HLIT Options History — September 2011

In September 2011, HLIT traded between $4.25 and $4.90. ATM implied volatility averaged 46.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 9.3% (HV 20d: 55.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 11.55.

Notable Days

  • 2011-09-09: Highest Volume — 3,484 contracts
  • 2011-09-12: Largest IV spike — 45.3% change
  • 2011-09-12: Highest IV Rank — 67.6%
  • 2011-09-29: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.55$4.25$4.90$4.72$4.26
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV46.1%35.9%65.0%50.4%43.5%
Expected Move13.5%10.3%16.7%14.4%12.5%
HV 20d55.3%42.9%79.3%79.3%53.0%
HV 60d60.0%57.6%62.0%57.6%61.9%
IV Rank36.1%19.1%67.6%43.3%31.9%
IV Percentile68.6%39.3%96.4%79.0%63.9%
Term Structure11.4%-2.3%38.5%2.5%21.5%
VWIV48.7%31.3%54.8%53.9%31.3%
Skew 25d32.0%15.3%61.1%49.2%36.9%
Skew 10d38.3%15.9%71.5%48.0%62.2%
Call IV 25d51.0%31.5%63.6%60.3%56.9%
Put IV 25d83.0%70.3%114.3%109.5%93.8%
Bid-Ask Spread %18.8214.6934.1934.1918.94
Gamma HHI0.750.530.820.610.80
Net GEX-37.4K-55.6K6.1K6.1K-40.6K
Net DEX2.3M443.1K3.3M443.1K3.2M
Net VEX-14.5K-18.6K-9.3K-9.9K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.550.00129.440.000.00
Total Volume522.42903,4843310
Total OI19,650.76212,56221,96212,56221,674

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$4.72$5.0050.4%14.4%79.3%43.3%0.0%49.2%2.5%6.1K443.1K-9.9K0.0034.19N/AN/A3307,5095,053
2011-09-02$4.59$5.0035.9%10.3%78.9%19.1%0.0%61.1%17.5%4.2K582.0K-9.3K24.8818.11N/AN/A801,9907,5345,053
2011-09-06$4.48$5.0046.9%15.5%70.8%37.5%53.9%15.3%4.2%-9.8K1.2M-10.5K40.2315.54N/AN/A401,6097,5847,018
2011-09-07$4.80$5.0046.2%14.2%72.0%36.4%0.0%17.8%5.0%-23.3K1.3M-12.7K129.4416.27N/AN/A91,1657,5878,571
2011-09-08$4.63$5.0042.9%14.9%66.8%30.9%52.1%19.6%3.0%-30.1K1.8M-13.2K1.9115.63N/AN/A23447,5969,736
2011-09-09$4.51$5.0044.7%14.0%53.7%33.9%0.0%20.2%4.8%-33.6K2.0M-12.3K22.2321.12N/AN/A1503,3347,6079,736
2011-09-12$4.54$5.0065.0%15.5%54.0%67.6%0.0%19.4%3.0%-47.0K2.8M-16.3K0.0519.61N/AN/A639357,65713,070
2011-09-13$4.69$5.0045.6%14.9%53.9%35.3%51.9%22.1%3.7%-46.5K2.4M-17.6K0.0015.30N/AN/A13308,26313,070
2011-09-14$4.82$5.0044.7%14.5%54.7%33.8%50.4%23.0%3.3%-42.8K2.2M-17.9K0.0021.86N/AN/A59908,26713,070
2011-09-15$4.90$5.0049.4%14.2%54.9%41.7%0.0%23.2%6.2%-34.1K2.0M-18.6K0.0016.93N/AN/A10008,79213,070
2011-09-16$4.80$5.0045.2%13.0%49.8%34.7%45.3%25.3%9.0%-46.1K2.2M-18.0K0.0818.51N/AN/A125108,89213,070
2011-09-19$4.71$5.0052.8%15.1%48.0%47.3%0.0%25.3%8.6%-55.6K2.3M-17.6K0.0017.03N/AN/A008,33913,024
2011-09-20$4.56$5.0043.0%12.3%49.0%31.0%50.2%22.3%6.9%-53.8K2.5M-16.6K0.0021.98N/AN/A10008,33913,024
2011-09-21$4.40$5.0048.9%14.0%43.9%40.9%54.8%24.8%-2.3%-51.1K2.9M-15.6K0.0019.15N/AN/A9708,33913,024
2011-09-22$4.33$5.0046.5%13.3%44.0%36.8%31.3%52.1%32.1%-45.4K3.0M-14.5K0.4614.69N/AN/A162758,36713,024
2011-09-23$4.34$5.0039.8%11.4%43.5%25.7%0.0%52.6%30.0%-46.2K3.2M-13.9K0.0018.69N/AN/A13008,38513,049
2011-09-26$4.33$5.0038.0%10.9%42.9%22.6%0.0%50.4%38.5%-43.9K3.2M-13.8K0.0017.39N/AN/A01008,41313,049
2011-09-27$4.53$5.0038.1%10.9%46.1%22.9%0.0%47.8%27.1%-55.5K3.0M-15.3K0.0017.60N/AN/A5008,41313,149
2011-09-28$4.25$5.0041.4%11.9%50.7%28.3%0.0%33.9%17.1%-42.5K3.3M-13.0K0.1418.95N/AN/A111158,42313,149
2011-09-29$4.39$5.0058.3%16.7%52.2%56.5%0.0%29.5%-1.7%-48.1K3.1M-14.2K0.0017.82N/AN/A308,52813,149
2011-09-30$4.26$5.0043.5%12.5%53.0%31.9%0.0%36.9%21.5%-40.6K3.2M-13.5K0.0018.94N/AN/A1008,52513,149