HLIT Options History — January 2011

In January 2011, HLIT traded between $7.94 and $8.71. ATM implied volatility averaged 45.9%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 13.0% (HV 20d: 32.9%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.11.

Notable Days

  • 2011-01-12: Highest Volume — 3,087 contracts
  • 2011-01-04: Largest IV spike — 56.8% change
  • 2011-01-24: Highest IV Rank — 39.8%
  • 2011-01-24: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.33$7.94$8.71$8.71$8.44
Max Pain$7.25$5.00$10.00$5.00$7.50
ATM IV45.9%27.9%57.4%28.8%51.4%
Expected Move13.9%8.0%16.5%8.2%14.7%
HV 20d32.9%19.7%45.2%43.4%29.1%
HV 60d37.9%32.6%39.1%38.4%33.2%
IV Rank26.4%5.7%39.8%6.7%32.8%
IV Percentile68.2%5.6%96.8%7.9%86.9%
Term Structure-0.8%-10.0%26.3%15.8%16.1%
VWIV48.8%17.8%66.7%24.8%66.7%
Skew 25d3.3%-4.5%19.3%-0.9%0.6%
Skew 10d28.6%-12.1%66.9%11.1%10.7%
Call IV 25d47.2%33.1%64.8%47.4%61.4%
Put IV 25d50.4%39.0%84.1%46.5%62.0%
Bid-Ask Spread %21.148.2841.1110.0041.11
Gamma HHI0.490.470.540.480.54
Net GEX71.1K55.0K107.9K98.7K75.5K
Net DEX-3.7M-4.8M-2.2M-4.8M-2.8M
Net VEX-8.3K-9.6K-6.4K-7.6K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.460.010.46
Total Volume498.55163,0871,889452
Total OI10,159.47,94512,0239,8288,054

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$8.71$5.0028.8%8.2%43.4%6.7%24.8%-0.9%15.8%98.7K-4.8M-7.6K0.0110.00N/AN/A1,879109,101727
2011-01-04$8.52$5.0045.1%12.9%45.0%25.6%45.8%2.5%-9.7%107.9K-4.6M-8.4K0.238.30N/AN/A2315410,191737
2011-01-05$8.59$5.0027.9%8.0%45.0%5.7%17.8%2.4%26.3%55.0K-4.8M-6.7K0.338.28N/AN/A12410,134757
2011-01-06$8.53$5.0033.6%9.6%45.2%12.2%0.0%3.5%8.2%66.8K-4.7M-6.8K0.0011.45N/AN/A28010,136753
2011-01-07$8.50$10.0032.9%12.9%45.1%11.5%48.0%1.1%3.1%63.1K-4.6M-6.6K0.0028.35N/AN/A159010,129753
2011-01-10$8.45$10.0035.7%13.5%45.0%14.7%47.3%0.6%-4.3%60.9K-4.5M-6.4K0.4433.32N/AN/A1587010,010753
2011-01-11$8.38$7.5032.1%14.5%43.2%10.5%0.0%3.7%-5.8%56.5K-4.5M-6.5K0.1025.36N/AN/A2602510,107822
2011-01-12$8.44$7.5035.8%13.9%42.1%14.8%51.3%-3.0%-3.8%56.5K-4.4M-6.7K0.0126.29N/AN/A3,053349,946827
2011-01-13$8.32$7.5053.1%15.2%42.8%34.8%50.9%-0.9%-7.5%74.1K-4.1M-9.3K0.0231.21N/AN/A1,0042510,961837
2011-01-14$8.41$7.5051.5%14.8%26.0%33.0%47.8%17.6%-5.3%70.6K-3.7M-9.5K0.0025.96N/AN/A268010,419860
2011-01-18$8.30$7.5051.0%14.6%26.4%32.4%0.0%-0.6%-5.6%68.5K-3.6M-9.0K0.0021.88N/AN/A25010,475860
2011-01-19$8.05$7.5051.4%14.7%19.8%32.8%51.5%-4.5%-7.9%72.1K-3.3M-8.5K0.2119.27N/AN/A3667610,462860
2011-01-20$7.96$7.5051.6%14.8%19.7%33.1%50.4%-2.3%-5.0%78.1K-3.2M-8.7K0.1113.81N/AN/A5455810,672935
2011-01-21$7.95$7.5053.5%15.3%19.7%35.3%53.5%17.4%-6.1%71.7K-3.4M-9.3K0.2018.15N/AN/A3466811,054969
2011-01-24$7.94$7.5057.4%16.5%19.7%39.8%59.0%19.3%-10.0%62.3K-2.2M-9.1K0.0015.62N/AN/A1607,459497
2011-01-25$8.18$7.5057.1%16.4%22.9%39.4%57.0%-1.6%-4.4%68.0K-2.5M-9.3K0.0020.71N/AN/A29307,461497
2011-01-26$8.43$7.5056.1%16.1%25.6%38.2%55.0%11.4%0.7%75.7K-2.9M-9.5K0.0020.12N/AN/A13307,580497
2011-01-27$8.38$7.5055.7%16.0%24.9%37.7%54.6%-3.4%-3.7%72.7K-2.7M-9.2K0.0020.25N/AN/A9007,454497
2011-01-28$8.15$7.5055.5%15.9%26.4%37.6%0.0%2.9%-7.0%66.8K-2.5M-9.1K0.0523.45N/AN/A219107,448497
2011-01-31$8.44$7.5051.4%14.7%29.1%32.8%66.7%0.6%16.1%75.5K-2.8M-9.6K0.4641.11N/AN/A3101427,547507