HLIT Options History — February 2010

In February 2010, HLIT traded between $5.90 and $6.58. ATM implied volatility averaged 42.7%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 15.2% (HV 20d: 27.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2010-02-19: Highest Volume — 370 contracts
2010-02-11: Largest IV drop — 36.8% change
2010-02-09: Highest IV Rank — 68.3%
2010-02-02: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.22	$5.90	$6.58	$6.04	$6.56
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	42.7%	30.3%	65.2%	44.4%	32.9%
Expected Move	10.9%	8.7%	14.7%	12.7%	9.4%
HV 20d	27.5%	23.2%	30.5%	30.5%	25.1%
HV 60d	35.7%	33.8%	38.7%	38.7%	34.0%
IV Rank	28.0%	5.7%	68.3%	31.0%	10.4%
IV Percentile	29.2%	2.0%	80.6%	30.2%	7.1%
Term Structure	1.0%	-29.9%	17.3%	-11.9%	-6.6%
VWIV	46.8%	43.9%	49.6%	49.6%	43.9%
Skew 25d	7.5%	-2.3%	22.5%	22.5%	13.2%
Skew 10d	11.5%	1.9%	30.3%	30.3%	18.7%
Call IV 25d	33.9%	28.4%	48.1%	29.1%	33.7%
Put IV 25d	41.4%	32.7%	51.6%	51.6%	46.9%
Bid-Ask Spread %	10.94	9.45	14.78	11.38	11.83
Gamma HHI	0.54	0.50	0.58	0.57	0.54
Net GEX	18.7K	13.2K	21.1K	18.6K	19.6K
Net DEX	-1.2M	-1.4M	-961.1K	-961.1K	-1.4M
Net VEX	-2.3K	-2.7K	-1.4K	-2.5K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	2.25	0.00	0.00
Total Volume	67	0	370	5	30
Total OI	3,578.421	3,378	3,782	3,378	3,782

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-02-01	$6.04	$5.00	44.4%	12.7%	30.5%	31.0%	0.0%	22.5%	-11.9%	18.6K	-961.1K	-2.5K	0.00	11.38	N/A	N/A	5	0	3,085	293
2010-02-02	$6.07	$5.00	51.4%	14.7%	26.8%	43.6%	49.6%	0.4%	-1.7%	18.1K	-987.3K	-2.5K	2.25	11.26	N/A	N/A	16	36	3,090	293
2010-02-03	$6.07	$5.00	49.2%	14.1%	26.8%	39.7%	0.0%	6.6%	4.6%	17.9K	-1.0M	-2.6K	0.00	9.45	N/A	N/A	130	0	3,084	297
2010-02-04	$5.90	$5.00	43.9%	12.6%	28.2%	30.2%	43.9%	2.1%	14.3%	18.6K	-980.3K	-2.7K	0.16	14.78	N/A	N/A	61	10	3,213	297
2010-02-05	$6.05	$5.00	49.3%	9.1%	30.0%	39.8%	0.0%	3.7%	17.3%	19.0K	-1.1M	-2.5K	0.40	9.50	N/A	N/A	10	4	3,264	305
2010-02-08	$6.02	$5.00	57.1%	9.7%	29.1%	53.8%	0.0%	3.0%	12.0%	19.0K	-1.1M	-2.4K	0.00	10.13	N/A	N/A	65	0	3,274	309
2010-02-09	$6.08	$5.00	65.2%	10.7%	29.5%	68.3%	0.0%	3.4%	9.3%	18.8K	-1.1M	-2.4K	0.00	11.23	N/A	N/A	0	0	3,244	309
2010-02-10	$6.10	$5.00	55.9%	10.6%	29.6%	51.6%	0.0%	4.7%	13.9%	19.2K	-1.1M	-2.5K	0.05	10.91	N/A	N/A	20	1	3,244	309
2010-02-11	$6.09	$5.00	35.3%	10.1%	28.9%	14.7%	0.0%	5.3%	8.9%	18.7K	-1.1M	-2.3K	0.01	10.53	N/A	N/A	150	1	3,224	310
2010-02-12	$6.13	$5.00	37.0%	10.6%	28.3%	17.8%	0.0%	6.7%	-4.9%	19.3K	-1.1M	-2.4K	0.33	10.33	N/A	N/A	30	10	3,282	310
2010-02-16	$6.15	$5.00	35.5%	10.2%	24.8%	15.1%	0.0%	7.6%	-5.4%	18.4K	-1.1M	-2.0K	0.00	11.13	N/A	N/A	26	0	3,272	300
2010-02-17	$6.19	$5.00	40.4%	11.6%	24.3%	23.8%	0.0%	3.9%	4.3%	18.1K	-1.1M	-2.0K	0.00	11.29	N/A	N/A	118	0	3,262	300
2010-02-18	$6.13	$5.00	49.1%	14.1%	23.2%	39.5%	0.0%	-2.3%	-29.9%	13.2K	-1.1M	-1.4K	0.00	9.45	N/A	N/A	10	0	3,270	300
2010-02-19	$6.41	$5.00	34.1%	9.8%	28.3%	12.5%	0.0%	9.7%	-13.1%	18.0K	-1.3M	-1.9K	0.16	11.39	N/A	N/A	320	50	3,265	300
2010-02-22	$6.57	$5.00	30.5%	8.7%	26.9%	6.0%	0.0%	13.0%	-8.3%	19.6K	-1.4M	-2.3K	0.00	11.70	N/A	N/A	95	0	3,338	299
2010-02-23	$6.47	$5.00	30.9%	8.8%	27.4%	6.7%	0.0%	8.4%	11.1%	19.9K	-1.3M	-2.2K	0.00	10.48	N/A	N/A	60	0	3,418	299
2010-02-24	$6.56	$5.00	39.2%	11.2%	27.7%	21.7%	0.0%	17.8%	10.5%	21.1K	-1.4M	-2.0K	0.00	10.61	N/A	N/A	15	0	3,468	299
2010-02-25	$6.58	$5.00	30.3%	8.7%	27.6%	5.7%	0.0%	13.2%	-6.1%	20.6K	-1.4M	-2.3K	0.00	10.43	N/A	N/A	0	0	3,483	299
2010-02-26	$6.56	$5.00	32.9%	9.4%	25.1%	10.4%	0.0%	13.2%	-6.6%	19.6K	-1.4M	-2.2K	0.00	11.83	N/A	N/A	30	0	3,483	299