HLIT Options History — April 2011

In April 2011, HLIT traded between $8.28 and $9.89. ATM implied volatility averaged 44.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.5% (HV 20d: 40.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-04-04: Highest Volume — 1,775 contracts
  • 2011-04-04: Largest IV spike — 63.5% change
  • 2011-04-13: Highest IV Rank — 53.1%
  • 2011-04-28: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.21$8.28$9.89$9.22$8.28
Max Pain$7.63$7.50$10.00$7.50$7.50
ATM IV44.0%24.4%69.0%24.4%31.7%
Expected Move13.3%7.0%17.1%7.0%9.1%
HV 20d40.4%32.4%51.8%32.4%51.8%
HV 60d46.1%43.1%48.5%43.1%48.5%
IV Rank24.2%1.6%53.1%1.6%10.1%
IV Percentile59.4%1.2%98.4%1.2%21.4%
Term Structure-7.6%-17.5%15.4%15.4%-10.7%
VWIV50.8%39.4%62.1%55.3%39.4%
Skew 25d0.9%-15.6%18.6%10.1%-6.6%
Skew 10d10.3%-17.8%35.7%18.3%35.7%
Call IV 25d44.8%30.0%59.6%30.0%31.3%
Put IV 25d45.7%24.8%66.4%40.0%24.8%
Bid-Ask Spread %38.9810.7281.6181.6110.72
Gamma HHI0.820.720.930.820.87
Net GEX108.9K45.6K251.3K94.6K45.6K
Net DEX-2.8M-4.1M-1.3M-2.6M-1.3M
Net VEX-8.0K-9.8K-5.4K-7.6K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.610.000.49
Total Volume441.1121,77592864
Total OI7,799.16,4399,0537,6688,304

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$9.22$7.5024.4%7.0%32.4%1.6%55.3%10.1%15.4%94.6K-2.6M-7.6K0.0081.61N/AN/A9206,843825
2011-04-04$9.89$10.0039.9%13.0%40.5%19.5%45.3%18.6%-6.1%161.7K-3.9M-8.6K0.0126.16N/AN/A1,755206,840825
2011-04-05$9.74$7.5025.4%12.2%40.9%2.8%42.5%3.4%-2.5%251.3K-4.1M-9.8K0.0017.99N/AN/A25207,903826
2011-04-06$9.83$7.5029.0%13.1%40.8%6.9%0.0%3.2%-6.1%190.5K-3.9M-9.4K3.2515.58N/AN/A4137,326826
2011-04-07$9.81$7.5030.2%13.0%37.5%8.4%45.3%3.6%-5.5%196.4K-4.0M-9.3K0.0217.54N/AN/A440107,330816
2011-04-08$9.60$7.5029.0%13.3%36.7%6.9%0.0%0.3%-7.1%169.7K-3.5M-8.8K0.0014.77N/AN/A3607,391806
2011-04-11$9.35$7.5036.2%12.9%38.2%15.3%0.0%-3.8%-5.7%116.1K-2.9M-8.1K0.0040.36N/AN/A1207,380806
2011-04-12$9.00$7.5053.6%13.9%40.8%35.4%49.2%-12.6%-9.4%67.8K-2.5M-7.2K0.0040.20N/AN/A85107,380806
2011-04-13$8.97$7.5069.0%11.6%39.6%53.1%46.1%-15.6%-4.5%68.1K-2.5M-7.1K0.4478.88N/AN/A55247,509801
2011-04-14$8.99$7.5044.7%12.8%39.3%25.1%51.8%-4.0%-11.6%70.5K-2.5M-7.2K0.3926.07N/AN/A7662987,599795
2011-04-15$8.99$7.5050.2%14.4%39.2%31.5%0.0%-0.6%-11.8%73.2K-2.6M-7.8K0.1731.89N/AN/A5497,9601,093
2011-04-18$8.67$7.5054.3%15.6%41.0%36.1%60.6%-3.1%-17.5%64.3K-1.7M-7.3K0.1052.02N/AN/A322325,758681
2011-04-19$8.65$7.5055.1%15.8%40.5%37.1%56.6%-1.6%-15.6%68.2K-1.9M-7.3K0.1449.47N/AN/A319455,965713
2011-04-20$9.05$7.5044.8%12.8%43.0%25.2%52.3%5.8%-8.8%82.0K-2.5M-7.8K0.0756.43N/AN/A448316,283758
2011-04-21$9.13$7.5050.8%14.6%41.6%32.1%40.9%9.8%-9.3%90.1K-2.7M-8.2K0.0120.65N/AN/A32826,551767
2011-04-25$9.25$7.5049.6%14.2%41.8%30.7%61.0%16.2%-7.2%95.6K-2.7M-7.9K3.2839.21N/AN/A29956,346767
2011-04-26$9.36$7.5048.3%13.9%41.6%29.3%48.1%-3.4%-4.5%98.7K-2.9M-8.1K0.6152.78N/AN/A2861756,369862
2011-04-27$9.28$7.5053.3%15.3%40.5%35.0%62.1%13.2%-10.0%91.9K-2.8M-8.3K4.6156.24N/AN/A743416,4001,020
2011-04-28$9.08$7.5059.7%17.1%40.7%42.4%56.2%-14.8%-14.0%81.8K-2.5M-8.3K0.1750.94N/AN/A6351056,4331,319
2011-04-29$8.28$7.5031.7%9.1%51.8%10.1%39.4%-6.6%-10.7%45.6K-1.3M-5.4K0.4910.72N/AN/A5782866,8801,424