HLIT Options History — February 2011

In February 2011, HLIT traded between $8.36 and $9.97. ATM implied volatility averaged 46.2%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 11.2% (HV 20d: 57.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.41.

Notable Days

  • 2011-02-03: Highest Volume — 6,004 contracts
  • 2011-02-04: Largest IV drop — 52.2% change
  • 2011-02-03: Highest IV Rank — 70.9%
  • 2011-02-03: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.42$8.36$9.97$8.76$9.61
Max Pain$9.34$7.50$10.00$7.50$10.00
ATM IV46.2%38.0%84.4%53.3%43.8%
Expected Move13.2%10.9%24.2%15.3%12.5%
HV 20d57.4%31.6%63.5%31.6%62.2%
HV 60d43.8%33.8%46.7%33.8%46.7%
IV Rank26.8%17.4%70.9%35.0%24.0%
IV Percentile67.9%47.2%99.6%91.3%68.7%
Term Structure-4.0%-24.3%3.0%-14.8%-4.0%
VWIV46.6%34.2%80.5%70.6%44.0%
Skew 25d7.5%-12.7%71.1%3.4%-7.7%
Skew 10d15.7%-12.5%103.8%44.3%-10.1%
Call IV 25d39.6%32.7%57.9%49.3%37.8%
Put IV 25d47.1%28.2%110.2%52.7%30.0%
Bid-Ask Spread %17.6213.0229.0119.2518.09
Gamma HHI0.860.600.950.600.83
Net GEX206.8K60.2K426.4K86.5K118.0K
Net DEX-4.6M-6.7M-2.6M-3.2M-3.8M
Net VEX-12.5K-14.8K-9.9K-9.9K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.772.770.13
Total Volume776.89586,0041,402128
Total OI12,216.5268,31614,9878,3848,456

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$8.76$7.5053.3%15.3%31.6%35.0%70.6%3.4%-14.8%86.5K-3.2M-9.9K2.7719.25N/AN/A3721,0307,735649
2011-02-02$8.36$7.5070.9%20.3%35.0%55.3%68.7%6.9%-24.3%60.2K-2.6M-10.2K0.0213.02N/AN/A36167,9711,679
2011-02-03$8.60$7.5084.4%24.2%36.4%70.9%80.5%0.9%-24.0%70.3K-3.1M-11.3K0.4729.01N/AN/A4,0841,9208,1571,685
2011-02-04$9.84$7.5040.4%11.9%59.9%20.1%41.4%57.3%1.2%222.7K-6.3M-12.9K0.0316.71N/AN/A1,7605110,4463,386
2011-02-07$9.56$7.5042.1%11.7%61.2%22.1%40.9%-4.2%-0.1%222.2K-5.4M-12.9K0.0516.92N/AN/A1,1275410,7543,380
2011-02-08$9.45$10.0044.0%11.9%61.3%24.3%41.6%-6.4%0.6%217.8K-5.2M-13.2K0.0919.96N/AN/A6375711,3993,397
2011-02-09$9.48$10.0041.1%12.1%61.1%20.9%42.2%1.3%-1.1%224.5K-5.3M-13.8K0.0315.85N/AN/A1,1923211,5333,454
2011-02-10$9.52$10.0039.7%11.4%61.1%19.3%39.7%-4.4%2.3%257.5K-5.0M-14.3K0.0019.87N/AN/A41011,4343,478
2011-02-11$9.78$10.0040.7%11.7%61.1%20.5%40.7%-0.3%0.6%367.4K-5.8M-14.8K0.0014.01N/AN/A717011,4153,478
2011-02-14$9.97$10.0040.6%11.6%61.2%20.3%0.0%63.0%-1.5%398.6K-6.7M-14.0K0.0014.42N/AN/A225011,4423,478
2011-02-15$9.63$10.0041.6%11.9%62.7%21.5%41.6%1.2%-2.2%360.9K-5.7M-13.7K0.0617.02N/AN/A1631011,4453,478
2011-02-16$9.74$10.0040.0%11.5%61.0%19.6%40.0%71.1%3.0%426.4K-5.2M-12.9K0.0017.55N/AN/A101011,4723,488
2011-02-17$9.69$10.0042.1%12.1%60.8%22.1%42.0%0.7%-2.9%370.6K-5.0M-12.9K1.3914.59N/AN/A233211,4683,478
2011-02-18$9.55$10.0043.8%12.6%61.3%24.1%34.2%-3.7%-4.0%106.4K-4.3M-12.4K0.6015.71N/AN/A5311,4693,510
2011-02-22$9.28$10.0043.3%12.4%62.7%23.5%43.5%-9.1%-1.8%101.8K-3.3M-11.7K2.1216.32N/AN/A26557,324992
2011-02-23$9.08$10.0044.1%12.6%62.9%24.4%44.6%-12.7%-2.5%94.2K-3.0M-11.1K0.0717.26N/AN/A199137,3241,037
2011-02-24$9.44$10.0043.4%12.4%63.5%23.6%43.8%-8.3%-2.9%107.0K-3.5M-11.4K0.0021.37N/AN/A6607,3611,048
2011-02-25$9.60$10.0038.0%10.9%63.4%17.4%38.0%-6.8%1.5%116.2K-3.8M-11.8K0.0017.86N/AN/A27107,3661,048
2011-02-28$9.61$10.0043.8%12.5%62.2%24.0%44.0%-7.7%-4.0%118.0K-3.8M-11.6K0.1318.09N/AN/A113157,4081,048