.6%-2.2%34.1K-2.7M-6.0K0.0020.82N/AN/A0010,8052,015
2009-10-13$6.49$7.5071.0%15.8%27.8%58.4%0.0%-9.1%-6.2%34.2K-2.7M-5.8K2.5619.36N/AN/A8221010,8052,015
2009-10-14$6.81$7.5059.4%14.5%33.3%42.0%0.0%-2.0%-2.1%36.5K-3.1M-6.3K0.0319.12N/AN/A3951010,8392,058
2009-10-15$6.75$7.5051.6%14.8%33.3%31.0%0.0%-3.1%-4.3%36.9K-3.0M-5.8K0.0022.98N/AN/A03010,8922,048
2009-10-16$6.65$7.5054.7%15.7%33.4%35.3%0.0%-5.6%-5.8%35.6K-2.9M-6.1K0.1213.24N/AN/A851010,8922,023
2009-10-19$6.70$7.5055.1%15.8%33.5%35.8%55.3%-3.9%-6.8%36.0K-2.2M-5.9K0.0711.15N/AN/A145106,995946
2009-10-20$6.51$7.5055.9%16.0%34.9%37.0%56.7%-12.4%-7.6%34.5K-2.0M-5.7K0.0019.11N/AN/A7007,018956
2009-10-21$6.48$7.5046.1%13.2%34.9%23.2%0.0%2.7%-5.5%34.6K-2.0M-5.6K0.0014.36N/AN/A027,066956
2009-10-22$6.56$7.5055.2%15.8%34.3%36.1%55.8%-4.4%-11.4%35.3K-2.1M-5.6K0.0014.60N/AN/A5907,066958
2009-10-23$6.41$7.5055.0%15.8%35.2%35.8%0.0%-4.6%-8.9%34.4K-1.9M-5.4K0.0023.57N/AN/A5507,121958
2009-10-26$6.29$7.5048.6%13.9%34.6%26.7%0.0%-10.7%-10.0%33.6K-1.8M-5.0K11.567.40N/AN/A455207,176958
2009-10-27$6.18$7.5048.6%13.9%35.0%26.7%49.9%-17.2%2.2%33.2K-1.7M-5.2K0.009.78N/AN/A4007,204953
2009-10-28$5.94$5.0040.5%11.6%37.1%15.3%36.7%0.8%6.7%32.7K-1.6M-4.9K0.5011.26N/AN/A2121077,244553
2009-10-29$5.33$5.0052.6%15.1%48.4%32.3%0.0%10.9%-5.0%31.1K-987.2K-4.3K0.2318.69N/AN/A252577,396653
2009-10-30$5.25$5.0053.9%15.5%48.3%34.3%0.0%14.8%-5.8%31.5K-933.3K-4.3K0.5222.65N/AN/A77407,559699