HLIT Options History — August 2012

In August 2012, HLIT traded between $4.23 and $4.57. ATM implied volatility averaged 51.1%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 13.9% (HV 20d: 37.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.19.

Notable Days

  • 2012-08-29: Highest Volume — 122 contracts
  • 2012-08-16: Largest IV drop — 63.6% change
  • 2012-08-15: Highest IV Rank — 100.0%
  • 2012-08-01: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.43$4.23$4.57$4.23$4.57
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV51.1%36.9%103.3%52.6%44.3%
Expected Move11.4%8.5%15.1%15.1%12.7%
HV 20d37.2%25.5%44.4%44.4%28.5%
HV 60d40.2%38.3%41.5%41.3%38.3%
IV Rank31.6%11.3%100.0%34.8%21.3%
IV Percentile47.3%11.9%100.0%64.7%36.5%
Term Structure4.6%-23.6%20.8%-23.3%-21.8%
Skew 25d15.2%6.8%43.5%11.3%43.5%
Skew 10d20.6%15.0%24.1%16.9%18.1%
Call IV 25d41.9%21.9%51.5%40.2%21.9%
Put IV 25d57.1%50.9%65.4%51.5%65.4%
Bid-Ask Spread %41.0216.7377.7916.7376.45
Gamma HHI0.940.900.970.920.97
Net GEX7.7K5.9K11.4K5.9K11.4K
Net DEX-170.9K-245.0K-120.8K-126.8K-150.8K
Net VEX-1.1K-1.2K-939-1.0K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.000.000.00
Total Volume30.73901228560
Total OI2,152.4782,0282,3262,0282,326

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$4.23$2.5052.6%15.1%44.4%34.8%0.0%11.3%-23.3%5.9K-126.8K-1.0K0.0016.73N/AN/A8501,759269
2012-08-02$4.28$2.5052.0%14.9%44.4%33.9%0.0%6.8%-23.6%6.1K-148.6K-1.1K0.0018.48N/AN/A201,811269
2012-08-03$4.38$2.5048.9%14.0%43.7%29.5%0.0%12.5%-18.5%7.1K-163.7K-1.1K0.0020.58N/AN/A001,811269
2012-08-06$4.47$0.0044.2%9.0%44.2%22.7%0.0%15.2%5.4%8.7K-196.9K-1.2K0.0068.98N/AN/A7501,811269
2012-08-07$4.49$0.0047.2%8.5%44.2%27.0%0.0%13.3%10.0%7.7K-186.9K-1.2K0.7868.97N/AN/A36281,810269
2012-08-08$4.43$0.0051.7%9.0%44.3%33.5%0.0%12.8%13.3%7.1K-159.6K-1.1K0.0025.98N/AN/A2301,830287
2012-08-09$4.45$0.0055.6%8.5%40.7%39.2%0.0%14.4%17.6%7.3K-164.6K-1.1K0.0025.39N/AN/A1501,830287
2012-08-10$4.46$0.0053.4%9.3%40.7%36.0%0.0%14.8%12.0%7.6K-167.6K-1.1K0.0032.38N/AN/A021,835287
2012-08-13$4.47$0.0068.4%9.1%39.6%57.6%0.0%12.4%14.7%7.7K-178.9K-1.2K0.0027.05N/AN/A001,835289
2012-08-14$4.29$0.0095.8%10.4%42.7%97.0%0.0%16.3%3.0%7.1K-120.8K-9560.0026.99N/AN/A2601,835289
2012-08-15$4.42$0.00103.3%10.4%41.1%100.0%0.0%13.1%10.7%7.1K-139.4K-9930.0027.75N/AN/A5001,835289
2012-08-16$4.48$0.0037.6%10.8%41.2%12.2%0.0%10.3%20.7%7.3K-211.4K-1.1K0.0036.37N/AN/A001,860289
2012-08-17$4.49$0.0038.2%10.9%39.8%13.1%0.0%12.3%20.8%7.3K-194.8K-1.1K0.0039.86N/AN/A5001,860289
2012-08-20$4.46$0.0039.6%11.3%38.7%14.9%0.0%14.3%10.2%7.9K-166.6K-1.0K0.0035.35N/AN/A001,894261
2012-08-21$4.41$0.0036.9%10.6%35.5%11.3%0.0%14.6%10.7%7.9K-183.7K-1.1K0.0033.15N/AN/A0151,894261
2012-08-22$4.42$0.0045.5%13.1%31.5%22.9%0.0%17.1%-2.6%7.8K-163.1K-1.0K0.0076.65N/AN/A1001,894276
2012-08-23$4.32$0.0044.5%12.7%33.0%21.4%0.0%13.8%6.6%7.1K-150.0K-9720.0032.01N/AN/A001,890276
2012-08-24$4.37$0.0043.4%12.5%25.5%20.1%0.0%18.6%2.7%7.6K-140.6K-9390.0031.30N/AN/A0241,890276
2012-08-27$4.48$0.0042.1%12.1%26.7%18.3%0.0%20.9%5.7%8.5K-162.8K-1.0K1.0032.55N/AN/A36361,890300
2012-08-28$4.43$0.0042.2%12.1%27.2%18.4%0.0%12.8%13.9%8.1K-217.6K-1.2K0.0041.95N/AN/A001,915325
2012-08-29$4.57$0.0045.2%13.0%29.0%22.4%0.0%12.0%14.1%8.4K-245.0K-1.2K0.8877.79N/AN/A65571,915325
2012-08-30$4.52$0.0042.6%12.2%29.3%19.0%0.0%15.9%2.7%8.8K-191.3K-1.2K0.0070.72N/AN/A1201,946380
2012-08-31$4.57$0.0044.3%12.7%28.5%21.3%0.0%43.5%-21.8%11.4K-150.8K-1.1K0.0076.45N/AN/A6001,946380