HLIT Options History — July 2012

In July 2012, HLIT traded between $3.77 and $4.37. ATM implied volatility averaged 49.1%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 7.3% (HV 20d: 41.7%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2012-07-02: Highest Volume — 270 contracts
  • 2012-07-24: Largest IV spike — 21.7% change
  • 2012-07-24: Highest IV Rank — 45.1%
  • 2012-07-24: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.11$3.77$4.37$4.37$4.24
Max Pain$4.38$2.50$5.00$5.00$2.50
ATM IV49.1%43.8%59.8%45.5%51.5%
Expected Move13.5%10.2%17.1%13.0%14.8%
HV 20d41.7%36.9%47.8%42.8%44.6%
HV 60d38.3%36.6%42.2%38.5%41.6%
IV Rank30.4%22.1%45.1%28.4%33.2%
IV Percentile52.9%34.1%81.0%43.3%60.3%
Term Structure-8.4%-27.6%9.7%-0.2%-21.8%
VWIV63.8%38.6%91.8%38.6%91.8%
Skew 25d4.3%-5.0%14.2%6.6%12.3%
Skew 10d11.5%4.7%20.8%13.9%17.7%
Call IV 25d43.9%31.4%51.0%45.4%38.5%
Put IV 25d48.2%44.9%52.3%51.9%50.8%
Bid-Ask Spread %26.7611.4668.4561.0415.73
Gamma HHI0.850.780.930.920.91
Net GEX4.3K2.1K9.3K8.4K5.1K
Net DEX133.9K-116.8K321.1K124.2K-113.6K
Net VEX-827-1.2K-490-1.1K-877
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.300.000.00
Total Volume74.190270270231
Total OI3,697.3331,7944,7734,4031,877

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$4.37$5.0045.5%13.0%42.8%28.4%0.0%6.6%-0.2%8.4K124.2K-1.1K0.0061.04N/AN/A27003,3311,072
2012-07-03$4.31$5.0053.3%15.3%41.3%39.0%0.0%3.8%-10.4%8.7K121.7K-1.2K0.0025.16N/AN/A003,4861,072
2012-07-05$4.36$5.0054.1%15.5%41.2%40.1%0.0%5.1%-2.3%9.3K110.2K-1.2K0.0028.87N/AN/A203,4861,072
2012-07-06$4.23$0.0046.7%10.2%42.6%30.0%0.0%7.2%7.5%6.7K206.7K-9450.0029.78N/AN/A01913,4861,072
2012-07-09$4.21$0.0044.7%11.2%42.4%23.4%0.0%4.1%9.0%3.3K280.0K-7950.4219.45N/AN/A24103,4861,162
2012-07-10$4.23$0.0048.3%10.7%36.9%28.6%0.0%5.3%8.4%3.3K279.2K-8000.0023.78N/AN/A003,4861,162
2012-07-11$4.19$0.0053.9%11.4%37.0%36.6%0.0%2.3%9.7%3.1K279.8K-7860.0025.67N/AN/A003,4861,162
2012-07-12$4.01$0.0044.0%12.6%39.5%22.5%38.6%4.5%-1.7%2.8K280.2K-7630.6765.07N/AN/A15103,4861,162
2012-07-13$4.01$5.0047.8%13.7%38.9%27.9%0.0%5.7%-6.8%2.8K290.7K-7140.0068.45N/AN/A003,4861,172
2012-07-16$3.93$5.0043.8%12.5%39.1%22.1%0.0%-0.4%-2.2%2.6K289.3K-7110.0018.54N/AN/A2903,4861,172
2012-07-17$3.89$5.0046.5%13.3%39.1%26.1%0.0%13.1%-21.4%2.1K321.1K-4900.0021.14N/AN/A18603,4891,172
2012-07-18$4.07$5.0046.9%13.4%42.8%26.5%0.0%-5.0%5.3%3.2K276.4K-8050.0020.79N/AN/A003,6011,172
2012-07-19$4.11$5.0045.6%13.1%42.5%24.7%0.0%-1.4%3.5%3.4K250.6K-8221.3020.98N/AN/A20263,5861,099
2012-07-20$4.01$5.0046.3%13.3%40.9%25.7%0.0%14.2%-14.3%2.8K298.4K-5570.1824.60N/AN/A220403,5861,104
2012-07-23$3.92$5.0049.1%14.1%41.0%29.7%0.0%-2.3%-16.5%3.3K-70.5K-8210.0016.42N/AN/A2601,529265
2012-07-24$3.77$5.0059.8%17.1%41.8%45.1%0.0%0.1%-27.6%3.0K-56.6K-6840.0016.94N/AN/A5801,529265
2012-07-25$3.97$5.0053.3%15.3%44.5%35.8%61.0%2.1%-20.2%3.4K-62.4K-7320.0811.46N/AN/A4841,549265
2012-07-26$4.01$2.5052.1%14.9%44.3%34.1%0.0%3.3%-25.6%3.6K-72.7K-7260.0015.64N/AN/A6501,581269
2012-07-27$4.26$2.5047.3%13.5%47.8%27.1%0.0%3.0%-22.3%4.4K-116.8K-9040.0016.73N/AN/A4601,597269
2012-07-30$4.24$2.5050.1%14.4%45.6%31.3%0.0%7.8%-25.5%4.5K-104.7K-8600.0015.73N/AN/A3701,586269
2012-07-31$4.24$2.5051.5%14.8%44.6%33.2%91.8%12.3%-21.8%5.1K-113.6K-8770.0015.73N/AN/A23101,608269