HLIT Options History — March 2011

In March 2011, HLIT traded between $8.42 and $9.74. ATM implied volatility averaged 33.3%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 3.3% (HV 20d: 36.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-03-25: Highest Volume — 247 contracts
  • 2011-03-17: Largest IV spike — 30.8% change
  • 2011-03-01: Highest IV Rank — 23.8%
  • 2011-03-07: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.06$8.42$9.74$9.46$9.38
Max Pain$7.83$7.50$10.00$10.00$7.50
ATM IV33.3%24.4%43.6%43.6%28.0%
Expected Move9.7%7.0%12.6%12.5%8.0%
HV 20d36.6%30.0%61.9%61.9%31.9%
HV 60d44.5%41.9%47.3%46.8%43.0%
IV Rank12.0%1.7%23.8%23.8%5.9%
IV Percentile27.6%1.2%67.5%67.5%7.1%
Term Structure8.2%-2.9%18.9%-2.9%17.4%
VWIV37.4%23.4%43.9%43.8%41.8%
Skew 25d-0.6%-16.8%21.0%-8.2%21.0%
Skew 10d0.1%-16.7%50.6%-9.4%0.8%
Call IV 25d33.2%21.7%44.3%37.8%22.4%
Put IV 25d32.6%25.7%43.4%29.6%43.4%
Bid-Ask Spread %15.217.1026.9026.9013.50
Gamma HHI0.760.600.860.830.86
Net GEX92.3K45.3K136.4K117.0K126.2K
Net DEX-2.7M-4.1M-1.9M-3.7M-2.8M
Net VEX-8.8K-11.5K-6.5K-11.5K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.009.710.000.50
Total Volume102.5651224712433
Total OI8,198.3487,3778,7288,5457,663

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$9.46$10.0043.6%12.5%61.9%23.8%43.8%-8.2%-2.9%117.0K-3.7M-11.5K0.0026.90N/AN/A12407,4821,063
2011-03-02$9.58$10.0040.0%11.5%60.8%19.7%40.4%-7.8%0.8%123.4K-3.8M-11.3K0.1524.25N/AN/A171257,4831,063
2011-03-03$9.74$10.0040.6%11.6%57.8%20.3%40.6%-4.4%-1.4%131.8K-4.1M-11.3K0.0116.68N/AN/A9317,4441,088
2011-03-04$9.69$7.5038.3%11.1%57.5%17.7%38.7%-4.8%3.2%136.4K-3.9M-11.2K0.2918.87N/AN/A2167,5241,089
2011-03-07$9.48$7.5040.0%12.6%32.3%19.7%43.9%-7.2%-2.7%125.2K-3.6M-10.8K0.3211.56N/AN/A114377,5191,095
2011-03-08$9.57$7.5041.3%12.3%30.9%21.1%42.7%-7.5%-0.8%131.4K-3.7M-10.8K3.1716.01N/AN/A6197,5111,132
2011-03-09$9.49$7.5032.6%11.9%30.8%11.1%39.9%-8.5%-0.6%131.1K-3.5M-10.6K0.4414.87N/AN/A68307,5141,136
2011-03-10$9.10$7.5036.7%10.5%34.2%15.9%0.0%-16.8%0.7%98.2K-2.9M-9.9K9.7121.60N/AN/A7687,4881,147
2011-03-11$8.84$7.5038.0%10.9%35.4%17.3%41.7%-0.6%-1.6%81.7K-2.4M-8.9K1.1616.81N/AN/A921077,4841,211
2011-03-14$8.79$7.5034.8%10.0%33.5%13.7%25.9%-13.8%2.1%79.0K-2.3M-8.7K0.0221.59N/AN/A16637,4891,225
2011-03-15$8.73$7.5028.2%8.1%32.2%6.1%25.8%0.4%13.5%63.8K-2.1M-7.6K0.7415.75N/AN/A122907,4531,228
2011-03-16$8.51$7.5026.6%7.6%31.3%4.2%0.0%0.4%18.9%47.8K-1.9M-7.1K0.1213.40N/AN/A100127,4731,201
2011-03-17$8.42$7.5034.8%10.0%30.6%13.6%35.9%-5.2%1.1%61.2K-1.9M-7.7K0.007.10N/AN/A3907,5231,201
2011-03-18$8.48$7.5037.9%10.9%31.0%17.2%36.9%14.8%13.7%62.8K-1.9M-7.7K0.4320.07N/AN/A30137,5281,200
2011-03-21$8.65$7.5027.1%7.8%32.2%4.8%34.5%-16.6%15.2%72.2K-2.2M-7.9K0.5811.81N/AN/A24146,598779
2011-03-22$8.50$7.5025.5%7.3%31.4%2.9%0.0%-3.9%16.7%45.3K-1.9M-6.5K0.009.67N/AN/A4106,603779
2011-03-23$8.67$7.5030.0%8.6%31.8%8.1%0.0%1.6%17.3%55.8K-2.1M-6.9K0.0010.93N/AN/A1206,644779
2011-03-24$8.96$7.5030.3%8.7%30.8%8.5%37.6%9.6%17.6%76.6K-2.4M-7.6K0.8811.54N/AN/A103916,645779
2011-03-25$8.98$7.5024.4%7.0%30.0%1.7%23.4%6.1%17.4%76.8K-2.4M-7.4K0.0610.20N/AN/A234136,712848
2011-03-28$8.87$7.5027.8%8.0%30.1%5.5%38.5%4.2%12.8%72.2K-2.2M-7.2K0.0010.79N/AN/A8606,744835
2011-03-29$9.14$7.5030.0%8.6%32.1%8.1%41.5%13.4%13.0%95.4K-2.5M-7.4K0.0414.06N/AN/A2416,755835
2011-03-30$9.30$7.5030.4%8.7%32.4%8.6%0.0%21.0%16.3%111.6K-2.8M-8.0K0.0011.93N/AN/A11906,734836
2011-03-31$9.38$7.5028.0%8.0%31.9%5.9%41.8%21.0%17.4%126.2K-2.8M-7.8K0.5013.50N/AN/A22116,827836