HLIT Options History — June 2010

In June 2010, HLIT traded between $5.37 and $5.95. ATM implied volatility averaged 39.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 11.1% (HV 20d: 51.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2010-06-10: Highest Volume — 210 contracts
  • 2010-06-25: Largest IV spike — 27.9% change
  • 2010-06-02: Highest IV Rank — 39.8%
  • 2010-06-08: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.69$5.37$5.95$5.73$5.44
Max Pain$5.34$5.00$7.50$7.50$5.00
ATM IV39.9%30.5%49.1%45.3%40.0%
Expected Move12.0%8.8%16.4%13.0%11.5%
HV 20d51.0%40.5%88.7%85.2%47.5%
HV 60d56.2%53.5%59.5%53.5%59.5%
IV Rank23.3%6.5%39.8%33.0%23.5%
IV Percentile36.7%6.0%73.0%56.3%37.3%
Term Structure10.0%-4.0%21.9%3.3%5.2%
VWIV46.4%36.2%56.7%56.7%51.0%
Skew 25d-21.2%-63.4%1.8%-6.4%-63.4%
Skew 10d-16.8%-69.9%1.5%-8.5%-69.9%
Call IV 25d70.1%44.6%125.8%51.7%125.8%
Put IV 25d48.9%43.3%62.5%45.3%62.5%
Bid-Ask Spread %16.0311.3130.7412.0114.35
Gamma HHI0.530.480.610.560.50
Net GEX8.8K7.2K13.2K12.1K8.5K
Net DEX-272.9K-377.1K-128.5K-336.6K-193.3K
Net VEX-2.2K-2.8K-1.9K-2.6K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.001.000.00
Total Volume55.81802104020
Total OI4,405.1824,1144,6714,1144,671

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$5.73$7.5045.3%13.0%85.2%33.0%0.0%-6.4%3.3%12.1K-336.6K-2.6K1.0012.01N/AN/A20203,366748
2010-06-02$5.84$7.5049.1%14.1%85.8%39.8%0.0%-8.7%-2.8%12.0K-356.3K-2.6K0.0013.50N/AN/A01983,386768
2010-06-03$5.91$7.5047.3%13.6%85.8%36.5%0.0%1.8%8.1%13.2K-360.2K-2.8K0.0011.99N/AN/A2803,386847
2010-06-04$5.51$5.0043.6%15.4%88.7%29.9%0.0%-22.7%-0.5%10.1K-216.6K-2.5K0.0026.68N/AN/A3003,414847
2010-06-07$5.46$5.0046.7%16.3%46.6%35.5%56.7%-27.7%-2.1%9.8K-201.6K-2.5K0.0919.97N/AN/A160153,444847
2010-06-08$5.45$5.0049.1%16.4%43.7%39.7%0.0%-21.0%-4.0%8.8K-150.1K-2.3K0.6123.17N/AN/A33203,404862
2010-06-09$5.37$5.0042.1%15.7%43.4%27.1%0.0%-63.4%-1.1%8.1K-128.5K-2.2K0.0023.30N/AN/A003,411852
2010-06-10$5.55$5.0048.6%13.9%42.2%38.9%50.9%0.0%5.9%8.2K-164.8K-2.1K0.0524.77N/AN/A200103,411852
2010-06-11$5.60$5.0041.0%11.8%42.2%25.3%0.0%0.0%16.9%8.3K-214.7K-2.4K0.0030.74N/AN/A1003,596862
2010-06-14$5.76$5.0035.1%10.1%43.4%14.7%37.0%0.0%17.4%8.0K-303.2K-2.3K0.5412.02N/AN/A37203,596862
2010-06-15$5.87$5.0034.9%10.0%43.4%14.3%0.0%0.0%18.0%8.3K-325.3K-2.3K0.0011.83N/AN/A1803,604842
2010-06-16$5.82$5.0037.0%10.6%43.4%18.1%0.0%0.0%14.6%8.5K-323.7K-2.2K0.0012.54N/AN/A303,622842
2010-06-17$5.73$5.0035.1%10.1%43.8%14.8%0.0%0.0%16.7%7.9K-294.0K-2.2K0.0013.84N/AN/A003,625842
2010-06-18$5.78$5.0034.0%9.8%40.7%12.8%0.0%0.0%11.8%7.8K-301.8K-2.1K0.0012.02N/AN/A0103,625842
2010-06-21$5.76$5.0033.8%9.7%40.7%12.4%36.2%0.0%18.1%7.5K-294.2K-1.9K0.0011.47N/AN/A603,621849
2010-06-22$5.72$5.0035.8%10.3%40.6%15.9%0.0%0.0%13.1%7.6K-282.9K-2.0K0.0012.44N/AN/A2003,623849
2010-06-23$5.72$5.0036.5%10.5%40.5%17.3%0.0%0.0%12.8%7.6K-285.2K-2.1K0.0013.84N/AN/A003,637849
2010-06-24$5.57$5.0030.5%8.8%41.5%6.5%51.0%0.0%21.9%7.2K-260.2K-1.9K0.0011.31N/AN/A5003,637839
2010-06-25$5.94$5.0039.0%11.2%43.5%21.7%0.0%0.0%9.8%8.1K-345.5K-2.1K0.0013.00N/AN/A18203,657839
2010-06-28$5.95$5.0037.2%10.7%42.2%18.4%0.0%0.0%19.1%8.3K-377.1K-2.2K0.0011.44N/AN/A10503,735839
2010-06-29$5.62$5.0036.0%10.3%46.9%16.3%0.0%0.0%16.7%8.2K-287.5K-2.0K0.0016.42N/AN/A1303,825839
2010-06-30$5.44$5.0040.0%11.5%47.5%23.5%0.0%0.0%5.2%8.5K-193.3K-2.0K0.0014.35N/AN/A2003,832839