HLIT Options History — May 2012

In May 2012, HLIT traded between $4.09 and $4.71. ATM implied volatility averaged 37.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 6.6% (HV 20d: 31.2%). 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 16 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2012-05-29: Highest Volume — 757 contracts
  • 2012-05-10: Largest IV drop — 23.1% change
  • 2012-05-09: Highest IV Rank — 30.9%
  • 2012-05-09: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.33$4.09$4.71$4.71$4.39
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV37.8%30.1%44.5%40.8%38.9%
Expected Move10.7%8.6%12.7%11.7%11.2%
HV 20d31.2%27.1%35.9%32.8%35.9%
HV 60d38.2%36.2%40.4%40.4%36.6%
IV Rank20.4%8.5%30.9%25.1%22.2%
IV Percentile20.9%5.2%43.3%33.3%24.6%
Term Structure8.2%-13.8%21.5%1.0%-3.8%
VWIV36.4%31.4%41.5%41.5%31.4%
Skew 25d4.0%-1.5%8.3%8.3%4.8%
Skew 10d10.9%2.9%16.9%13.4%11.1%
Call IV 25d41.4%38.5%46.2%39.7%42.0%
Put IV 25d45.3%42.9%48.0%48.0%46.8%
Bid-Ask Spread %21.4312.4067.6015.1420.02
Gamma HHI0.670.460.910.530.91
Net GEX2.9K1.6K8.1K1.6K8.1K
Net DEX188.7K37.3K321.0K37.3K134.3K
Net VEX-1.7K-2.5K-1.2K-2.5K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.002.000.030.03
Total Volume5907571680
Total OI3,815.0913,5074,0743,8044,074

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$4.71$5.0040.8%11.7%32.8%25.1%41.5%8.3%1.0%1.6K37.3K-2.5K0.0315.14N/AN/A16352,5031,301
2012-05-02$4.63$5.0040.1%11.5%32.7%24.0%0.0%7.5%14.0%1.9K71.3K-2.4K0.0012.40N/AN/A002,5611,306
2012-05-03$4.51$5.0031.6%9.1%32.9%10.8%0.0%7.7%15.9%2.0K155.2K-2.1K0.0014.94N/AN/A1102,5611,306
2012-05-04$4.40$5.0036.4%10.8%33.5%18.2%0.0%4.5%0.3%1.9K211.2K-1.9K0.2718.00N/AN/A1542,5621,306
2012-05-07$4.30$5.0039.5%9.1%32.4%23.1%0.0%2.3%20.5%2.0K224.6K-1.9K0.0016.13N/AN/A002,5771,306
2012-05-08$4.39$5.0041.9%10.7%30.9%26.9%0.0%2.9%18.7%2.0K201.2K-1.9K0.0014.89N/AN/A002,5771,276
2012-05-09$4.40$5.0044.5%12.7%28.4%30.9%0.0%2.9%-10.1%2.0K193.1K-1.9K0.0067.60N/AN/A002,5771,276
2012-05-10$4.29$5.0034.3%9.8%28.8%14.9%0.0%4.1%16.4%2.2K234.3K-1.7K0.0025.02N/AN/A8502,5771,276
2012-05-11$4.23$5.0030.1%8.6%28.2%8.5%31.4%5.1%12.9%2.2K254.1K-1.6K0.0019.63N/AN/A1002,6191,276
2012-05-14$4.29$5.0036.3%10.4%29.1%18.0%0.0%4.8%14.9%2.5K223.0K-1.7K0.0020.87N/AN/A12002,6291,276
2012-05-15$4.32$5.0037.5%10.7%28.8%19.9%0.0%6.0%11.8%3.1K197.3K-1.9K0.0024.42N/AN/A5002,6941,276
2012-05-16$4.26$5.0036.7%10.5%27.1%18.7%0.0%1.2%13.4%3.1K205.8K-1.8K0.0026.43N/AN/A502,7361,276
2012-05-17$4.18$5.0038.0%10.9%27.6%20.7%0.0%-1.5%-7.1%2.7K321.0K-1.3K0.0026.40N/AN/A082,7411,276
2012-05-18$4.09$5.0034.6%9.9%27.4%15.4%0.0%0.9%16.3%2.6K234.9K-1.6K0.0023.74N/AN/A302,7411,284
2012-05-21$4.30$5.0038.0%10.9%33.0%20.7%0.0%7.5%9.9%3.1K147.0K-1.7K0.0015.67N/AN/A002,4421,065
2012-05-22$4.19$5.0042.0%12.0%32.3%26.9%0.0%2.0%-13.8%2.6K257.8K-1.2K0.0019.12N/AN/A2002,4421,065
2012-05-23$4.23$5.0036.5%10.5%32.3%18.4%0.0%3.3%20.5%2.8K151.5K-1.6K0.0018.71N/AN/A1202,4621,065
2012-05-24$4.21$5.0036.5%10.5%31.3%18.3%0.0%1.9%14.0%2.8K176.9K-1.5K0.0017.20N/AN/A002,4621,065
2012-05-25$4.25$5.0038.9%11.1%31.7%22.1%0.0%2.1%-1.6%2.9K227.1K-1.3K2.0017.64N/AN/A10202,4621,065
2012-05-29$4.39$5.0036.7%10.5%34.2%18.7%0.0%6.1%21.5%3.5K105.1K-1.7K0.0317.03N/AN/A735222,4721,045
2012-05-30$4.29$5.0041.8%12.0%34.9%26.6%0.0%3.3%-4.1%6.8K187.7K-1.5K0.0020.36N/AN/A003,0071,067
2012-05-31$4.39$5.0038.9%11.2%35.9%22.2%0.0%4.8%-3.8%8.1K134.3K-1.7K0.0020.02N/AN/A003,0071,067