HLIT Options History — November 2009

In November 2009, HLIT traded between $4.80 and $5.45. ATM implied volatility averaged 45.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 5.0% (HV 20d: 50.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.51.

Notable Days

  • 2009-11-10: Highest Volume — 1,438 contracts
  • 2009-11-11: Largest IV drop — 16.0% change
  • 2009-11-10: Highest IV Rank — 33.1%
  • 2009-11-03: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.18$4.80$5.45$5.20$5.06
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV45.5%42.2%53.1%48.4%46.1%
Expected Move12.8%12.0%14.1%13.9%13.2%
HV 20d50.5%38.6%55.5%48.2%40.2%
HV 60d38.7%36.5%40.5%36.5%40.5%
IV Rank22.4%17.7%33.1%26.5%23.2%
IV Percentile20.3%13.1%36.5%25.0%24.6%
Term Structure1.8%-1.9%5.0%-0.5%0.7%
VWIV44.3%42.1%47.5%42.1%46.1%
Skew 25d9.4%-5.5%29.5%7.5%21.5%
Skew 10d31.7%2.2%56.0%35.5%40.2%
Call IV 25d50.7%39.2%59.3%52.0%59.3%
Put IV 25d60.1%43.6%87.9%59.5%80.8%
Bid-Ask Spread %24.9013.6032.3332.3323.79
Gamma HHI0.760.660.840.660.84
Net GEX37.9K28.6K44.3K29.9K41.9K
Net DEX-1.1M-1.6M-567.3K-901.8K-1.1M
Net VEX-4.8K-5.4K-3.6K-4.4K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0017.000.002.50
Total Volume138.401,4381770
Total OI9,307.058,29010,0358,3109,624

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$5.20$5.0048.4%13.9%48.2%26.5%0.0%7.5%-0.5%29.9K-901.8K-4.4K0.0032.33N/AN/A1707,579731
2009-11-03$5.27$5.0049.2%14.1%48.4%27.6%0.0%10.8%0.6%30.9K-953.3K-4.3K5.0031.10N/AN/A2107,566731
2009-11-04$5.03$5.0042.6%12.2%50.1%18.2%42.1%24.6%3.1%28.6K-782.6K-4.1K14.2927.22N/AN/A71007,566741
2009-11-05$5.10$5.0046.4%13.3%50.2%23.5%0.0%24.3%-1.9%29.5K-790.2K-4.1K0.0022.13N/AN/A23307,559731
2009-11-06$5.02$5.0048.9%12.0%49.4%27.1%0.0%29.5%5.0%29.9K-732.4K-4.0K0.0013.60N/AN/A2207,791731
2009-11-09$4.94$5.0048.3%12.5%48.8%26.2%0.0%17.0%1.7%30.1K-660.7K-3.7K0.1813.87N/AN/A110207,771731
2009-11-10$4.80$5.0053.1%13.6%48.6%33.1%47.5%17.2%-0.4%29.2K-567.3K-3.6K0.0319.58N/AN/A1,402367,841751
2009-11-11$5.04$5.0044.6%12.2%48.8%21.1%42.4%15.9%4.5%41.4K-1.1M-5.4K17.0016.88N/AN/A3519,093777
2009-11-12$5.15$5.0043.2%12.4%50.4%19.1%43.3%-3.1%1.4%42.7K-1.2M-5.4K0.0019.99N/AN/A10709,093803
2009-11-13$5.23$5.0043.9%12.6%51.5%20.0%0.0%10.6%2.0%43.5K-1.3M-5.4K0.0024.89N/AN/A2409,085803
2009-11-16$5.45$5.0042.2%12.1%54.5%17.7%0.0%4.3%2.8%43.7K-1.6M-5.3K0.9929.85N/AN/A1211209,105803
2009-11-17$5.44$5.0043.9%12.6%54.1%20.1%0.0%-1.3%0.8%41.9K-1.6M-5.4K0.0030.43N/AN/A0309,087918
2009-11-18$5.27$5.0044.1%12.7%54.7%20.4%0.0%-0.7%3.8%41.5K-1.4M-5.4K0.0021.72N/AN/A1509,087948
2009-11-19$5.17$5.0045.0%12.9%54.1%21.7%0.0%-2.4%3.5%41.8K-1.3M-5.3K0.1025.35N/AN/A4859,087948
2009-11-20$5.22$5.0045.5%13.0%54.4%22.3%0.0%12.0%1.8%42.7K-1.3M-5.2K0.0025.69N/AN/A009,077943
2009-11-23$5.34$5.0043.1%12.4%55.5%19.0%0.0%-0.5%0.9%44.3K-1.4M-4.9K0.0030.65N/AN/A8308,569853
2009-11-24$5.34$5.0043.9%12.6%55.5%20.0%0.0%-5.5%4.2%40.4K-1.5M-5.2K0.0026.23N/AN/A008,644853
2009-11-25$5.25$5.0043.0%12.3%54.3%18.7%0.0%1.4%3.2%40.9K-1.4M-5.1K0.0030.54N/AN/A13208,644853
2009-11-27$5.24$5.0044.9%12.9%38.6%21.5%0.0%4.5%-0.7%42.6K-1.3M-5.1K0.0032.10N/AN/A008,771853
2009-11-30$5.06$5.0046.1%13.2%40.2%23.2%46.1%21.5%0.7%41.9K-1.1M-4.9K2.5023.79N/AN/A20508,771853