HLIT Options History — May 2010

In May 2010, HLIT traded between $5.42 and $7.09. ATM implied volatility averaged 44.2%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 29.9% (HV 20d: 74.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2010-05-12: Highest Volume — 420 contracts
  • 2010-05-21: Largest IV spike — 47.8% change
  • 2010-05-05: Highest IV Rank — 64.2%
  • 2010-05-05: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.93$5.42$7.09$7.09$5.79
Max Pain$7.25$5.00$7.50$5.00$7.50
ATM IV44.2%30.0%62.8%47.6%42.0%
Expected Move12.4%8.6%18.0%13.6%12.0%
HV 20d74.1%32.0%86.9%33.0%86.8%
HV 60d47.2%25.7%53.6%25.8%53.6%
IV Rank30.9%5.6%64.2%37.0%27.0%
IV Percentile47.8%3.2%92.5%59.5%40.5%
Term Structure3.9%-18.3%17.3%-6.6%6.9%
VWIV72.0%46.7%126.6%52.1%46.7%
Skew 25d3.9%-9.5%68.8%68.8%10.7%
Skew 10d15.4%-9.5%88.2%88.2%10.2%
Call IV 25d43.6%35.0%63.1%49.9%35.0%
Put IV 25d47.5%29.9%118.6%118.6%45.7%
Bid-Ask Spread %24.9911.3367.2119.8413.13
Gamma HHI0.530.450.750.750.57
Net GEX14.6K10.2K24.3K24.3K12.6K
Net DEX-424.5K-866.7K-230.0K-866.7K-360.4K
Net VEX-2.5K-3.0K-2.0K-2.9K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0021.000.000.00
Total Volume122.6524203142
Total OI3,826.153,1104,3543,1104,112

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$7.09$5.0047.6%13.6%33.0%37.0%0.0%68.8%-6.6%24.3K-866.7K-2.9K0.0019.84N/AN/A31402,746364
2010-05-04$6.98$5.0052.5%15.1%33.8%45.8%52.1%-1.3%-7.7%23.2K-826.9K-3.0K3.0021.55N/AN/A20602,835364
2010-05-05$6.79$7.5062.8%18.0%33.5%64.2%62.8%0.9%-18.3%20.3K-737.2K-2.9K0.6420.16N/AN/A25162,845424
2010-05-06$6.70$7.5052.1%14.9%32.0%45.1%126.6%0.0%-10.8%19.4K-697.5K-2.9K0.0067.21N/AN/A11002,850430
2010-05-07$5.42$7.5039.6%10.7%81.2%22.8%0.0%-9.0%2.4%11.2K-230.0K-2.0K0.7645.35N/AN/A1841402,959430
2010-05-10$5.66$7.5050.6%9.2%83.4%42.3%0.0%-6.9%13.1%11.4K-294.1K-2.2K0.0014.73N/AN/A12803,074550
2010-05-11$5.54$7.5045.6%13.0%83.4%33.4%0.0%5.3%1.9%11.2K-255.2K-2.1K0.2717.98N/AN/A41113,153550
2010-05-12$5.78$7.5053.3%15.9%83.9%47.3%0.0%14.1%-3.0%12.1K-361.2K-2.4K0.0629.06N/AN/A396243,162551
2010-05-13$5.71$7.5032.1%9.2%83.7%9.4%0.0%-4.7%15.0%13.1K-336.3K-2.4K0.0011.37N/AN/A0113,442575
2010-05-14$5.73$7.5032.1%9.2%83.8%9.3%0.0%-3.4%13.1%13.1K-336.9K-2.3K0.0011.37N/AN/A10503,442576
2010-05-17$5.84$7.5030.0%8.6%84.4%5.6%0.0%-3.4%16.8%13.8K-357.8K-2.4K0.0011.33N/AN/A20003,514576
2010-05-18$5.78$7.5032.4%9.3%84.2%9.9%0.0%0.0%9.1%14.6K-385.7K-2.5K2.2012.20N/AN/A45993,714576
2010-05-19$5.78$7.5032.9%9.4%84.0%10.8%0.0%-6.8%9.0%14.4K-373.6K-2.5K0.0013.13N/AN/A5003,698576
2010-05-20$5.53$7.5039.9%11.4%84.5%23.2%0.0%0.0%17.3%13.3K-340.7K-2.7K0.0059.36N/AN/A0913,728576
2010-05-21$5.57$7.5058.9%16.9%84.7%57.2%0.0%4.7%-2.9%13.1K-316.1K-2.6K21.0032.29N/AN/A2423,728626
2010-05-24$5.63$7.5048.8%14.0%85.0%39.1%46.7%-9.5%-1.6%13.5K-359.9K-2.7K0.0043.96N/AN/A1703,318578
2010-05-25$5.59$7.5050.7%14.5%84.5%42.5%0.0%4.8%14.3%13.1K-327.9K-2.6K0.0031.59N/AN/A2003,334578
2010-05-26$5.65$7.5038.9%11.1%84.8%21.4%0.0%-2.1%12.9%13.5K-348.7K-2.6K2.2712.32N/AN/A751703,334578
2010-05-27$5.96$7.5040.5%11.6%86.9%24.3%0.0%10.7%-3.3%10.2K-377.5K-2.2K0.0011.86N/AN/A5503,309748
2010-05-28$5.79$7.5042.0%12.0%86.8%27.0%0.0%0.0%6.9%12.6K-360.4K-2.6K0.0013.13N/AN/A203,364748