HLIT Options History — April 2012

In April 2012, HLIT traded between $4.46 and $5.41. ATM implied volatility averaged 45.7%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 9.8% (HV 20d: 35.9%). 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 9 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2012-04-10: Highest Volume — 609 contracts
2012-04-12: Largest IV spike — 58.1% change
2012-04-18: Highest IV Rank — 52.2%
2012-04-18: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.84	$4.46	$5.41	$5.41	$4.72
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	45.7%	31.1%	58.2%	38.5%	31.1%
Expected Move	13.8%	8.9%	16.7%	11.0%	8.9%
HV 20d	35.9%	30.3%	43.8%	42.9%	32.8%
HV 60d	43.1%	40.6%	44.5%	43.0%	40.7%
IV Rank	32.7%	10.1%	52.2%	21.8%	10.1%
IV Percentile	45.3%	7.9%	80.6%	23.0%	7.9%
Term Structure	1.6%	-8.7%	19.5%	5.3%	19.5%
VWIV	50.5%	35.5%	56.8%	53.1%	50.4%
Skew 25d	7.0%	-4.4%	25.9%	1.3%	11.2%
Skew 10d	15.0%	-2.9%	41.5%	10.3%	18.0%
Call IV 25d	44.1%	34.2%	52.9%	44.9%	34.2%
Put IV 25d	51.1%	44.4%	62.6%	46.3%	45.4%
Bid-Ask Spread %	21.67	11.38	37.89	12.02	15.54
Gamma HHI	0.54	0.44	0.83	0.83	0.66
Net GEX	1.8K	124	3.3K	3.2K	1.4K
Net DEX	71.7K	-255.6K	382.6K	-255.6K	54.3K
Net VEX	-2.6K	-3.0K	-2.4K	-2.7K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.00	9.57	0.00	0.00
Total Volume	121.95	0	609	265	80
Total OI	5,637.05	3,756	7,037	5,814	3,766

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
2012-04-02	$5.41	$5.00	38.5%	11.0%	42.9%	21.8%	0.0%	1.3%	5.3%	3.2K	-255.6K	-2.7K	0.00	12.02	N/A	N/A	265	0	4,289	1,525
2012-04-03	$5.30	$5.00	41.6%	11.9%	42.1%	26.3%	0.0%	1.4%	3.7%	3.3K	-214.5K	-2.8K	0.00	16.41	N/A	N/A	170	0	4,346	1,525
2012-04-04	$5.18	$5.00	49.0%	14.1%	41.6%	38.0%	0.0%	1.3%	5.9%	3.0K	-140.0K	-2.8K	0.00	27.34	N/A	N/A	3	0	4,509	1,525
2012-04-05	$5.14	$5.00	48.5%	13.9%	41.1%	37.1%	0.0%	1.4%	5.9%	2.8K	-113.1K	-2.7K	0.00	32.30	N/A	N/A	0	0	4,512	1,525
2012-04-09	$4.96	$5.00	44.9%	15.2%	42.0%	31.5%	53.1%	-0.8%	-4.5%	2.2K	-4.9K	-2.5K	0.08	11.38	N/A	N/A	241	19	4,512	1,525
2012-04-10	$4.75	$5.00	32.1%	16.3%	43.8%	11.6%	56.8%	-4.4%	-5.1%	2.9K	127.9K	-2.5K	1.90	18.50	N/A	N/A	210	399	4,682	1,544
2012-04-11	$4.89	$5.00	36.3%	15.7%	41.6%	18.0%	54.6%	13.7%	-2.9%	2.0K	63.4K	-3.0K	0.07	19.47	N/A	N/A	151	10	4,789	1,835
2012-04-12	$4.93	$5.00	57.3%	16.4%	36.2%	50.9%	0.0%	13.7%	-5.4%	2.3K	28.1K	-3.0K	0.00	21.30	N/A	N/A	4	0	4,800	1,835
2012-04-13	$4.81	$5.00	55.5%	15.9%	33.6%	48.0%	0.0%	-1.1%	-4.4%	1.9K	136.6K	-2.8K	0.00	23.97	N/A	N/A	0	0	4,804	1,835
2012-04-16	$4.81	$5.00	57.9%	16.6%	33.6%	51.8%	0.0%	-3.8%	-4.7%	2.0K	124.1K	-2.8K	0.40	22.01	N/A	N/A	5	2	4,804	1,835
2012-04-17	$4.86	$5.00	54.9%	15.7%	31.0%	47.0%	0.0%	-4.3%	-7.8%	1.9K	122.4K	-2.7K	0.87	22.12	N/A	N/A	187	162	4,809	1,833
2012-04-18	$4.70	$5.00	58.2%	16.7%	32.2%	52.2%	0.0%	9.6%	-8.7%	533	306.9K	-2.7K	0.00	21.93	N/A	N/A	33	0	4,870	1,988
2012-04-19	$4.67	$5.00	50.9%	14.6%	31.9%	40.8%	0.0%	12.1%	-1.1%	124	335.4K	-2.6K	0.00	29.65	N/A	N/A	156	0	4,903	1,988
2012-04-20	$4.56	$5.00	39.9%	11.4%	32.4%	23.7%	0.0%	25.9%	2.2%	136	382.6K	-2.5K	0.06	37.89	N/A	N/A	32	2	5,049	1,988
2012-04-23	$4.46	$5.00	40.1%	11.5%	32.7%	24.1%	35.5%	24.3%	14.0%	346	169.0K	-2.4K	0.00	13.24	N/A	N/A	47	0	2,417	1,415
2012-04-24	$4.58	$5.00	52.7%	15.1%	30.3%	43.6%	52.7%	7.8%	-6.7%	749	107.5K	-2.6K	9.57	30.55	N/A	N/A	21	201	2,457	1,415
2012-04-25	$4.62	$5.00	50.4%	14.4%	31.0%	40.0%	50.4%	8.6%	-2.9%	1.5K	98.2K	-2.4K	0.06	30.17	N/A	N/A	16	1	2,470	1,301
2012-04-26	$4.70	$5.00	36.3%	10.4%	32.5%	18.1%	0.0%	11.6%	11.4%	1.4K	50.5K	-2.5K	0.00	14.09	N/A	N/A	0	0	2,459	1,301
2012-04-27	$4.70	$5.00	37.1%	10.6%	32.6%	19.3%	0.0%	10.4%	18.3%	1.4K	54.4K	-2.5K	0.00	13.61	N/A	N/A	22	0	2,455	1,301
2012-04-30	$4.72	$5.00	31.1%	8.9%	32.8%	10.1%	0.0%	11.2%	19.5%	1.4K	54.3K	-2.4K	0.00	15.54	N/A	N/A	80	0	2,465	1,301