HLIT Options History — October 2011

In October 2011, HLIT traded between $3.89 and $5.62. ATM implied volatility averaged 57.3%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 15.1% (HV 20d: 72.4%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.13.

Notable Days

  • 2011-10-17: Highest Volume — 4,579 contracts
  • 2011-10-13: Largest IV spike — 31.4% change
  • 2011-10-18: Highest IV Rank — 81.1%
  • 2011-10-18: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.68$3.89$5.62$3.89$5.50
Max Pain$2.98$2.50$5.00$5.00$2.50
ATM IV57.3%39.1%73.1%54.9%39.1%
Expected Move17.4%11.2%21.0%15.7%11.2%
HV 20d72.4%60.7%81.1%60.7%72.6%
HV 60d69.0%64.1%72.7%64.1%72.7%
IV Rank54.9%24.4%81.1%50.8%24.4%
IV Percentile83.3%44.0%99.6%87.7%44.0%
Term Structure-2.0%-13.7%29.8%17.7%7.2%
VWIV76.7%63.4%110.5%110.5%72.7%
Skew 25d28.3%-6.3%93.3%-6.3%16.4%
Skew 10d36.1%-7.0%115.2%5.5%29.1%
Call IV 25d50.8%35.2%66.4%54.7%38.9%
Put IV 25d79.1%48.4%136.6%48.4%55.2%
Bid-Ask Spread %34.488.2173.2916.2329.41
Gamma HHI0.710.490.830.820.49
Net GEX-34.7K-71.0K150-28.3K-680
Net DEX1.9M-1.2M3.5M3.5M-890.5K
Net VEX-12.9K-16.0K-10.5K-10.7K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.130.0064.410.000.18
Total Volume364.09504,5791015
Total OI19,423.47614,58822,15821,68416,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$3.89$5.0054.9%15.7%60.7%50.8%0.0%-6.3%17.7%-28.3K3.5M-10.7K0.0016.23N/AN/A1008,53513,149
2011-10-04$4.27$5.0051.0%14.6%70.2%44.3%110.5%62.8%-1.4%-41.1K3.2M-13.4K0.0014.47N/AN/A0828,54513,149
2011-10-05$4.37$5.0052.7%15.1%65.7%47.2%65.5%59.6%23.5%-46.6K3.1M-13.7K0.0014.61N/AN/A0408,54513,179
2011-10-06$4.51$5.0044.3%12.7%65.8%33.2%95.3%76.3%29.8%-53.9K3.0M-14.3K0.508.21N/AN/A20108,54513,185
2011-10-07$4.38$2.5040.2%14.5%66.0%26.4%0.0%48.7%0.8%-44.4K3.2M-13.2K0.0034.17N/AN/A088,56413,185
2011-10-10$4.65$2.5040.5%19.2%69.5%26.8%67.6%87.6%-10.3%-65.8K2.8M-15.0K0.0529.59N/AN/A9458,56413,185
2011-10-11$4.64$2.5051.1%18.7%68.5%44.5%0.0%93.3%-7.3%-60.6K2.6M-15.1K0.0026.90N/AN/A22008,63013,186
2011-10-12$4.79$2.5049.4%19.7%68.7%41.7%68.7%83.8%-10.6%-67.8K2.3M-16.0K0.2030.10N/AN/A2048,83813,186
2011-10-13$4.68$2.5065.0%18.6%68.9%67.6%0.0%10.6%-6.9%-63.4K2.6M-15.2K0.0031.64N/AN/A6008,85813,190
2011-10-14$4.78$2.5064.5%18.5%69.0%66.8%0.0%14.6%-5.1%-71.0K2.4M-15.7K0.0073.29N/AN/A8008,88813,190
2011-10-17$4.43$2.5057.7%16.5%73.9%55.5%63.4%8.7%-2.5%-33.1K3.2M-13.4K64.4141.08N/AN/A704,5098,96813,190
2011-10-18$4.69$2.5073.1%21.0%76.0%81.1%73.5%10.9%-13.7%-42.6K2.0M-11.6K0.0129.26N/AN/A6718,9849,889
2011-10-19$4.46$2.5054.4%15.6%77.1%50.0%0.0%5.1%-0.7%-16.0K2.3M-10.5K0.0036.96N/AN/A2509,0139,889
2011-10-20$4.44$2.5062.9%18.0%76.9%64.3%0.0%5.1%-9.6%-16.1K2.3M-10.5K0.0037.74N/AN/A009,0289,889
2011-10-21$4.67$2.5066.4%19.0%78.8%70.0%0.0%12.2%-6.3%-16.4K2.1M-11.2K0.5835.53N/AN/A130759,0289,889
2011-10-24$4.85$2.5072.7%20.8%79.7%80.4%72.7%17.1%-10.2%-18.0K720.5K-11.4K0.0069.40N/AN/A45207,2437,345
2011-10-25$4.78$2.5069.5%19.9%78.6%75.1%0.0%-4.5%-9.9%-13.2K638.3K-11.5K0.0835.77N/AN/A200167,5937,345
2011-10-26$4.79$2.5070.0%20.1%74.6%76.0%0.0%-1.4%-7.0%-14.9K681.6K-11.5K0.0033.46N/AN/A3907,6937,345
2011-10-27$5.17$2.5072.8%20.9%78.2%80.7%72.7%-2.9%-13.3%-15.0K231.4K-12.0K0.0032.88N/AN/A1,23207,6627,345
2011-10-28$5.62$2.5051.5%14.8%81.1%45.2%0.0%-3.8%-6.8%150-1.2M-12.6K0.1863.49N/AN/A137258,7707,345
2011-10-31$5.50$2.5039.1%11.2%72.6%24.4%0.0%16.4%7.2%-680-890.5K-12.5K0.0029.41N/AN/A0158,7797,365