HLIT Options History — December 2011

In December 2011, HLIT traded between $4.78 and $5.48. ATM implied volatility averaged 52.1%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 12.6% (HV 20d: 64.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2011-12-07: Highest Volume — 352 contracts
  • 2011-12-08: Largest IV spike — 43.3% change
  • 2011-12-08: Highest IV Rank — 65.3%
  • 2011-12-08: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.15$4.78$5.48$5.33$5.04
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV52.1%37.2%63.5%57.5%55.8%
Expected Move16.1%14.2%17.6%16.5%16.0%
HV 20d64.7%53.4%71.5%63.0%53.6%
HV 60d67.0%62.3%70.0%66.1%62.3%
IV Rank46.2%21.3%65.3%55.1%52.3%
IV Percentile70.9%26.2%90.5%84.1%80.6%
Term Structure5.1%0.4%12.3%2.2%3.3%
VWIV54.9%50.7%59.7%52.4%55.8%
Skew 25d21.9%16.8%26.6%22.8%26.6%
Skew 10d42.0%32.6%48.1%41.8%47.0%
Call IV 25d51.5%43.3%58.4%44.1%55.1%
Put IV 25d73.4%65.3%84.5%66.9%81.7%
Bid-Ask Spread %16.2110.4246.0746.0713.54
Gamma HHI0.540.500.760.550.50
Net GEX19.9K6183.3K28.3K61
Net DEX-659.4K-1.4M-26.5K-1.1M-202.4K
Net VEX-6.3K-7.9K-4.9K-7.9K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.001.631.400.07
Total Volume87.524035224151
Total OI12,496.52412,04712,90312,58012,233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$5.33$5.0057.5%16.5%63.0%55.1%0.0%22.8%2.2%28.3K-1.1M-7.9K1.4046.07N/AN/A10149,3863,194
2011-12-02$5.31$5.0053.0%15.2%62.2%47.7%52.4%21.6%4.6%27.4K-1.1M-7.7K0.0839.79N/AN/A5249,3963,202
2011-12-05$5.48$5.0052.3%17.1%63.4%46.5%59.7%22.0%1.0%29.4K-1.4M-7.6K0.2213.26N/AN/A82189,4243,202
2011-12-06$5.46$5.0044.8%17.0%63.4%34.0%0.0%21.5%1.8%28.9K-1.4M-7.6K0.0012.26N/AN/A10009,4863,204
2011-12-07$5.42$5.0044.4%16.5%62.8%33.3%57.5%20.5%3.4%28.3K-1.3M-7.3K1.1911.83N/AN/A1611919,5513,204
2011-12-08$5.02$5.0063.5%17.6%64.9%65.3%0.0%22.4%0.4%25.1K-592.5K-7.0K0.0411.48N/AN/A2719,4843,285
2011-12-09$5.30$5.0037.2%16.6%67.8%21.3%57.8%21.4%2.1%29.0K-1.1M-7.2K0.0611.45N/AN/A6949,5013,286
2011-12-12$5.25$5.0042.3%17.5%65.8%29.9%0.0%23.0%2.0%32.0K-1.0M-7.0K0.0012.44N/AN/A4509,5703,282
2011-12-13$5.02$5.0052.4%17.0%67.3%46.7%0.0%22.7%1.7%29.9K-549.2K-6.4K0.0010.78N/AN/A009,5853,282
2011-12-14$4.86$5.0053.8%16.7%67.9%49.0%0.0%22.0%4.2%28.7K-206.6K-6.0K0.3012.64N/AN/A2069,5853,282
2011-12-15$4.78$5.0060.7%17.4%67.6%60.5%0.0%21.4%2.7%23.9K-26.5K-5.6K0.0010.42N/AN/A5009,5653,288
2011-12-16$5.03$5.0057.5%16.5%70.6%55.1%0.0%23.0%3.5%83.3K-614.2K-6.1K0.0010.96N/AN/A19709,6153,288
2011-12-19$4.87$5.0054.4%15.6%71.2%50.0%54.3%24.3%9.2%4.0K-182.2K-5.5K0.0017.04N/AN/A5008,8983,267
2011-12-20$5.16$5.0053.2%15.3%71.5%48.0%53.2%21.5%10.7%6.2K-504.3K-5.8K0.4214.38N/AN/A132558,8983,267
2011-12-21$5.13$5.0052.4%15.0%71.4%46.6%52.4%22.1%12.3%4.0K-411.0K-5.7K0.3313.00N/AN/A1868,8283,312
2011-12-22$5.18$5.0049.6%14.2%65.9%42.1%0.0%18.5%11.5%3.5K-537.5K-5.6K0.0016.72N/AN/A14008,8103,306
2011-12-23$5.16$5.0050.5%14.5%65.3%43.6%50.7%18.7%9.6%2.9K-496.9K-5.4K0.0016.98N/AN/A3008,7413,306
2011-12-27$5.18$5.0052.4%15.0%59.3%46.7%0.0%20.6%8.6%2.1K-461.0K-5.0K1.6314.72N/AN/A40658,7473,306
2011-12-28$5.04$5.0053.4%15.3%60.1%48.3%0.0%26.2%4.5%78-210.5K-4.9K0.9615.83N/AN/A23228,7873,371
2011-12-29$5.13$5.0052.8%15.1%53.4%47.4%0.0%16.8%8.2%759-392.2K-5.1K0.8314.88N/AN/A30258,8103,393
2011-12-30$5.04$5.0055.8%16.0%53.6%52.3%55.8%26.6%3.3%61-202.4K-4.9K0.0713.54N/AN/A141108,8153,418