HLIT Options History — June 2012

In June 2012, HLIT traded between $4.05 and $4.42. ATM implied volatility averaged 46.3%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 4.6% (HV 20d: 41.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2012-06-21: Highest Volume — 112 contracts
  • 2012-06-11: Largest IV spike — 64.5% change
  • 2012-06-13: Highest IV Rank — 100.0%
  • 2012-06-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.22$4.05$4.42$4.16$4.26
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV46.3%30.6%98.0%47.2%43.5%
Expected Move10.6%8.5%13.5%13.5%12.5%
HV 20d41.8%38.8%44.5%39.5%41.9%
HV 60d36.1%34.3%38.4%37.6%38.0%
IV Rank31.8%8.1%100.0%35.1%25.7%
IV Percentile38.8%5.6%100.0%50.8%36.5%
Term Structure8.1%-12.3%26.5%-12.3%-8.2%
VWIV67.2%31.8%94.7%47.4%93.6%
Skew 25d2.3%-4.2%10.8%0.9%-2.1%
Skew 10d9.7%2.0%16.2%7.4%4.9%
Call IV 25d44.4%29.5%51.6%46.2%45.0%
Put IV 25d46.7%40.3%50.4%47.1%42.9%
Bid-Ask Spread %17.929.7339.0918.1515.40
Gamma HHI0.870.710.940.860.92
Net GEX5.5K3.2K8.5K4.8K6.7K
Net DEX213.7K60.5K282.6K249.9K168.9K
Net VEX-1.1K-1.9K-785-1.1K-995
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.200.000.00
Total Volume24.048011201
Total OI4,166.9524,0744,4024,0744,402

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$4.16$5.0047.2%13.5%39.5%35.1%0.0%0.9%-12.3%4.8K249.9K-1.1K0.0018.15N/AN/A003,0071,067
2012-06-04$4.18$5.0053.9%10.7%38.8%45.6%0.0%0.2%26.5%5.6K211.9K-1.3K0.0024.17N/AN/A003,0071,067
2012-06-05$4.33$5.0048.9%13.1%40.2%37.8%0.0%2.1%4.9%7.2K75.5K-1.8K0.0039.09N/AN/A003,0071,067
2012-06-06$4.39$5.0049.2%8.8%39.8%38.2%0.0%6.5%22.5%7.9K192.2K-1.5K0.0020.10N/AN/A403,0071,067
2012-06-07$4.38$5.0045.6%12.3%39.8%32.6%47.4%4.9%3.4%7.9K60.5K-1.9K0.0037.71N/AN/A2003,0111,067
2012-06-08$4.42$5.0044.9%9.8%38.8%31.5%0.0%7.7%21.2%8.5K151.7K-1.5K0.0022.33N/AN/A0103,0111,067
2012-06-11$4.17$5.0073.9%8.5%44.0%76.7%94.7%3.8%23.6%4.0K280.1K-8680.0017.67N/AN/A3003,0111,068
2012-06-12$4.20$5.0075.8%10.5%43.7%79.7%0.0%4.4%23.3%5.4K224.2K-1.1K0.0020.77N/AN/A003,0311,063
2012-06-13$4.11$5.0098.0%9.9%44.2%100.0%0.0%1.9%24.1%4.1K258.5K-9130.0017.87N/AN/A003,0311,063
2012-06-14$4.18$5.0039.7%11.4%44.5%20.5%0.0%1.3%20.5%5.4K224.7K-1.1K0.0019.30N/AN/A5003,0311,063
2012-06-15$4.23$5.0036.0%10.3%44.2%15.4%0.0%2.7%19.8%5.8K231.3K-1.1K0.0019.54N/AN/A003,0751,063
2012-06-18$4.20$5.0036.8%10.6%43.5%16.5%0.0%3.1%-4.3%5.3K257.6K-9520.0014.21N/AN/A2803,0421,063
2012-06-19$4.21$5.0031.1%8.9%39.6%8.7%31.8%2.6%-4.5%4.5K282.6K-8071.2012.52N/AN/A10123,0501,063
2012-06-20$4.28$5.0030.6%8.8%38.9%8.1%0.0%1.4%2.8%5.4K263.2K-9030.0011.01N/AN/A5103,0591,062
2012-06-21$4.11$5.0031.0%8.9%41.4%8.6%0.0%10.8%2.2%3.2K259.2K-8460.0010.89N/AN/A11203,1091,062
2012-06-22$4.18$5.0031.2%8.9%41.9%8.9%0.0%3.9%2.1%4.0K253.6K-7850.0010.35N/AN/A6003,1641,062
2012-06-25$4.05$5.0038.6%11.1%43.1%18.9%68.4%-4.2%0.9%3.6K228.6K-7890.009.73N/AN/A7103,2231,062
2012-06-26$4.18$5.0037.4%10.7%43.0%17.3%0.0%-0.5%1.1%5.0K209.1K-8290.0010.84N/AN/A2203,2941,062
2012-06-27$4.24$5.0036.8%10.6%42.7%16.6%0.0%0.2%1.0%5.5K199.8K-8981.0013.18N/AN/A10103,3161,062
2012-06-28$4.09$5.0042.8%12.3%43.5%24.7%0.0%-3.3%-0.0%4.7K204.2K-8800.0011.51N/AN/A403,3261,072
2012-06-29$4.26$5.0043.5%12.5%41.9%25.7%93.6%-2.1%-8.2%6.7K168.9K-9950.0015.40N/AN/A103,3301,072