HLIT Options History — September 2010

In September 2010, HLIT traded between $6.11 and $7.07. ATM implied volatility averaged 36.2%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 5.9% (HV 20d: 42.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2010-09-24: Highest Volume — 507 contracts
  • 2010-09-17: Largest IV spike — 51.7% change
  • 2010-09-02: Highest IV Rank — 34.1%
  • 2010-09-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.60$6.11$7.07$6.11$6.88
Max Pain$6.79$5.00$7.50$5.00$7.50
ATM IV36.2%27.9%52.5%51.0%28.2%
Expected Move9.6%7.9%15.1%14.6%8.1%
HV 20d42.1%38.5%45.1%41.5%40.5%
HV 60d53.1%51.4%54.5%52.8%51.4%
IV Rank15.3%5.7%34.1%32.3%6.0%
IV Percentile30.7%3.6%87.7%84.9%4.8%
Term Structure11.5%-22.2%20.3%-20.9%20.3%
VWIV38.8%25.9%63.9%35.1%29.9%
Skew 25d-4.6%-9.1%1.6%1.6%1.1%
Skew 10d-1.1%-8.3%6.9%5.9%6.9%
Call IV 25d45.1%41.9%48.2%41.9%42.6%
Put IV 25d40.5%36.6%43.8%43.6%43.8%
Bid-Ask Spread %15.9811.1331.5013.5313.54
Gamma HHI0.870.770.910.770.91
Net GEX23.7K10.3K37.9K11.1K37.9K
Net DEX-537.7K-843.8K-209.2K-211.3K-810.2K
Net VEX-3.0K-4.1K-1.9K-2.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.160.000.12
Total Volume1070507595
Total OI4,562.1434,1075,3784,1155,378

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$6.11$5.0051.0%14.6%41.5%32.3%0.0%0.0%-20.9%11.1K-211.3K-2.0K0.0013.53N/AN/A053,427688
2010-09-02$6.11$5.0052.5%15.1%41.5%34.1%0.0%0.0%-22.2%10.3K-209.2K-1.9K0.0013.75N/AN/A803,427688
2010-09-03$6.39$7.5043.4%7.9%45.1%23.5%35.1%0.0%19.1%15.1K-288.4K-2.3K0.0012.89N/AN/A10003,419688
2010-09-07$6.33$5.0051.8%8.5%44.4%33.3%0.0%0.0%19.4%14.3K-340.6K-2.2K0.0012.35N/AN/A003,519688
2010-09-08$6.44$5.0051.4%8.7%44.5%32.8%0.0%0.0%15.7%16.7K-381.6K-2.4K0.0011.81N/AN/A003,519688
2010-09-09$6.47$5.0031.3%9.0%38.8%9.6%0.0%0.0%13.8%16.9K-380.5K-2.3K0.0012.20N/AN/A10703,519688
2010-09-10$6.47$5.0029.9%8.6%38.5%8.0%35.7%0.0%12.6%17.3K-430.4K-2.3K0.0011.76N/AN/A16203,619688
2010-09-13$6.76$7.5033.9%9.7%39.5%12.6%42.9%0.0%19.0%26.0K-684.6K-3.3K0.0014.79N/AN/A7703,667688
2010-09-14$6.78$7.5033.9%9.7%39.3%12.6%46.2%0.0%4.7%27.0K-652.8K-3.3K0.0030.07N/AN/A6003,600688
2010-09-15$6.92$7.5031.4%9.0%39.5%9.7%36.8%0.0%6.4%30.2K-683.7K-3.2K0.0030.74N/AN/A12003,589688
2010-09-16$6.64$7.5027.9%8.0%42.9%5.7%0.0%0.0%16.8%21.8K-460.1K-2.8K0.0013.33N/AN/A17903,686688
2010-09-17$6.86$7.5042.3%12.1%40.4%22.3%53.1%0.0%1.7%30.7K-764.9K-3.6K0.0118.72N/AN/A10713,816688
2010-09-20$7.07$7.5030.9%8.9%41.0%9.1%25.9%1.6%13.2%37.0K-843.8K-3.6K0.1031.50N/AN/A4043,842685
2010-09-21$6.75$7.5028.5%8.2%42.5%6.4%28.5%-3.1%19.6%27.1K-591.1K-3.1K0.0014.40N/AN/A20703,882681
2010-09-22$6.58$7.5029.6%8.5%44.0%7.7%0.0%-8.0%19.9%23.4K-520.1K-3.1K0.0014.61N/AN/A14004,085681
2010-09-23$6.48$7.5032.5%9.3%44.7%11.0%31.2%-9.0%18.2%23.2K-536.5K-3.2K0.1614.79N/AN/A129214,172681
2010-09-24$6.63$7.5029.8%8.5%45.0%7.9%0.0%-5.5%16.5%24.1K-539.7K-3.1K0.0011.13N/AN/A50704,061702
2010-09-27$6.60$7.5033.9%9.7%44.5%12.6%0.0%-9.1%14.9%28.6K-650.5K-3.8K0.0013.77N/AN/A1504,556702
2010-09-28$6.59$7.5034.5%9.9%43.2%13.3%36.8%0.0%15.1%28.1K-645.3K-3.7K0.0513.84N/AN/A11064,570702
2010-09-29$6.68$7.5032.6%9.3%42.7%11.1%63.9%-4.9%17.7%30.8K-665.4K-3.7K0.0012.06N/AN/A4704,660702
2010-09-30$6.88$7.5028.2%8.1%40.5%6.0%29.9%1.1%20.3%37.9K-810.2K-4.1K0.1213.54N/AN/A85104,676702