HLIT Options History — September 2012

In September 2012, HLIT traded between $4.54 and $4.95. ATM implied volatility averaged 38.9%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.7% (HV 20d: 27.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2012-09-13: Highest Volume — 196 contracts
2012-09-05: Largest IV drop — 25.0% change
2012-09-12: Highest IV Rank — 28.6%
2012-09-04: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.75	$4.54	$4.95	$4.59	$4.54
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	38.9%	27.3%	49.8%	49.4%	28.2%
Expected Move	10.6%	7.8%	14.2%	14.2%	8.1%
HV 20d	27.2%	25.3%	30.9%	27.7%	27.4%
HV 60d	35.7%	33.5%	38.3%	38.3%	34.0%
IV Rank	14.3%	0.0%	28.6%	28.0%	1.3%
IV Percentile	22.4%	0.0%	60.3%	57.9%	0.4%
Term Structure	4.4%	-5.2%	22.5%	-0.3%	12.7%
VWIV	47.6%	26.7%	86.5%	41.4%	26.7%
Skew 25d	33.2%	16.4%	68.3%	16.4%	43.7%
Skew 10d	37.4%	24.8%	77.6%	25.7%	77.6%
Call IV 25d	42.8%	26.2%	50.5%	50.5%	49.7%
Put IV 25d	76.1%	65.5%	94.5%	66.9%	93.3%
Bid-Ask Spread %	36.29	21.09	78.10	78.10	21.09
Gamma HHI	0.97	0.94	0.98	0.94	0.98
Net GEX	13.7K	9.4K	17.1K	9.4K	10.3K
Net DEX	-265.7K	-387.3K	-132.3K	-260.6K	-132.3K
Net VEX	-1.1K	-1.3K	-791	-1.3K	-791
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	3.00	0.35	0.00
Total Volume	28.316	0	196	0	0
Total OI	2,405.842	2,366	2,441	2,366	2,441

Daily Data (19 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
2012-09-04	$4.59	$0.00	49.4%	14.2%	27.7%	28.0%	0.0%	16.4%	-0.3%	9.4K	-260.6K	-1.3K	0.00	78.10	N/A	N/A	0	0	1,986	380
2012-09-05	$4.58	$0.00	37.0%	10.6%	27.7%	11.5%	0.0%	26.8%	-1.6%	11.1K	-207.1K	-1.2K	0.35	39.43	N/A	N/A	31	11	1,986	380
2012-09-06	$4.70	$0.00	43.7%	12.5%	28.5%	20.4%	0.0%	26.8%	4.0%	11.4K	-216.2K	-1.2K	0.00	35.77	N/A	N/A	0	0	1,977	391
2012-09-07	$4.78	$5.00	49.5%	10.8%	28.9%	28.2%	0.0%	25.4%	3.2%	12.7K	-270.4K	-1.2K	1.00	27.43	N/A	N/A	25	25	1,977	391
2012-09-10	$4.67	$5.00	46.3%	10.3%	30.4%	23.9%	0.0%	22.3%	-0.8%	12.0K	-269.5K	-1.2K	0.00	31.15	N/A	N/A	0	0	2,002	416
2012-09-11	$4.75	$5.00	48.1%	11.8%	30.9%	26.3%	0.0%	26.8%	-2.1%	12.3K	-268.5K	-1.2K	0.00	38.58	N/A	N/A	30	0	2,002	416
2012-09-12	$4.81	$5.00	49.8%	11.8%	26.2%	28.6%	0.0%	27.3%	1.2%	12.9K	-274.7K	-1.2K	0.00	39.79	N/A	N/A	0	0	1,992	416
2012-09-13	$4.92	$5.00	41.4%	11.9%	25.4%	17.3%	41.4%	22.8%	-1.9%	13.6K	-373.3K	-1.3K	1.20	42.92	N/A	N/A	89	107	1,992	416
2012-09-14	$4.95	$5.00	35.9%	10.3%	25.3%	10.1%	35.9%	24.7%	5.8%	16.3K	-387.3K	-1.3K	0.00	27.67	N/A	N/A	112	0	2,039	399
2012-09-17	$4.86	$5.00	36.6%	10.5%	26.6%	10.9%	0.0%	29.8%	4.6%	15.5K	-325.0K	-1.2K	3.00	29.66	N/A	N/A	5	15	2,005	399
2012-09-18	$4.89	$5.00	36.9%	10.6%	26.3%	11.3%	0.0%	30.1%	3.1%	15.9K	-321.8K	-1.2K	0.00	26.92	N/A	N/A	0	0	2,000	411
2012-09-19	$4.86	$5.00	37.7%	10.8%	25.9%	12.4%	0.0%	30.7%	1.6%	15.4K	-319.2K	-1.2K	0.00	28.29	N/A	N/A	0	0	2,000	411
2012-09-20	$4.75	$5.00	36.4%	10.4%	27.7%	10.6%	0.0%	36.6%	0.8%	14.9K	-258.8K	-1.1K	0.00	49.46	N/A	N/A	20	0	2,000	411
2012-09-21	$4.83	$5.00	33.5%	9.6%	26.2%	6.8%	0.0%	37.8%	3.1%	17.1K	-271.2K	-1.1K	0.00	38.80	N/A	N/A	22	0	1,995	398
2012-09-24	$4.79	$5.00	35.7%	10.2%	26.6%	9.7%	86.5%	44.9%	-5.2%	14.5K	-297.3K	-1.1K	0.00	51.35	N/A	N/A	0	10	2,017	398
2012-09-25	$4.71	$5.00	27.3%	7.8%	26.5%	0.0%	26.7%	0.0%	22.5%	17.0K	-207.2K	-985	0.00	31.45	N/A	N/A	21	0	2,017	398
2012-09-26	$4.62	$5.00	31.8%	9.1%	27.2%	6.0%	0.0%	57.2%	15.3%	13.6K	-181.1K	-933	0.00	26.87	N/A	N/A	0	0	2,028	398
2012-09-27	$4.68	$5.00	33.3%	9.6%	25.3%	8.0%	0.0%	68.3%	18.3%	15.2K	-207.5K	-984	0.00	24.72	N/A	N/A	15	0	2,028	398
2012-09-28	$4.54	$5.00	28.2%	8.1%	27.4%	1.3%	0.0%	43.7%	12.7%	10.3K	-132.3K	-791	0.00	21.09	N/A	N/A	0	0	2,043	398