HLIT Options History — December 2010

In December 2010, HLIT traded between $6.74 and $8.72. ATM implied volatility averaged 33.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.3% (HV 20d: 32.4%). 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 22 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2010-12-13: Highest Volume — 2,542 contracts
  • 2010-12-20: Largest IV spike — 45.9% change
  • 2010-12-20: Highest IV Rank — 28.6%
  • 2010-12-20: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.83$6.74$8.72$6.80$8.57
Max Pain$5.34$5.00$7.50$7.50$5.00
ATM IV33.8%25.5%47.7%31.4%32.9%
Expected Move9.9%7.3%13.7%9.0%9.4%
HV 20d32.4%19.6%43.8%19.6%43.6%
HV 60d36.8%33.1%39.1%35.8%38.4%
IV Rank12.5%2.9%28.6%9.8%11.4%
IV Percentile28.8%1.6%79.4%16.7%26.2%
Term Structure10.7%0.4%22.2%10.2%13.2%
VWIV36.5%21.9%44.8%38.9%32.7%
Skew 25d7.7%0.1%70.3%3.1%0.4%
Skew 10d21.8%-8.2%115.9%12.0%-8.2%
Call IV 25d41.5%33.7%53.5%41.9%41.4%
Put IV 25d49.1%39.6%123.8%45.0%41.7%
Bid-Ask Spread %17.518.7539.629.799.81
Gamma HHI0.750.470.960.930.49
Net GEX93.8K43.2K139.4K72.9K60.3K
Net DEX-3.2M-5.2M-1.1M-1.1M-4.6M
Net VEX-6.6K-7.9K-5.1K-5.3K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.003.173.170.01
Total Volume487.18272,54225276
Total OI8,586.2277,3439,7007,3439,657

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$6.80$7.5031.4%9.0%19.6%9.8%0.0%3.1%10.2%72.9K-1.1M-5.3K3.179.79N/AN/A6196,544799
2010-12-02$6.74$7.5030.2%8.7%19.8%8.3%0.0%31.0%15.7%68.6K-1.1M-5.2K0.009.24N/AN/A4806,544818
2010-12-03$6.90$7.5027.4%7.9%20.7%5.1%0.0%70.3%15.1%81.1K-1.2M-5.2K0.1512.61N/AN/A86136,560818
2010-12-06$6.99$5.0027.5%11.1%20.8%5.2%38.9%7.2%4.5%88.1K-1.4M-5.6K0.3219.94N/AN/A62206,640831
2010-12-07$7.10$5.0032.0%10.5%21.1%10.4%36.6%5.7%7.3%101.5K-1.5M-5.8K0.1420.56N/AN/A115166,648851
2010-12-08$7.09$5.0030.4%10.6%20.8%8.6%0.0%4.0%5.6%102.2K-1.5M-5.8K0.0019.37N/AN/A23306,739866
2010-12-09$7.05$5.0037.8%11.0%20.3%17.1%0.0%3.0%4.2%99.9K-1.6M-6.0K1.3321.10N/AN/A346,916833
2010-12-10$7.23$5.0038.3%10.2%21.3%17.6%35.6%5.3%7.4%117.2K-1.8M-6.2K0.0214.22N/AN/A32286,919837
2010-12-13$7.56$5.0042.2%10.9%25.2%22.2%38.1%3.9%3.5%139.4K-2.7M-6.8K0.0315.50N/AN/A2,474687,107845
2010-12-14$7.41$5.0044.2%11.9%26.5%24.5%41.6%4.0%2.8%132.1K-2.6M-7.8K0.0219.08N/AN/A813187,822850
2010-12-15$7.47$5.0036.8%10.5%26.5%15.9%36.8%4.0%6.3%137.3K-2.7M-7.9K0.1115.40N/AN/A236277,970852
2010-12-16$8.23$5.0037.5%10.8%41.7%16.8%40.1%5.9%6.4%96.1K-4.4M-7.3K0.0829.67N/AN/A1,8391448,109863
2010-12-17$8.26$5.0032.7%9.4%40.4%11.2%34.4%5.7%19.9%115.5K-4.6M-7.5K0.6522.60N/AN/A3082008,862838
2010-12-20$8.72$5.0047.7%13.7%43.1%28.6%44.8%1.8%0.4%87.7K-5.2M-7.5K0.0539.62N/AN/A801448,434681
2010-12-21$8.62$5.0037.5%10.8%43.8%16.8%29.0%1.9%14.6%89.5K-4.8M-7.7K0.0228.27N/AN/A31668,371725
2010-12-22$8.61$5.0026.3%7.5%42.9%3.9%44.4%0.1%21.0%88.7K-4.8M-7.7K0.0010.48N/AN/A30008,370726
2010-12-23$8.53$5.0034.5%9.9%43.5%13.3%44.6%1.2%3.4%89.0K-4.7M-7.2K0.009.28N/AN/A76628,604726
2010-12-27$8.55$5.0030.7%8.8%43.0%8.9%30.7%2.2%15.4%96.8K-4.6M-7.9K0.0028.33N/AN/A45308,861727
2010-12-28$8.52$5.0029.9%8.6%43.3%8.1%29.1%3.3%17.3%61.9K-4.7M-5.6K0.0011.37N/AN/A9908,850727
2010-12-29$8.66$5.0025.5%7.3%43.1%2.9%21.9%2.1%22.2%43.2K-4.8M-5.1K0.0010.18N/AN/A23208,831727
2010-12-30$8.71$5.0029.2%8.4%43.1%7.2%41.4%2.5%18.1%94.7K-4.8M-7.3K0.008.75N/AN/A34108,872727
2010-12-31$8.57$5.0032.9%9.4%43.6%11.4%32.7%0.4%13.2%60.3K-4.6M-5.7K0.019.81N/AN/A27248,930727