HLIT Options History — August 2010

In August 2010, HLIT traded between $5.81 and $7.07. ATM implied volatility averaged 34.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 29.3% (HV 20d: 63.9%). 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 15 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2010-08-04: Highest Volume — 280 contracts
  • 2010-08-11: Largest IV spike — 62.4% change
  • 2010-08-11: Highest IV Rank — 28.5%
  • 2010-08-23: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.31$5.81$7.07$7.07$5.81
Max Pain$6.25$5.00$7.50$5.00$5.00
ATM IV34.6%23.0%47.6%28.2%42.0%
Expected Move10.0%6.9%13.5%8.1%12.0%
HV 20d63.9%35.8%70.1%69.2%35.8%
HV 60d54.1%51.9%69.4%69.4%51.9%
IV Rank13.0%0.0%28.5%1.6%21.9%
IV Percentile26.5%0.0%73.8%2.0%50.8%
Term Structure4.2%-18.9%18.7%18.0%5.2%
VWIV37.8%35.4%41.8%36.2%41.8%
Bid-Ask Spread %15.7511.1135.6312.7015.14
Gamma HHI0.770.620.890.870.68
Net GEX16.3K8.5K23.8K23.6K12.0K
Net DEX-432.6K-857.7K-162.1K-857.7K-179.4K
Net VEX-3.0K-3.9K-1.8K-3.9K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.002.860.000.00
Total Volume61.40902801120
Total OI4,069.6823,8824,3593,8964,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$7.07$5.0028.2%8.1%69.2%1.6%0.0%0.0%18.0%23.6K-857.7K-3.9K0.0012.70N/AN/A11203,133763
2010-08-03$6.98$5.0024.0%6.9%66.5%0.0%0.0%0.0%15.6%23.8K-816.0K-3.8K0.0014.23N/AN/A803,128763
2010-08-04$6.98$5.0024.7%7.1%66.2%0.8%0.0%0.0%13.3%23.2K-778.5K-3.7K0.2213.83N/AN/A230503,121763
2010-08-05$6.89$5.0025.7%7.4%66.7%2.0%0.0%0.0%10.4%21.4K-703.3K-3.6K0.0011.93N/AN/A10703,069813
2010-08-06$6.80$7.5023.0%9.9%67.1%0.0%0.0%0.0%3.4%20.5K-618.1K-3.5K0.0030.74N/AN/A1003,166813
2010-08-09$6.93$7.5024.3%9.8%66.6%1.6%0.0%0.0%1.9%22.3K-695.8K-3.6K0.6735.63N/AN/A1283,164813
2010-08-10$6.77$7.5029.3%8.8%65.5%7.3%0.0%0.0%2.3%20.5K-617.3K-3.5K2.8632.18N/AN/A7203,156821
2010-08-11$6.37$7.5047.6%8.3%69.6%28.5%0.0%0.0%18.7%16.1K-459.8K-3.2K0.7215.13N/AN/A40293,163806
2010-08-12$6.29$7.5029.4%8.4%69.2%7.5%0.0%0.0%13.7%14.8K-375.8K-2.8K0.0513.18N/AN/A7743,167796
2010-08-13$6.11$7.5035.0%10.0%69.6%13.9%0.0%0.0%12.9%13.9K-352.7K-2.9K0.0014.47N/AN/A10003,242800
2010-08-16$6.07$7.5035.3%10.1%69.6%14.3%0.0%0.0%14.8%13.9K-345.4K-2.9K0.0011.85N/AN/A21003,328800
2010-08-17$6.16$7.5038.0%10.9%69.5%17.4%0.0%0.0%-10.9%15.3K-376.4K-3.1K0.0013.51N/AN/A803,478800
2010-08-18$6.20$7.5039.9%11.5%69.3%19.6%0.0%0.0%9.6%16.0K-414.6K-3.1K0.8311.85N/AN/A12103,483800
2010-08-19$5.94$7.5036.2%10.4%70.1%15.3%36.2%0.0%12.3%13.4K-310.3K-2.7K0.0212.93N/AN/A10223,491790
2010-08-20$6.05$7.5035.4%10.2%69.3%14.4%35.4%0.0%-5.9%14.7K-354.6K-2.9K0.0411.92N/AN/A4723,568791
2010-08-23$5.83$5.0047.1%13.5%68.8%27.9%0.0%0.0%-18.9%11.7K-187.9K-2.3K0.0011.11N/AN/A203,416692
2010-08-24$5.84$5.0037.5%10.7%68.5%16.7%41.8%0.0%-9.5%12.2K-197.7K-2.4K0.0013.12N/AN/A0213,416692
2010-08-25$5.88$5.0036.7%10.5%68.3%15.9%0.0%0.0%-6.1%12.2K-189.1K-2.3K0.0011.84N/AN/A083,416693
2010-08-26$5.87$5.0037.9%10.9%67.3%17.3%0.0%0.0%-9.0%8.5K-162.1K-1.8K0.0013.91N/AN/A503,416688
2010-08-27$6.03$5.0041.7%12.0%36.2%21.6%0.0%0.0%-14.5%14.5K-283.0K-2.7K0.0012.06N/AN/A803,416688
2010-08-30$5.88$5.0041.3%11.8%35.8%21.1%0.0%0.0%15.0%13.4K-242.4K-2.6K0.0013.28N/AN/A10003,408688
2010-08-31$5.81$5.0042.0%12.0%35.8%21.9%0.0%0.0%5.2%12.0K-179.4K-2.3K0.0015.14N/AN/A003,427688