HLIT Options History — August 2011

In August 2011, HLIT traded between $4.66 and $5.62. ATM implied volatility averaged 57.0%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 16.5% (HV 20d: 73.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-08-31: Highest Volume — 3,665 contracts
  • 2011-08-08: Largest IV spike — 43.7% change
  • 2011-08-11: Highest IV Rank — 71.8%
  • 2011-08-10: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.15$4.66$5.62$5.55$4.77
Max Pain$6.74$5.00$7.50$7.50$5.00
ATM IV57.0%37.6%67.5%37.6%52.6%
Expected Move16.4%10.8%20.3%10.8%15.1%
HV 20d73.5%51.8%84.6%52.0%79.8%
HV 60d51.9%39.9%58.4%39.9%57.7%
IV Rank54.7%23.8%71.8%23.8%47.0%
IV Percentile88.9%49.6%98.8%49.6%84.9%
Term Structure-2.7%-25.8%6.8%-2.1%-1.8%
VWIV59.9%53.1%66.2%57.4%53.1%
Skew 25d20.1%-2.1%29.5%-2.1%21.4%
Skew 10d38.0%-8.1%53.3%-8.1%33.4%
Call IV 25d50.7%31.5%68.7%44.4%46.0%
Put IV 25d70.8%42.3%93.9%42.3%67.4%
Bid-Ask Spread %29.5816.7588.8921.3530.10
Gamma HHI0.440.400.570.420.47
Net GEX11.2K3.1K16.1K11.1K15.2K
Net DEX-167.6K-314.4K181.1K-166.2K-139.8K
Net VEX-4.2K-7.0K-2.7K-2.9K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.004.000.532.69
Total Volume436.65263,665463,665
Total OI6,1974,8029,0384,8029,038

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$5.55$7.5037.6%10.8%52.0%23.8%0.0%-2.1%-2.1%11.1K-166.2K-2.9K0.5321.35N/AN/A30163,977825
2011-08-02$5.55$7.5038.6%11.1%51.8%25.5%0.0%16.7%-0.5%11.5K-220.1K-3.2K0.0016.75N/AN/A1004,007841
2011-08-03$5.62$7.5040.6%11.6%52.6%28.7%0.0%17.5%-4.7%11.7K-208.9K-3.1K0.0023.27N/AN/A604,017841
2011-08-04$5.44$7.5047.7%13.7%52.0%40.3%0.0%22.0%-25.8%11.4K-199.6K-3.2K0.0018.31N/AN/A3604,017841
2011-08-05$5.55$7.5045.7%14.8%53.3%37.1%0.0%12.6%5.9%11.8K-259.1K-3.3K0.1523.42N/AN/A130204,043820
2011-08-08$5.00$7.5065.7%19.6%62.2%68.9%0.0%17.9%-12.9%10.7K-121.6K-2.8K0.1121.80N/AN/A196224,138800
2011-08-09$5.31$7.5067.3%17.0%67.6%71.5%0.0%27.5%6.2%10.3K-188.4K-2.8K0.1938.71N/AN/A160314,241817
2011-08-10$4.88$7.5065.3%20.3%72.1%68.2%0.0%20.0%-9.7%10.6K-98.9K-2.7K0.0019.69N/AN/A2504,182786
2011-08-11$5.42$7.5067.5%19.3%84.0%71.8%0.0%21.8%-4.7%11.2K-248.5K-3.0K1.1730.10N/AN/A53624,192786
2011-08-12$5.40$7.5064.8%18.6%83.1%67.4%0.0%24.3%-2.9%12.7K-262.8K-3.2K1.0028.36N/AN/A25254,201813
2011-08-15$5.58$7.5057.6%16.5%84.6%55.3%57.4%16.3%0.8%12.2K-314.4K-3.2K0.0026.10N/AN/A1104,206838
2011-08-16$5.41$7.5057.7%16.5%83.0%55.4%58.1%13.0%1.2%12.3K-280.2K-3.1K4.0029.43N/AN/A10404,217838
2011-08-17$5.29$7.5054.7%15.7%83.0%50.6%0.0%18.6%6.8%12.9K-230.8K-3.0K0.0527.18N/AN/A548254,227839
2011-08-18$4.94$7.5065.9%18.9%80.9%69.2%0.0%23.4%-3.1%16.1K-163.5K-3.0K3.9388.89N/AN/A2178524,575845
2011-08-19$4.74$7.5053.1%15.2%80.9%47.9%0.0%22.8%1.3%6.4K16.6K-3.9K1.7653.64N/AN/A5359424,7601,654
2011-08-22$4.66$7.5062.3%17.9%80.7%63.2%63.6%23.3%0.8%3.1K181.1K-5.1K0.0027.68N/AN/A53204,6312,470
2011-08-23$4.97$5.0062.3%17.9%84.4%63.2%62.6%23.3%-2.4%6.8K-24.3K-6.0K0.0430.57N/AN/A587255,1302,470
2011-08-24$4.90$5.0063.0%18.1%82.3%64.3%62.9%25.0%-2.1%9.3K-107.3K-6.4K1.3325.50N/AN/A21285,6952,445
2011-08-25$4.78$5.0055.7%16.0%79.9%52.1%55.7%29.5%2.7%9.1K-91.0K-6.4K0.0020.34N/AN/A25805,7162,421
2011-08-26$4.85$5.0066.2%19.0%80.2%69.6%66.2%21.4%-8.7%10.7K-180.4K-6.6K0.0024.48N/AN/A78005,9632,421
2011-08-29$4.92$5.0060.7%17.4%79.9%60.4%60.6%23.2%-4.8%15.1K-288.7K-7.0K0.2024.81N/AN/A50106,5282,421
2011-08-30$4.88$5.0058.8%16.9%79.9%57.3%58.8%23.5%-2.3%15.2K-259.0K-6.9K0.0029.82N/AN/A6006,5672,431
2011-08-31$4.77$5.0052.6%15.1%79.8%47.0%53.1%21.4%-1.8%15.2K-139.8K-6.3K2.6930.10N/AN/A9942,6716,6072,431