HLIT Options History — July 2011

In July 2011, HLIT traded between $5.43 and $7.46. ATM implied volatility averaged 40.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 2.7% (HV 20d: 38.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2011-07-22: Highest Volume — 587 contracts
  • 2011-07-11: Largest IV spike — 32.3% change
  • 2011-07-21: Highest IV Rank — 45.0%
  • 2011-07-21: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.64$5.43$7.46$7.46$5.43
Max Pain$7.38$5.00$7.50$7.50$7.50
ATM IV40.8%24.7%55.9%30.1%42.0%
Expected Move12.8%8.6%14.5%8.6%12.0%
HV 20d38.1%30.9%53.5%30.9%52.9%
HV 60d36.8%34.6%39.9%35.7%39.6%
IV Rank26.8%2.0%45.0%8.2%30.9%
IV Percentile60.2%2.4%96.0%19.0%68.3%
Term Structure-1.3%-11.8%24.9%24.9%6.5%
VWIV42.7%20.8%51.2%20.8%39.4%
Skew 25d9.0%-21.4%57.6%9.2%2.0%
Skew 10d20.5%-6.0%81.2%14.6%43.7%
Call IV 25d41.2%25.6%49.6%36.7%44.7%
Put IV 25d50.2%28.2%102.1%45.9%46.7%
Bid-Ask Spread %23.1612.8957.4657.4635.22
Gamma HHI0.510.340.830.730.42
Net GEX209-56.0K19.9K-32.4K10.0K
Net DEX207.4K-672.1K1.2M-251.0K-105.0K
Net VEX-4.0K-6.2K-2.7K-6.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.004.730.490.00
Total Volume171.80587242200
Total OI7,214.553,37610,43310,1004,622

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$7.46$7.5030.1%8.6%30.9%8.2%20.8%9.2%24.9%-32.4K-251.0K-6.2K0.4957.46N/AN/A162807,0133,087
2011-07-05$7.23$7.5027.4%13.5%31.5%5.1%0.0%5.5%-4.3%-48.2K489.2K-5.6K0.0021.28N/AN/A007,1043,157
2011-07-06$7.13$7.5029.7%13.1%31.9%7.8%0.0%5.6%-1.5%-33.0K713.7K-5.0K0.0021.78N/AN/A13607,1043,157
2011-07-07$7.25$7.5024.7%13.6%31.1%2.0%47.5%46.5%-5.7%-56.0K533.6K-5.3K0.0820.10N/AN/A5047,2403,157
2011-07-08$7.10$7.5029.1%12.8%32.1%7.1%0.0%4.7%-2.5%-25.0K783.6K-4.8K0.0023.66N/AN/A087,2703,153
2011-07-11$6.86$7.5038.5%14.3%32.8%17.9%49.7%2.1%-5.8%3.3K1.0M-4.1K0.0616.38N/AN/A1817,2703,161
2011-07-12$6.87$7.5042.5%12.7%32.6%22.5%45.1%2.5%0.0%3.3K1.1M-4.0K0.0422.66N/AN/A5527,2733,160
2011-07-13$6.85$7.5055.9%12.0%31.9%38.0%43.8%3.5%0.5%16.6K1.1M-3.8K0.1218.69N/AN/A146187,2443,161
2011-07-14$6.69$7.5040.0%11.5%32.7%27.8%0.0%-1.0%-0.1%15.9K1.1M-3.7K0.1428.57N/AN/A5077,2003,162
2011-07-15$6.84$7.5045.0%12.9%32.9%35.9%0.0%52.1%-2.4%16.5K1.2M-3.8K0.5122.59N/AN/A45237,1703,162
2011-07-18$6.83$5.0050.1%14.4%32.8%44.1%50.1%2.4%-4.2%16.4K-535.2K-3.8K0.0917.75N/AN/A405352,799577
2011-07-19$7.08$7.5046.5%13.3%35.2%38.3%46.5%57.6%-0.9%19.9K-645.3K-4.4K0.1645.70N/AN/A3153,111612
2011-07-20$7.06$7.5048.6%13.9%32.8%41.8%48.6%7.9%-0.2%19.6K-672.1K-4.5K0.0914.22N/AN/A292263,121617
2011-07-21$6.46$7.5050.6%14.5%45.4%45.0%51.2%-12.3%-8.8%15.8K-446.5K-3.8K0.4120.24N/AN/A3191303,233642
2011-07-22$6.20$7.5044.4%12.7%45.8%34.8%26.7%2.9%-5.0%12.8K-260.1K-3.3K0.2812.89N/AN/A4601273,405752
2011-07-25$6.03$7.5044.5%12.8%45.7%35.1%39.4%6.8%-6.4%12.3K-269.4K-3.0K0.3116.06N/AN/A125393,510702
2011-07-26$6.17$7.5042.4%12.2%47.0%31.6%0.0%8.8%-7.0%14.0K-326.1K-3.1K3.3314.04N/AN/A6203,609691
2011-07-27$5.80$7.5042.3%12.1%50.2%31.5%0.0%-6.3%8.6%11.6K-252.5K-3.0K0.4615.04N/AN/A2381103,615704
2011-07-28$5.44$7.5042.3%12.1%53.5%31.5%0.0%-21.4%-11.8%10.9K-140.0K-2.8K4.7318.91N/AN/A11523,786778
2011-07-29$5.43$7.5042.0%12.0%52.9%30.9%0.0%2.0%6.5%10.0K-105.0K-2.7K0.0035.22N/AN/A20003,797825