HLIT Options History — March 2012

In March 2012, HLIT traded between $5.33 and $6.00. ATM implied volatility averaged 49.2%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 1.9% (HV 20d: 47.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.43.

Notable Days

  • 2012-03-14: Highest Volume — 729 contracts
  • 2012-03-29: Largest IV spike — 56.7% change
  • 2012-03-13: Highest IV Rank — 100.0%
  • 2012-03-21: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.63$5.33$6.00$5.85$5.47
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV49.2%28.5%88.9%46.4%36.8%
Expected Move12.7%8.2%14.9%13.3%10.6%
HV 20d47.3%43.4%52.8%43.4%45.1%
HV 60d44.7%42.9%47.9%46.7%42.9%
IV Rank41.7%6.4%100.0%41.1%19.3%
IV Percentile52.8%5.2%100.0%54.4%17.1%
Term Structure6.3%-3.9%22.2%0.5%6.2%
VWIV46.0%28.4%52.0%48.0%28.4%
Skew 25d7.9%-1.3%20.7%14.9%7.2%
Skew 10d17.8%11.2%24.4%22.0%17.2%
Call IV 25d43.4%36.6%49.2%37.8%45.8%
Put IV 25d51.3%47.9%57.7%52.7%53.0%
Bid-Ask Spread %15.468.8328.1512.6311.19
Gamma HHI0.660.510.850.620.72
Net GEX9.5K3.1K22.0K18.8K3.9K
Net DEX-437.0K-773.7K5.2K-687.3K-305.8K
Net VEX-3.0K-3.5K-2.3K-3.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.430.0042.000.000.09
Total Volume94.0450729720
Total OI5,475.8644,9166,2214,9185,794

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$5.85$5.0046.4%13.3%43.4%41.1%0.0%14.9%0.5%18.8K-687.3K-3.3K0.0012.63N/AN/A704,213705
2012-03-02$6.00$5.0048.0%13.8%44.5%44.1%48.0%17.1%3.8%22.0K-773.7K-3.5K3.7711.02N/AN/A13494,211705
2012-03-05$5.75$5.0040.8%14.2%46.0%30.8%49.7%13.8%4.5%15.9K-622.5K-3.0K42.0015.79N/AN/A31264,224717
2012-03-06$5.57$5.0039.6%12.9%47.0%28.5%44.5%9.1%8.5%11.9K-508.4K-2.9K0.1018.41N/AN/A3944,221815
2012-03-07$5.70$5.0043.0%14.2%44.6%34.8%50.2%9.7%4.5%14.7K-577.2K-3.1K0.0018.68N/AN/A0104,222819
2012-03-08$5.77$5.0051.5%14.8%44.8%50.7%52.0%9.9%4.0%15.8K-611.8K-3.1K5.9218.31N/AN/A382254,222828
2012-03-09$5.82$5.0056.6%14.2%44.7%60.2%50.3%14.0%4.5%15.8K-649.1K-3.2K5.0028.15N/AN/A2104,233921
2012-03-12$5.74$5.0064.5%14.2%44.0%75.0%0.0%11.1%1.7%14.2K-599.6K-3.0K0.8025.98N/AN/A25204,232911
2012-03-13$6.00$5.0083.5%8.5%46.1%100.0%0.0%20.7%22.2%8.5K-684.9K-2.3K0.0013.10N/AN/A02004,240931
2012-03-14$5.61$5.0088.9%10.2%50.7%100.0%35.9%7.6%4.7%8.6K-496.7K-2.9K8.998.83N/AN/A736564,2401,131
2012-03-15$5.35$5.0050.0%14.3%52.8%39.8%50.0%0.8%3.0%8.1K-15.7K-3.0K2.0213.17N/AN/A861744,2341,783
2012-03-16$5.33$5.0048.0%13.8%49.8%36.6%47.9%-1.3%4.6%6.6K5.2K-3.1K0.0013.42N/AN/A2704,3061,915
2012-03-19$5.51$5.0046.6%13.4%51.5%34.4%43.1%3.7%8.0%6.4K-309.0K-3.0K1.6715.65N/AN/A24404,2341,415
2012-03-20$5.53$5.0051.5%14.8%51.6%42.1%51.7%5.2%0.5%7.4K-333.2K-3.2K0.0016.26N/AN/A0504,2511,452
2012-03-21$5.55$5.0052.0%14.9%51.2%42.9%0.0%2.9%-3.9%6.8K-338.3K-3.1K0.0016.52N/AN/A004,2511,499
2012-03-22$5.48$5.0048.6%13.9%47.6%37.6%0.0%2.6%5.0%5.1K-289.8K-3.0K0.0019.78N/AN/A004,2511,499
2012-03-23$5.44$5.0049.0%14.1%46.6%38.2%0.0%0.8%2.8%4.9K-268.2K-3.1K0.2016.94N/AN/A1024,2511,499
2012-03-26$5.66$5.0028.5%8.2%48.7%6.4%28.4%7.9%8.0%3.3K-433.8K-2.6K0.099.68N/AN/A116104,2451,497
2012-03-27$5.62$5.0030.6%8.8%48.2%9.6%0.0%9.9%19.8%3.5K-412.8K-2.6K0.0012.36N/AN/A004,2891,495
2012-03-28$5.56$5.0030.2%8.7%46.2%9.0%0.0%1.4%19.0%3.1K-367.6K-2.6K0.0011.90N/AN/A004,2891,495
2012-03-29$5.54$5.0047.3%13.6%46.2%35.6%0.0%3.7%6.8%4.4K-334.7K-2.8K0.0012.45N/AN/A0104,2891,495
2012-03-30$5.47$5.0036.8%10.6%45.1%19.3%0.0%7.2%6.2%3.9K-305.8K-2.8K0.0011.19N/AN/A0204,2891,505