HLIT Options History — March 2010

In March 2010, HLIT traded between $6.31 and $6.87. ATM implied volatility averaged 33.6%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 9.9% (HV 20d: 23.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.07.

Notable Days

  • 2010-03-02: Highest Volume — 240 contracts
  • 2010-03-11: Largest IV drop — 26.9% change
  • 2010-03-10: Highest IV Rank — 26.1%
  • 2010-03-09: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.57$6.31$6.87$6.75$6.31
Max Pain$5.22$5.00$7.50$5.00$5.00
ATM IV33.6%26.9%41.7%33.8%40.9%
Expected Move9.7%7.7%11.8%9.7%11.7%
HV 20d23.6%14.6%28.3%26.0%14.6%
HV 60d30.1%24.3%34.6%34.3%24.3%
IV Rank11.8%0.0%26.1%12.0%25.0%
IV Percentile11.3%0.0%31.3%8.3%31.3%
Term Structure9.8%-3.9%17.3%9.0%3.7%
VWIV39.3%21.7%50.6%47.1%50.6%
Skew 25d10.0%-11.0%40.0%36.6%7.1%
Skew 10d12.7%-10.6%51.8%50.8%10.5%
Call IV 25d35.8%26.1%44.7%41.7%42.5%
Put IV 25d45.8%32.5%79.2%78.3%49.7%
Bid-Ask Spread %12.539.2129.2510.649.78
Gamma HHI0.630.520.750.700.52
Net GEX14.2K10.8K19.0K17.9K10.8K
Net DEX-599.8K-1.4M-440.0K-1.4M-475.5K
Net VEX-1.8K-2.2K-1.5K-1.8K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.500.000.00
Total Volume43.30402404020
Total OI2,921.2612,7143,6743,6742,964

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$6.75$5.0033.8%9.7%26.0%12.0%0.0%36.6%9.0%17.9K-1.4M-1.8K0.0010.64N/AN/A4003,375299
2010-03-02$6.87$5.0036.2%10.4%26.1%16.3%47.1%40.0%13.9%19.0K-814.8K-2.1K0.4511.15N/AN/A165752,415299
2010-03-03$6.74$7.5031.6%9.0%27.6%8.0%33.8%18.0%6.6%16.9K-697.0K-2.1K0.0011.59N/AN/A0502,404374
2010-03-04$6.74$7.5032.5%9.3%27.6%9.7%0.0%20.6%10.1%16.0K-681.2K-2.0K0.269.30N/AN/A50132,404424
2010-03-05$6.82$5.0030.2%11.2%24.7%5.6%21.7%-0.3%0.6%17.5K-724.8K-2.2K0.5019.83N/AN/A60302,414434
2010-03-08$6.81$5.0036.6%11.2%23.9%17.0%0.0%1.3%1.2%17.3K-708.6K-2.1K0.0028.66N/AN/A202,423434
2010-03-09$6.71$5.0038.1%11.8%24.7%19.8%40.3%-1.5%-0.3%16.6K-678.3K-2.1K0.0029.25N/AN/A0102,424434
2010-03-10$6.66$5.0041.7%8.8%25.1%26.1%0.0%13.0%17.3%16.1K-612.2K-2.0K0.009.93N/AN/A502,424444
2010-03-11$6.65$5.0030.5%8.7%25.2%6.0%40.4%12.1%15.2%16.1K-604.4K-1.9K0.0010.90N/AN/A302,429444
2010-03-12$6.71$5.0030.4%8.7%25.1%5.9%0.0%13.7%15.4%17.1K-628.6K-1.9K0.009.94N/AN/A102,429444
2010-03-15$6.51$5.0027.8%8.0%28.0%1.3%39.3%0.0%17.2%13.0K-509.0K-1.6K0.0011.24N/AN/A5602,430444
2010-03-16$6.49$5.0027.8%8.0%28.1%1.2%29.6%8.8%15.8%13.1K-492.2K-1.6K0.0010.86N/AN/A01982,430444
2010-03-17$6.44$5.0026.9%7.7%28.3%0.0%0.0%5.5%14.1%11.5K-446.9K-1.7K0.0010.86N/AN/A202,430541
2010-03-18$6.46$5.0027.9%8.0%28.0%1.9%0.0%8.3%15.3%11.6K-440.0K-1.7K0.009.75N/AN/A0202,430541
2010-03-19$6.42$5.0031.9%9.2%23.2%9.1%0.0%0.0%12.9%11.7K-440.3K-1.7K0.009.98N/AN/A002,430533
2010-03-22$6.48$5.0030.6%8.8%21.7%6.6%0.0%9.0%-3.9%11.9K-499.5K-1.7K0.0010.16N/AN/A802,424465
2010-03-23$6.49$5.0031.4%9.0%21.0%8.2%39.8%-8.9%12.6%12.3K-490.1K-1.5K0.0010.53N/AN/A4002,427465
2010-03-24$6.43$5.0035.3%10.1%20.6%15.1%0.0%9.7%11.2%12.4K-488.4K-1.6K0.0011.40N/AN/A3502,437465
2010-03-25$6.43$5.0036.1%10.3%20.5%16.5%50.3%9.9%10.9%12.4K-510.2K-1.7K0.0012.15N/AN/A5202,463465
2010-03-26$6.42$5.0034.0%9.8%20.5%12.8%0.0%8.0%10.3%12.1K-498.3K-1.7K0.0011.35N/AN/A1002,448465
2010-03-29$6.40$5.0038.8%11.1%17.3%21.4%0.0%-11.0%9.9%11.7K-474.1K-1.6K0.009.84N/AN/A5102,448465
2010-03-30$6.34$5.0040.9%11.7%15.7%25.0%0.0%9.9%6.7%11.3K-483.8K-1.6K0.009.21N/AN/A002,499465
2010-03-31$6.31$5.0040.9%11.7%14.6%25.0%50.6%7.1%3.7%10.8K-475.5K-1.5K0.009.78N/AN/A2002,499465