HLIT Options History — November 2010

In November 2010, HLIT traded between $6.38 and $6.85. ATM implied volatility averaged 35.1%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 8.4% (HV 20d: 43.5%). 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 16 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2010-11-02: Highest Volume — 575 contracts
  • 2010-11-22: Largest IV spike — 31.5% change
  • 2010-11-12: Highest IV Rank — 26.8%
  • 2010-11-12: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.69$6.38$6.85$6.38$6.76
Max Pain$7.02$5.00$7.50$5.00$7.50
ATM IV35.1%25.9%46.2%35.0%32.1%
Expected Move10.4%7.4%13.2%10.0%9.2%
HV 20d43.5%29.1%45.3%39.4%29.1%
HV 60d39.2%35.9%42.6%40.9%35.9%
IV Rank14.0%3.4%26.8%13.9%10.5%
IV Percentile30.7%2.0%74.6%27.8%20.2%
Term Structure9.9%-4.2%25.8%10.1%11.2%
VWIV45.9%23.8%86.9%86.9%24.1%
Skew 25d16.8%-13.1%48.6%-13.1%5.1%
Skew 10d17.3%-8.5%60.1%-8.5%13.3%
Call IV 25d35.9%24.0%47.8%45.7%42.7%
Put IV 25d52.8%32.6%89.8%32.6%47.8%
Bid-Ask Spread %18.627.32107.157.3210.60
Gamma HHI0.900.840.930.840.92
Net GEX63.4K44.8K74.9K44.8K69.2K
Net DEX-1.5M-1.8M-1.0M-1.0M-1.2M
Net VEX-5.8K-6.7K-4.8K-4.8K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.002.390.002.39
Total Volume179.3810575494254
Total OI7,600.1436,3008,7236,3007,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$6.38$5.0035.0%10.0%39.4%13.9%86.9%-13.1%10.1%44.8K-1.0M-4.8K0.007.32N/AN/A49405,798502
2010-11-02$6.78$5.0040.8%11.7%44.3%20.6%54.2%35.8%15.7%61.2K-1.4M-5.6K0.039.81N/AN/A559166,268502
2010-11-03$6.74$5.0031.6%9.0%44.3%9.9%33.8%26.5%16.7%61.9K-1.4M-6.0K0.019.50N/AN/A16316,746510
2010-11-04$6.85$5.0033.6%9.6%44.7%12.3%54.2%34.1%19.0%70.4K-1.7M-6.6K0.5010.07N/AN/A20106,851510
2010-11-05$6.78$7.5031.9%11.3%44.8%10.3%0.0%48.6%3.0%65.1K-1.5M-6.1K0.0214.52N/AN/A4516,856510
2010-11-08$6.74$7.5037.5%13.0%44.7%16.8%0.0%-0.3%-4.2%64.1K-1.4M-5.7K0.0018.60N/AN/A30606,880511
2010-11-09$6.68$7.5040.5%12.4%44.7%20.2%0.0%0.9%1.1%62.7K-1.5M-6.1K0.0029.40N/AN/A4007,154511
2010-11-10$6.79$7.5035.3%12.5%45.2%14.3%44.1%1.8%-2.0%68.7K-1.6M-6.0K0.0020.47N/AN/A45907,154511
2010-11-11$6.71$7.5044.0%12.6%45.2%24.3%0.0%2.2%-0.0%74.9K-1.7M-6.7K0.0227.70N/AN/A26147,609511
2010-11-12$6.65$7.5046.2%13.2%45.3%26.8%0.0%-0.6%-2.0%62.5K-1.7M-6.5K0.6918.54N/AN/A113787,870515
2010-11-15$6.61$7.5042.1%12.1%45.3%22.1%0.0%0.0%-3.0%56.8K-1.8M-6.1K0.9619.71N/AN/A25247,981547
2010-11-16$6.61$7.5038.2%11.0%44.7%17.6%23.8%26.2%21.1%57.0K-1.6M-5.8K0.099.74N/AN/A228217,996559
2010-11-17$6.66$7.5035.9%10.3%43.9%15.0%0.0%20.4%15.7%62.0K-1.7M-6.0K0.0010.90N/AN/A0618,112580
2010-11-18$6.54$7.5032.1%9.2%43.7%10.5%0.0%13.7%16.1%55.3K-1.5M-5.6K0.0410.01N/AN/A8948,112611
2010-11-19$6.58$7.5026.4%7.6%43.4%4.0%0.0%21.9%25.8%55.8K-1.5M-5.8K0.0010.81N/AN/A1708,106615
2010-11-22$6.74$7.5034.7%10.0%44.2%13.6%0.0%22.0%7.6%70.2K-1.4M-5.9K0.00107.15N/AN/A12506,415510
2010-11-23$6.64$7.5025.9%7.4%43.9%3.4%0.0%22.7%21.0%61.2K-1.2M-5.3K0.009.54N/AN/A2206,415510
2010-11-24$6.79$7.5028.2%8.1%44.7%6.0%24.1%23.7%15.3%70.4K-1.3M-5.5K0.5111.99N/AN/A2151106,425510
2010-11-26$6.73$7.5033.0%9.5%43.9%11.6%0.0%18.9%7.0%68.8K-1.2M-5.4K0.0013.46N/AN/A206,488620
2010-11-29$6.76$7.5031.2%8.9%44.0%9.5%0.0%25.7%11.7%69.0K-1.2M-5.3K0.0011.18N/AN/A006,490620
2010-11-30$6.76$7.5032.1%9.2%29.1%10.5%0.0%5.1%11.2%69.2K-1.2M-5.3K2.3910.60N/AN/A751796,482620