HLIT Options History — December 2009

In December 2009, HLIT traded between $5.10 and $6.44. ATM implied volatility averaged 39.3%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.8% (HV 20d: 40.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2009-12-22: Highest Volume — 312 contracts
  • 2009-12-24: Largest IV spike — 44.3% change
  • 2009-12-24: Highest IV Rank — 28.2%
  • 2009-12-08: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.82$5.10$6.44$5.10$6.32
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV39.3%27.1%49.4%49.4%42.5%
Expected Move11.5%7.8%14.6%14.2%12.2%
HV 20d40.2%36.2%45.6%40.2%42.8%
HV 60d43.1%40.3%46.8%40.3%44.9%
IV Rank15.4%0.0%28.2%27.8%21.0%
IV Percentile14.6%0.0%35.7%35.3%19.4%
Term Structure9.0%-7.8%24.8%-6.2%4.0%
VWIV42.7%31.5%53.6%49.4%50.5%
Skew 25d0.9%-59.1%18.3%18.3%3.8%
Skew 10d12.5%-96.1%42.1%42.1%15.9%
Call IV 25d51.7%42.6%125.4%61.5%44.8%
Put IV 25d52.6%42.8%79.8%79.8%48.6%
Bid-Ask Spread %17.748.6434.8128.949.57
Gamma HHI0.670.490.860.860.49
Net GEX32.9K18.1K46.2K44.1K23.0K
Net DEX-2.2M-2.8M-1.1M-1.1M-2.8M
Net VEX-3.6K-5.0K-2.6K-4.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.003.220.000.00
Total Volume78.81803123271
Total OI9,775.2279,6389,9229,6889,902

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$5.10$5.0049.4%14.2%40.2%27.8%49.4%18.3%-6.2%44.1K-1.1M-4.9K0.0028.94N/AN/A3208,785903
2009-12-02$5.21$5.0047.1%13.5%40.7%24.6%0.0%7.0%-3.0%44.5K-1.3M-5.0K0.0031.53N/AN/A1008,787903
2009-12-03$5.25$5.0041.2%11.8%36.9%16.3%0.0%-13.0%-7.8%43.7K-1.4M-4.9K0.0013.77N/AN/A008,797903
2009-12-04$5.55$5.0034.9%12.0%41.4%7.4%0.0%-13.3%8.4%44.9K-1.7M-4.6K0.0034.81N/AN/A008,797903
2009-12-07$5.70$5.0044.3%12.6%41.4%20.6%42.5%-0.6%8.3%46.2K-2.0M-4.1K0.0028.11N/AN/A8508,797903
2009-12-08$5.65$5.0048.9%14.6%41.0%27.1%50.9%3.3%-0.4%41.6K-1.9M-4.6K0.0032.21N/AN/A9708,872903
2009-12-09$5.51$5.0040.2%14.0%40.6%14.9%49.3%-59.1%2.6%44.8K-1.7M-4.6K0.0921.84N/AN/A7068,897903
2009-12-10$5.58$5.0047.6%13.7%37.5%25.4%40.7%2.2%1.9%45.2K-1.8M-4.4K0.0033.47N/AN/A508,953909
2009-12-11$5.71$5.0042.7%12.2%37.6%18.4%35.1%4.4%16.3%41.8K-2.0M-4.4K0.3229.85N/AN/A31108,953909
2009-12-14$5.88$5.0034.0%9.7%38.4%6.1%32.4%6.3%19.5%27.2K-2.3M-3.2K0.0010.59N/AN/A26609,003919
2009-12-15$5.70$5.0027.1%7.8%38.2%0.0%0.0%4.4%24.8%28.5K-2.2M-3.1K0.0010.18N/AN/A058,980919
2009-12-16$5.84$5.0030.9%8.9%38.9%5.2%31.5%6.6%20.1%25.2K-2.3M-3.0K0.0010.55N/AN/A3008,980924
2009-12-17$5.76$5.0031.5%9.0%37.3%5.9%0.0%6.6%18.0%28.7K-2.2M-3.1K0.0010.73N/AN/A008,980924
2009-12-18$5.82$5.0032.7%9.4%36.3%7.7%0.0%5.0%17.7%26.6K-2.3M-3.0K0.0011.34N/AN/A5208,980924
2009-12-21$5.95$5.0035.5%10.2%36.7%11.4%0.0%7.3%13.8%22.1K-2.4M-2.7K0.0011.08N/AN/A808,798840
2009-12-22$5.96$5.0031.7%9.1%36.2%6.3%36.7%4.1%20.7%18.1K-2.4M-2.6K3.229.04N/AN/A742388,798840
2009-12-23$6.44$5.0033.2%9.5%44.2%8.2%36.5%5.7%16.5%25.8K-2.8M-2.8K0.258.64N/AN/A180458,789860
2009-12-24$6.24$5.0047.9%13.7%45.6%28.2%52.0%7.5%0.1%26.8K-2.6M-3.1K0.0011.16N/AN/A1508,825871
2009-12-28$6.32$5.0039.1%11.2%45.5%16.3%0.0%6.1%8.1%24.5K-2.7M-2.7K0.0010.68N/AN/A20608,825871
2009-12-29$6.28$5.0041.8%12.0%42.8%20.0%53.6%4.9%8.6%27.1K-2.7M-3.1K0.0012.90N/AN/A6808,878871
2009-12-30$6.32$5.0041.3%11.8%42.9%19.3%37.5%3.1%6.2%23.0K-2.7M-2.7K0.009.32N/AN/A13008,906871
2009-12-31$6.32$5.0042.5%12.2%42.8%21.0%50.5%3.8%4.0%23.0K-2.8M-3.1K0.009.57N/AN/A7109,031871