HLIT Options History — November 2011

In November 2011, HLIT traded between $4.63 and $5.72. ATM implied volatility averaged 56.1%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 8.4% (HV 20d: 64.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 33.17.

Notable Days

  • 2011-11-10: Highest Volume — 3,199 contracts
  • 2011-11-28: Largest IV spike — 45.6% change
  • 2011-11-30: Highest IV Rank — 79.3%
  • 2011-11-30: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.35$4.63$5.72$5.30$5.37
Max Pain$4.64$2.50$5.00$2.50$5.00
ATM IV56.1%39.0%72.0%65.2%72.0%
Expected Move16.6%13.1%20.6%18.7%20.6%
HV 20d64.5%58.1%70.6%69.1%64.7%
HV 60d64.3%61.3%69.8%69.8%67.5%
IV Rank52.8%24.4%79.3%68.0%79.3%
IV Percentile81.3%42.5%98.4%94.0%98.4%
Term Structure-0.7%-12.5%15.7%-9.9%-12.5%
VWIV58.7%56.1%66.7%57.0%66.7%
Skew 25d18.1%2.4%27.8%17.3%23.4%
Skew 10d31.5%14.8%41.3%27.3%41.3%
Call IV 25d45.1%31.8%58.7%42.9%44.6%
Put IV 25d63.3%55.3%71.1%60.2%68.0%
Bid-Ask Spread %42.2818.94110.7350.7952.29
Gamma HHI0.550.490.890.490.55
Net GEX15.0K-8.9K38.5K-2.0K27.2K
Net DEX-986.9K-2.0M-126.8K-434.0K-1.1M
Net VEX-9.5K-12.6K-6.7K-12.6K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.170.00638.800.000.15
Total Volume642.571103,199361217
Total OI13,957.85712,32616,14016,14012,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$5.30$2.5065.2%18.7%69.1%68.0%0.0%17.3%-9.9%-2.0K-434.0K-12.6K0.0050.79N/AN/A36108,7797,361
2011-11-02$5.52$2.5065.9%18.9%69.8%69.1%0.0%16.5%-10.1%-8.9K-796.5K-11.6K0.0039.93N/AN/A10008,4797,361
2011-11-03$5.66$2.5047.2%13.5%69.6%38.0%0.0%20.0%15.7%-3.3K-980.9K-12.0K2.20110.73N/AN/A5118,4367,361
2011-11-04$5.63$5.0039.0%16.1%68.3%24.4%57.0%7.2%0.8%-1.3K-971.7K-12.0K2.8325.05N/AN/A30858,4367,372
2011-11-07$5.59$5.0045.5%16.3%66.2%35.1%56.8%22.3%-0.4%-3.1K-900.0K-11.8K0.4320.19N/AN/A738,4137,392
2011-11-08$5.72$5.0049.5%15.7%66.3%41.8%0.0%23.5%0.4%-4.0K-1.2M-11.4K0.0021.27N/AN/A4008,4137,392
2011-11-09$5.38$5.0055.4%16.5%70.4%51.7%57.4%25.1%1.3%-2.1K-467.6K-11.7K2.7018.94N/AN/A10278,4137,392
2011-11-10$5.46$5.0057.7%16.5%69.6%55.5%57.7%2.4%-0.4%-2.8K-690.7K-11.3K638.8025.46N/AN/A53,1948,4037,365
2011-11-11$5.70$5.0045.6%13.1%70.6%35.3%56.1%27.8%3.2%19.0K-1.6M-8.8K0.9561.02N/AN/A1,3351,2678,3984,470
2011-11-14$5.64$5.0048.5%13.9%63.6%40.1%0.0%24.4%2.9%32.6K-1.9M-9.3K2.7064.62N/AN/A1945239,4013,541
2011-11-15$5.64$5.0059.8%17.1%61.5%59.0%0.0%2.6%-0.4%22.3K-2.0M-8.5K0.3635.99N/AN/A3951439,5923,359
2011-11-16$5.49$5.0056.7%16.3%59.0%53.9%0.0%4.7%-2.1%34.5K-1.7M-8.8K0.4449.30N/AN/A72329,5153,358
2011-11-17$5.41$5.0058.0%16.6%59.4%56.1%58.2%25.4%2.0%34.1K-1.5M-8.9K0.0434.89N/AN/A696269,5873,390
2011-11-18$5.32$5.0059.6%17.1%58.1%58.7%59.8%24.8%0.8%38.5K-1.4M-9.3K34.4738.69N/AN/A622,13710,2743,416
2011-11-21$5.02$5.0055.4%15.9%61.2%51.7%0.0%20.4%5.8%27.8K-757.2K-8.2K0.0840.49N/AN/A261219,7413,030
2011-11-22$5.08$5.0066.4%19.0%60.9%70.0%66.7%21.1%-8.6%26.2K-823.8K-8.1K0.0535.44N/AN/A1,513739,7223,049
2011-11-23$4.72$5.0048.8%14.0%66.7%40.7%0.0%16.0%5.3%19.6K-262.0K-7.0K1.9534.29N/AN/A20399,5063,119
2011-11-25$4.63$5.0048.8%14.0%60.4%40.7%0.0%14.4%2.9%17.6K-126.8K-6.7K0.0037.07N/AN/A27009,4893,136
2011-11-28$5.01$5.0071.0%20.4%59.5%77.7%0.0%21.0%-10.7%21.4K-618.4K-7.5K0.3450.34N/AN/A104359,2893,136
2011-11-29$4.97$5.0062.0%17.8%59.3%62.7%0.0%20.6%-0.9%21.9K-536.8K-7.2K8.0541.11N/AN/A201619,2053,121
2011-11-30$5.37$5.0072.0%20.6%64.7%79.3%0.0%23.4%-12.5%27.2K-1.1M-7.7K0.1552.29N/AN/A189289,2253,278