HLIT Options History — February 2012

In February 2012, HLIT traded between $5.89 and $6.68. ATM implied volatility averaged 39.3%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.8% (HV 20d: 42.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2012-02-01: Highest Volume — 604 contracts
2012-02-09: Largest IV drop — 26.4% change
2012-02-29: Highest IV Rank — 41.9%
2012-02-29: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.33	$5.89	$6.68	$6.33	$5.89
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	39.3%	28.4%	46.8%	38.3%	46.8%
Expected Move	10.8%	7.9%	13.4%	11.0%	13.4%
HV 20d	42.1%	35.9%	51.4%	40.3%	51.4%
HV 60d	51.0%	45.9%	53.2%	53.1%	46.7%
IV Rank	27.4%	7.5%	41.9%	23.1%	41.9%
IV Percentile	31.5%	6.0%	55.6%	24.6%	55.6%
Term Structure	6.3%	-21.8%	18.8%	10.4%	-3.3%
VWIV	39.7%	36.8%	42.1%	36.8%	42.1%
Skew 25d	10.4%	7.1%	16.6%	9.2%	16.6%
Skew 10d	14.6%	8.1%	23.5%	14.1%	23.5%
Call IV 25d	44.5%	37.9%	47.0%	47.0%	37.9%
Put IV 25d	54.8%	52.7%	57.0%	56.2%	54.5%
Bid-Ask Spread %	18.96	7.94	48.05	7.94	13.00
Gamma HHI	0.78	0.61	0.92	0.92	0.61
Net GEX	28.3K	19.9K	33.4K	25.5K	19.9K
Net DEX	-1.1M	-1.4M	-724.3K	-863.6K	-724.3K
Net VEX	-4.1K	-4.7K	-3.2K	-3.9K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	2.92	0.16	0.60
Total Volume	105.85	0	604	604	91
Total OI	4,768.9	4,306	5,015	4,306	4,838

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$6.33	$5.00	38.3%	11.0%	40.3%	23.1%	36.8%	0.0%	10.4%	25.5K	-863.6K	-3.9K	0.16	7.94	N/A	N/A	520	84	3,629	677
2012-02-02	$6.27	$5.00	40.2%	11.5%	35.9%	26.3%	37.8%	0.0%	-9.1%	24.2K	-846.9K	-3.8K	0.14	10.90	N/A	N/A	293	40	3,672	726
2012-02-03	$6.39	$5.00	39.9%	7.9%	35.9%	25.9%	0.0%	0.0%	14.3%	27.4K	-983.7K	-3.8K	0.08	8.93	N/A	N/A	211	17	3,814	690
2012-02-06	$6.34	$5.00	46.1%	9.6%	36.0%	40.6%	0.0%	0.0%	10.1%	27.7K	-1.1M	-4.1K	1.50	47.83	N/A	N/A	2	3	4,012	707
2012-02-07	$6.62	$5.00	37.8%	9.3%	37.7%	25.1%	0.0%	0.0%	18.8%	31.5K	-1.3M	-4.4K	0.00	11.47	N/A	N/A	241	0	4,012	710
2012-02-08	$6.68	$5.00	38.6%	10.0%	37.5%	26.5%	0.0%	0.0%	1.9%	33.4K	-1.4M	-4.7K	0.00	29.19	N/A	N/A	114	0	4,219	710
2012-02-09	$6.52	$5.00	28.4%	8.1%	39.3%	7.5%	0.0%	0.0%	12.7%	32.5K	-1.3M	-4.5K	0.91	48.05	N/A	N/A	22	20	4,272	710
2012-02-10	$6.34	$5.00	33.1%	9.5%	41.6%	16.3%	0.0%	0.0%	8.9%	29.2K	-1.2M	-4.4K	1.32	47.96	N/A	N/A	19	25	4,251	730
2012-02-13	$6.51	$5.00	38.9%	11.1%	40.8%	27.0%	0.0%	0.0%	11.6%	32.7K	-1.2M	-4.4K	0.00	11.52	N/A	N/A	0	0	4,260	755
2012-02-14	$6.33	$5.00	37.0%	10.6%	42.7%	23.7%	0.0%	0.0%	4.9%	29.5K	-1.1M	-4.2K	0.00	47.83	N/A	N/A	5	0	4,260	755
2012-02-15	$6.27	$5.00	34.0%	9.7%	40.6%	17.9%	41.8%	0.0%	9.0%	28.1K	-1.1M	-4.3K	0.00	10.83	N/A	N/A	69	0	4,255	755
2012-02-16	$6.52	$5.00	39.9%	11.4%	40.9%	29.0%	0.0%	0.0%	15.7%	31.2K	-1.3M	-4.3K	0.00	9.11	N/A	N/A	19	0	4,257	755
2012-02-17	$6.33	$5.00	34.4%	9.9%	42.9%	18.7%	0.0%	0.0%	7.6%	29.8K	-1.1M	-4.3K	0.00	9.96	N/A	N/A	20	0	4,242	755
2012-02-21	$6.25	$5.00	42.1%	12.1%	42.7%	33.2%	42.1%	9.2%	15.2%	27.7K	-997.6K	-4.0K	0.00	10.82	N/A	N/A	11	0	4,079	523
2012-02-22	$6.10	$5.00	40.0%	11.5%	43.8%	29.2%	0.0%	9.9%	11.2%	25.1K	-884.1K	-3.7K	0.00	11.90	N/A	N/A	7	0	4,088	523
2012-02-23	$6.39	$5.00	37.7%	10.8%	46.3%	24.9%	0.0%	10.1%	-14.2%	30.2K	-1.1M	-4.1K	0.00	8.98	N/A	N/A	10	0	4,089	523
2012-02-24	$6.18	$5.00	44.9%	12.9%	48.1%	38.4%	0.0%	10.0%	14.4%	26.8K	-964.9K	-3.9K	2.92	12.48	N/A	N/A	12	35	4,099	523
2012-02-27	$6.29	$5.00	44.1%	12.6%	48.4%	36.8%	0.0%	7.1%	-21.8%	28.3K	-1.0M	-3.9K	0.39	9.69	N/A	N/A	140	55	4,099	558
2012-02-28	$6.14	$5.00	43.5%	12.5%	49.0%	35.8%	0.0%	9.8%	8.0%	25.5K	-893.4K	-3.7K	0.60	10.72	N/A	N/A	20	12	4,233	613
2012-02-29	$5.89	$5.00	46.8%	13.4%	51.4%	41.9%	0.0%	16.6%	-3.3%	19.9K	-724.3K	-3.2K	0.00	13.00	N/A	N/A	0	91	4,213	625