HLIT Options History — January 2012

In January 2012, HLIT traded between $4.95 and $5.99. ATM implied volatility averaged 60.1%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 17.6% (HV 20d: 42.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2012-01-18: Highest Volume — 931 contracts
  • 2012-01-31: Largest IV spike — 22.1% change
  • 2012-01-31: Highest IV Rank — 89.2%
  • 2012-01-31: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.49$4.95$5.99$5.17$5.88
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV60.1%47.5%77.9%50.2%77.9%
Expected Move17.8%14.4%22.3%14.4%22.3%
HV 20d42.4%33.2%56.5%54.6%33.2%
HV 60d57.8%51.2%62.6%62.2%51.2%
IV Rank59.4%38.4%89.2%43.1%89.2%
IV Percentile81.4%57.1%99.6%63.5%99.6%
Term Structure-3.9%-48.4%13.3%13.3%-48.4%
VWIV56.6%35.6%64.1%50.3%63.3%
Skew 25d22.2%-12.5%42.1%17.9%-12.5%
Skew 10d62.6%54.2%75.5%54.2%64.7%
Call IV 25d62.5%58.4%64.9%61.3%62.9%
Put IV 25d84.7%50.4%100.5%79.2%50.4%
Bid-Ask Spread %19.609.9729.0416.469.97
Gamma HHI0.700.500.900.500.90
Net GEX3.6K-28.8K20.2K-1.4K20.2K
Net DEX-701.7K-1.4M17.8K-477.7K-695.5K
Net VEX-3.7K-4.7K-2.5K-4.7K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.003.210.070.00
Total Volume226.4093193190
Total OI9,4603,91712,57912,2284,294

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$5.17$5.0050.2%14.4%54.6%43.1%50.3%17.9%13.3%-1.4K-477.7K-4.7K0.0716.46N/AN/A8768,8103,418
2012-01-04$4.95$5.0052.3%15.0%55.1%46.5%0.0%35.9%6.9%-4.2K17.8K-4.3K0.0017.90N/AN/A008,7823,421
2012-01-05$4.98$5.0050.9%14.6%55.2%44.1%50.9%42.1%10.6%-5.4K-23.5K-4.3K3.1215.24N/AN/A782438,7823,421
2012-01-06$5.13$5.0047.5%16.5%56.5%38.4%57.4%23.0%0.3%-9.3K-319.9K-4.5K0.2715.74N/AN/A60168,8603,591
2012-01-09$5.16$5.0051.8%18.0%49.3%45.6%62.8%26.6%-3.8%-8.0K-454.4K-4.3K0.0414.96N/AN/A14468,8893,607
2012-01-10$5.29$5.0049.2%16.3%46.1%41.4%56.8%-12.5%-1.6%-8.2K-808.1K-4.0K0.0317.78N/AN/A28688,8693,611
2012-01-11$5.28$5.0049.6%17.2%46.0%42.0%0.0%0.0%-4.1%-13.0K-820.5K-4.0K1.0013.76N/AN/A10108,9443,615
2012-01-12$5.33$5.0058.1%16.7%42.9%56.2%0.0%0.0%-1.2%-5.7K-1.2M-3.4K0.1517.71N/AN/A310488,9543,625
2012-01-13$5.23$5.0060.5%17.4%41.7%60.2%60.8%0.0%-6.0%-17.5K-616.3K-3.6K0.0712.06N/AN/A9268,6913,582
2012-01-17$5.20$5.0060.1%17.2%41.1%59.5%0.0%0.0%-3.3%-28.8K-838.9K-3.0K0.5217.18N/AN/A21118,7143,582
2012-01-18$5.46$5.0066.1%18.9%40.8%69.5%63.6%0.0%-11.8%13.8K-1.4M-2.5K0.3613.14N/AN/A6852468,6933,586
2012-01-19$5.66$5.0064.1%18.4%39.9%66.2%64.1%0.0%-5.7%15.6K-1.3M-3.1K0.4020.53N/AN/A2861138,3383,817
2012-01-20$5.67$5.0065.1%18.7%35.2%67.8%35.6%0.0%-8.3%14.7K-1.2M-3.1K0.0720.20N/AN/A756548,0993,903
2012-01-23$5.82$5.0063.2%18.1%35.8%64.6%63.3%0.0%-2.6%17.0K-584.9K-3.4K0.2527.88N/AN/A202503,322595
2012-01-24$5.81$5.0064.7%18.5%35.9%67.1%0.0%0.0%-7.7%16.7K-568.0K-3.3K0.0027.12N/AN/A20103,396645
2012-01-25$5.90$5.0064.3%18.4%35.8%66.6%0.0%0.0%2.3%18.3K-638.0K-3.3K1.0328.72N/AN/A30313,499645
2012-01-26$5.95$5.0066.4%19.0%35.8%70.0%0.0%0.0%1.8%18.6K-660.1K-3.6K0.0028.46N/AN/A033,493671
2012-01-27$5.99$5.0075.3%21.6%33.5%84.7%0.0%0.0%-17.6%19.5K-701.9K-3.5K0.1329.04N/AN/A160203,493671
2012-01-30$5.91$5.0063.8%18.3%34.2%65.7%0.0%0.0%8.2%19.3K-706.7K-3.6K3.2128.14N/AN/A14453,621651
2012-01-31$5.88$5.0077.9%22.3%33.2%89.2%0.0%0.0%-48.4%20.2K-695.5K-3.9K0.009.97N/AN/A19003,617677