HLIT Options History — October 2010

In October 2010, HLIT traded between $6.82 and $7.10. ATM implied volatility averaged 45.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 14.1% (HV 20d: 31.3%). 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 2 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2010-10-05: Highest Volume — 952 contracts
  • 2010-10-29: Largest IV drop — 41.5% change
  • 2010-10-28: Highest IV Rank — 40.1%
  • 2010-10-28: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.98$6.82$7.10$7.00$6.98
Max Pain$6.55$5.00$7.50$7.50$7.50
ATM IV45.4%29.6%57.7%29.6%33.8%
Expected Move14.1%8.5%16.5%8.5%9.7%
HV 20d31.3%23.4%40.6%40.6%23.4%
HV 60d46.7%36.3%51.6%51.4%36.5%
IV Rank25.9%7.7%40.1%7.7%12.5%
IV Percentile64.7%6.7%96.0%6.7%21.8%
Term Structure-3.2%-9.1%22.8%22.8%5.2%
VWIV50.0%35.1%57.7%35.1%39.2%
Skew 25d8.9%-1.7%57.3%1.2%14.5%
Skew 10d15.4%1.7%81.3%7.3%12.5%
Call IV 25d46.2%39.3%56.1%44.4%39.3%
Put IV 25d55.1%41.3%104.7%45.6%53.8%
Bid-Ask Spread %17.2810.5838.9414.8026.77
Gamma HHI0.870.820.920.920.91
Net GEX47.8K32.1K67.5K48.5K65.6K
Net DEX-1.1M-1.4M-846.8K-995.9K-1.4M
Net VEX-4.8K-5.9K-4.4K-4.5K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.002.710.560.08
Total Volume299.90525952550752
Total OI5,575.5714,0976,5495,4406,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$7.00$7.5029.6%8.5%40.6%7.7%35.1%0.0%22.8%48.5K-995.9K-4.5K0.5614.80N/AN/A3521984,740700
2010-10-04$6.90$5.0036.9%13.9%38.7%16.1%0.0%1.2%-2.9%44.9K-920.8K-4.5K0.0014.90N/AN/A7005,044799
2010-10-05$7.10$5.0043.7%14.1%39.3%24.0%49.3%3.4%-2.9%54.8K-1.2M-4.8K0.0212.31N/AN/A932205,057799
2010-10-06$7.10$5.0034.7%13.8%39.1%13.6%48.1%36.6%-2.6%67.5K-1.2M-5.1K0.0414.42N/AN/A15365,589819
2010-10-07$7.04$5.0035.6%14.3%39.4%14.6%49.9%2.5%-5.1%65.2K-1.1M-5.0K0.0013.53N/AN/A6805,712825
2010-10-08$7.08$5.0041.2%14.1%39.4%21.1%0.0%5.4%-5.2%66.7K-1.2M-5.1K0.0014.63N/AN/A2505,675825
2010-10-11$7.02$5.0037.5%14.5%36.7%16.8%50.5%4.6%-5.4%57.5K-1.0M-4.6K0.1817.65N/AN/A238425,700825
2010-10-12$7.05$7.5038.3%14.3%36.7%17.7%50.0%5.4%-5.1%57.9K-984.7K-4.6K0.0018.58N/AN/A9105,673827
2010-10-13$7.08$5.0045.9%14.2%36.1%26.4%49.7%6.1%-4.4%64.3K-1.1M-4.7K0.0138.94N/AN/A12615,722827
2010-10-14$7.01$5.0050.5%14.5%32.8%31.8%50.6%4.6%-4.5%32.1K-846.8K-4.4K0.2115.53N/AN/A359755,634828
2010-10-15$6.97$7.5052.3%15.0%30.9%33.8%52.2%0.0%-6.9%32.1K-858.4K-4.4K2.7110.58N/AN/A31845,606880
2010-10-18$6.97$7.5049.2%14.1%28.9%30.3%49.2%0.7%-2.8%33.0K-994.1K-4.4K0.0320.56N/AN/A311103,642455
2010-10-19$6.82$7.5054.3%15.6%24.8%36.2%54.4%-1.7%-8.0%32.3K-949.3K-4.5K0.0816.12N/AN/A130103,849445
2010-10-20$6.98$7.5049.5%14.2%24.0%30.6%49.7%57.3%-3.2%36.3K-1.1M-4.6K0.0017.82N/AN/A16703,929455
2010-10-21$6.83$7.5056.1%16.1%24.7%38.2%56.0%1.2%-9.1%34.3K-965.4K-4.5K0.0117.47N/AN/A27034,017455
2010-10-22$6.93$7.5050.1%14.4%24.0%31.3%50.2%5.0%-4.5%39.7K-1.1M-4.9K0.0017.16N/AN/A2604,245458
2010-10-25$7.00$7.5050.6%14.5%24.0%31.9%50.7%4.1%-3.1%41.4K-1.2M-4.8K0.0017.13N/AN/A18504,256458
2010-10-26$6.86$7.5050.7%14.5%25.3%32.0%51.1%6.5%-3.3%40.6K-1.1M-4.9K0.0019.87N/AN/A25004,392458
2010-10-27$6.82$7.5055.3%15.9%25.1%37.3%56.1%3.1%-7.2%42.0K-1.2M-5.1K0.0013.45N/AN/A36504,603458
2010-10-28$6.98$7.5057.7%16.5%24.2%40.1%57.7%8.5%-8.6%47.6K-1.4M-5.5K0.0110.73N/AN/A938104,887458
2010-10-29$6.98$7.5033.8%9.7%23.4%12.5%39.2%14.5%5.2%65.6K-1.4M-5.9K0.0826.77N/AN/A697555,594467