HLIT Options History — June 2011

In June 2011, HLIT traded between $6.71 and $7.51. ATM implied volatility averaged 34.7%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 2.1% (HV 20d: 32.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2011-06-01: Highest Volume — 650 contracts
  • 2011-06-24: Largest IV spike — 29.5% change
  • 2011-06-16: Highest IV Rank — 22.9%
  • 2011-06-16: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.07$6.71$7.51$7.42$7.23
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV34.7%26.2%42.8%40.6%29.7%
Expected Move10.4%7.5%12.3%11.6%8.5%
HV 20d32.6%28.7%35.9%28.7%30.8%
HV 60d38.1%35.0%38.9%38.5%35.1%
IV Rank13.5%3.7%22.9%20.3%7.8%
IV Percentile36.8%4.8%71.4%60.3%16.7%
Term Structure9.4%1.7%27.1%3.6%22.3%
VWIV45.0%20.4%76.8%40.6%76.8%
Skew 25d24.5%-8.8%108.9%12.8%40.9%
Skew 10d29.4%-47.8%111.0%18.3%61.1%
Call IV 25d39.2%23.5%50.4%50.4%39.8%
Put IV 25d63.7%26.5%132.4%63.2%80.8%
Bid-Ask Spread %24.9012.2945.6521.9918.10
Gamma HHI0.620.400.780.560.75
Net GEX-13.8K-35.9K17.7K17.5K-31.6K
Net DEX497.8K-449.4K1.0M-250.9K261.6K
Net VEX-6.3K-8.4K-5.3K-8.0K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.003.330.060.00
Total Volume118.455065065032
Total OI10,526.7739,61511,15410,53210,079

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$7.42$7.5040.6%11.6%28.7%20.3%40.6%12.8%3.6%17.5K-250.9K-8.0K0.0621.99N/AN/A615357,0633,469
2011-06-02$7.51$7.5037.8%10.8%29.0%17.1%37.8%-8.8%3.1%17.7K-449.4K-8.4K0.0023.91N/AN/A40807,4183,482
2011-06-03$7.28$7.5033.6%11.5%30.6%12.3%40.1%11.5%3.2%6.8K-52.6K-7.7K0.0425.25N/AN/A15067,2173,471
2011-06-06$7.09$7.5029.1%12.2%31.6%7.1%42.5%6.1%3.1%3.4K428.5K-7.1K0.2618.71N/AN/A95257,3173,472
2011-06-07$7.12$7.5028.2%10.7%31.6%6.0%0.0%-3.4%6.3%-882514.0K-6.7K0.0020.67N/AN/A27007,3113,472
2011-06-08$6.95$7.5034.5%11.6%31.5%13.3%0.0%6.6%4.2%-4.3K679.9K-6.7K0.0127.07N/AN/A12617,5773,472
2011-06-09$6.91$7.5038.1%10.9%31.4%17.5%0.0%6.5%4.5%-9.6K763.4K-6.4K0.0023.00N/AN/A007,6713,472
2011-06-10$6.71$7.5035.0%10.0%32.4%13.9%49.0%3.5%4.7%-8.1K973.9K-5.6K3.3331.47N/AN/A3107,6713,472
2011-06-13$6.78$7.5035.3%10.1%33.0%14.2%0.0%4.4%4.5%-17.9K918.2K-5.8K0.0034.05N/AN/A7007,6723,482
2011-06-14$6.91$7.5033.5%9.6%33.3%12.2%0.0%2.9%22.6%-6.8K771.0K-6.1K0.0012.29N/AN/A007,6653,482
2011-06-15$6.83$7.5039.1%11.2%33.1%18.6%0.0%8.6%6.6%-18.2K997.8K-5.5K0.0025.97N/AN/A0257,6653,482
2011-06-16$6.97$7.5042.8%12.3%33.2%22.9%0.0%62.2%1.7%-18.1K912.4K-5.7K0.0732.77N/AN/A1517,6613,437
2011-06-17$6.93$7.5030.3%8.7%33.2%8.4%30.4%61.6%9.6%-21.1K1.0M-5.4K0.7114.48N/AN/A48347,6613,436
2011-06-20$6.90$7.5037.5%10.7%33.1%16.7%39.0%-1.2%10.0%-21.7K694.4K-5.3K0.0131.22N/AN/A17116,5403,075
2011-06-21$7.15$7.5039.0%11.2%35.9%18.6%53.0%72.1%4.4%-24.9K372.4K-6.1K0.5022.64N/AN/A60306,6953,076
2011-06-22$7.10$7.5039.8%11.4%35.9%19.4%0.0%10.4%5.4%-24.1K329.8K-6.2K0.0022.65N/AN/A4606,7543,087
2011-06-23$7.27$7.5030.1%8.6%34.0%8.2%20.4%37.3%27.1%-27.4K150.9K-6.3K0.0045.65N/AN/A8106,7903,087
2011-06-24$7.06$7.5039.0%11.2%34.6%18.5%39.7%3.4%6.1%-23.9K421.1K-6.0K0.0035.41N/AN/A1806,8103,087
2011-06-27$7.06$7.5034.3%9.8%34.6%13.1%39.7%86.6%6.8%-24.4K535.4K-5.6K0.0028.28N/AN/A2506,8173,087
2011-06-28$7.15$7.5026.2%7.5%35.1%3.7%76.2%108.9%22.3%-35.9K547.5K-5.5K0.0015.74N/AN/A11706,8333,087
2011-06-29$7.16$7.5029.4%8.4%30.9%7.5%0.0%6.4%23.9%-31.0K413.7K-5.8K0.0016.55N/AN/A8806,9283,087
2011-06-30$7.23$7.5029.7%8.5%30.8%7.8%76.8%40.9%22.3%-31.6K261.6K-5.8K0.0018.10N/AN/A3206,9923,087