HLIT Options History — May 2011

In May 2011, HLIT traded between $7.43 and $8.08. ATM implied volatility averaged 36.1%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.1% (HV 20d: 40.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2011-05-23: Highest Volume — 968 contracts
  • 2011-05-12: Largest IV spike — 40.9% change
  • 2011-05-24: Highest IV Rank — 23.3%
  • 2011-05-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.74$7.43$8.08$8.08$7.79
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV36.1%24.8%43.1%24.8%41.1%
Expected Move10.8%7.1%12.4%7.1%11.8%
HV 20d40.2%24.0%52.0%52.0%24.0%
HV 60d38.6%36.7%48.4%48.4%37.5%
IV Rank15.1%2.1%23.3%2.1%21.0%
IV Percentile42.3%2.4%69.0%2.4%63.5%
Term Structure1.4%-6.3%14.6%14.6%-0.7%
VWIV40.1%36.8%47.8%43.7%37.6%
Skew 25d16.2%-22.4%58.3%-1.4%30.5%
Skew 10d44.7%-23.7%94.9%-5.9%94.9%
Call IV 25d39.1%30.7%48.8%30.7%48.8%
Put IV 25d55.3%23.3%102.4%29.3%79.3%
Bid-Ask Spread %20.1413.8935.4113.8924.19
Gamma HHI0.600.470.890.710.89
Net GEX21.5K-34.1K38.2K23.1K17.0K
Net DEX-1.0M-1.6M-379.1K-1.0M-842.0K
Net VEX-6.9K-9.1K-5.0K-5.0K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.0011.470.320.00
Total Volume325.476496892815
Total OI10,004.198,27111,1258,27110,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$8.08$7.5024.8%7.1%52.0%2.1%43.7%-1.4%14.6%23.1K-1.0M-5.0K0.3213.89N/AN/A7052236,8231,448
2011-05-03$7.93$7.5031.3%9.0%43.5%9.6%0.0%-4.9%10.9%13.8K-947.3K-6.2K2.1528.47N/AN/A541167,2231,639
2011-05-04$7.83$7.5030.7%8.8%43.5%8.9%0.0%1.5%10.1%12.6K-795.7K-5.8K0.3627.60N/AN/A137497,2351,747
2011-05-05$7.87$7.5032.4%9.3%43.3%10.9%47.8%-22.4%-3.5%17.3K-867.9K-6.1K0.1016.98N/AN/A628647,3331,786
2011-05-06$7.79$7.5031.2%10.7%43.1%9.5%37.3%10.3%-0.4%24.5K-1.0M-6.8K0.0818.76N/AN/A296257,9281,850
2011-05-09$7.81$7.5034.2%11.6%43.2%13.0%40.6%11.5%-3.0%27.3K-1.2M-6.8K0.8815.94N/AN/A1861638,2121,850
2011-05-10$7.92$7.5028.5%11.1%43.6%6.3%38.8%9.7%-0.2%38.2K-1.6M-6.9K0.0115.82N/AN/A9618,3831,776
2011-05-11$7.80$7.5027.1%10.8%42.3%4.8%0.0%32.0%0.8%32.6K-1.3M-6.9K0.0018.79N/AN/A048,4381,777
2011-05-12$7.77$7.5038.2%11.0%42.3%17.6%38.2%13.8%-0.1%28.3K-1.3M-6.5K1.9314.79N/AN/A40778,4381,781
2011-05-13$7.69$7.5036.8%10.6%42.1%16.0%36.8%10.0%0.1%28.2K-1.2M-6.4K0.0035.41N/AN/A11108,4411,731
2011-05-16$7.49$7.5043.0%12.3%42.5%23.1%0.0%9.3%-6.3%32.4K-931.0K-6.2K0.0016.32N/AN/A098,5351,731
2011-05-17$7.55$7.5040.6%11.6%41.7%20.3%40.6%11.3%-2.7%15.3K-961.2K-6.0K0.0018.07N/AN/A15108,5291,737
2011-05-18$7.69$7.5038.9%11.2%42.6%18.4%0.0%38.6%0.7%25.8K-1.2M-6.3K0.0017.67N/AN/A05008,5881,737
2011-05-19$7.66$7.5039.2%11.2%38.1%18.7%39.2%7.8%-0.1%11.6K-1.1M-6.6K4.4416.35N/AN/A1356008,5342,164
2011-05-20$7.56$7.5038.3%11.0%37.6%17.7%38.3%45.8%2.8%-34.1K-735.0K-6.9K6.2015.44N/AN/A503108,5932,532
2011-05-23$7.47$7.5040.7%11.7%36.7%20.5%40.7%9.2%-0.4%31.8K-620.5K-6.8K2.5623.29N/AN/A2726966,8152,272
2011-05-24$7.43$7.5043.1%12.4%35.8%23.3%0.0%58.3%-0.4%23.4K-379.1K-7.8K1.4016.62N/AN/A2183057,0852,959
2011-05-25$7.72$7.5041.7%12.0%39.9%21.6%41.7%7.6%-1.2%25.0K-945.8K-8.8K11.4719.37N/AN/A171957,2263,264
2011-05-26$7.83$7.5038.4%11.0%40.4%17.8%0.0%27.5%4.1%28.9K-1.1M-9.1K0.0725.94N/AN/A150107,2313,459
2011-05-27$7.76$7.5037.6%10.8%25.2%16.8%37.6%33.6%3.9%29.1K-1.1M-9.0K0.0023.14N/AN/A22707,2613,469
2011-05-31$7.79$7.5041.1%11.8%24.0%21.0%0.0%30.5%-0.7%17.0K-842.0K-8.2K0.0024.19N/AN/A1507,0593,469