HLIT Options History — October 2012

In October 2012, HLIT traded between $4.26 and $4.53. ATM implied volatility averaged 43.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 18.2% (HV 20d: 25.8%). 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 10 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2012-10-22: Highest Volume — 50 contracts
  • 2012-10-10: Largest IV spike — 56.1% change
  • 2012-10-10: Highest IV Rank — 48.9%
  • 2012-10-15: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.39$4.26$4.53$4.49$4.34
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV43.9%33.4%64.4%39.4%52.0%
Expected Move11.8%7.7%15.7%11.3%14.9%
HV 20d25.8%24.3%27.6%27.4%24.4%
HV 60d30.4%26.5%33.6%33.5%26.5%
IV Rank22.0%8.0%48.9%16.0%32.5%
IV Percentile39.9%6.7%88.9%24.6%71.8%
Term Structure-1.7%-19.9%20.1%-3.2%-17.6%
Skew 25d64.0%55.1%72.4%65.8%70.3%
Skew 10d65.3%35.3%102.9%70.7%102.9%
Call IV 25d49.6%44.5%55.3%46.8%55.3%
Put IV 25d113.6%104.9%125.6%112.7%125.6%
Bid-Ask Spread %38.4014.3281.3273.8025.14
Gamma HHI0.950.900.990.980.99
Net GEX4.5K2.0K11.3K10.3K2.2K
Net DEX-108.3K-163.7K-69.6K-144.0K-117.7K
Net VEX-547-812-326-810-393
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.000.000.00
Total Volume9.04805040
Total OI2,007.3339232,4412,4411,023

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$4.49$5.0039.4%11.3%27.4%16.0%0.0%65.8%-3.2%10.3K-144.0K-8100.0073.80N/AN/A402,043398
2012-10-02$4.44$5.0034.8%10.0%27.5%9.9%0.0%57.1%11.2%8.0K-108.8K-6920.0025.44N/AN/A002,039398
2012-10-03$4.45$5.0048.0%13.8%27.6%27.3%0.0%55.1%-2.5%9.7K-144.9K-7800.0022.17N/AN/A002,039398
2012-10-04$4.49$5.0050.4%14.4%26.0%30.4%0.0%63.1%-1.5%10.5K-163.7K-8120.0024.54N/AN/A3002,039388
2012-10-05$4.53$5.0045.3%7.7%25.3%23.8%0.0%72.4%20.1%11.3K-158.4K-7710.0024.70N/AN/A002,039388
2012-10-08$4.42$5.0036.7%9.5%25.5%12.4%0.0%70.3%7.0%6.1K-105.4K-6210.0070.26N/AN/A022,039388
2012-10-09$4.30$5.0041.3%8.9%25.8%18.5%0.0%0.0%8.9%2.1K-69.6K-5040.0024.84N/AN/A002,039390
2012-10-10$4.38$5.0064.4%10.2%26.4%48.9%0.0%0.0%8.0%8.3K-119.4K-6300.0030.97N/AN/A002,039390
2012-10-11$4.36$5.0033.4%9.6%24.4%8.0%0.0%0.0%9.4%2.1K-70.6K-5060.0022.08N/AN/A2202,039390
2012-10-12$4.38$5.0041.7%12.0%24.3%19.0%0.0%0.0%3.7%2.2K-72.1K-5050.0078.67N/AN/A002,039390
2012-10-15$4.42$5.0054.6%15.7%24.4%36.0%0.0%0.0%-14.2%2.3K-91.1K-5100.0061.81N/AN/A022,039350
2012-10-16$4.51$5.0040.9%11.7%25.7%18.0%0.0%0.0%3.7%2.4K-95.8K-4991.0081.32N/AN/A552,039350
2012-10-17$4.50$5.0036.3%10.4%25.7%12.0%0.0%0.0%8.3%2.3K-97.7K-4930.0037.51N/AN/A002,039345
2012-10-18$4.39$5.0034.8%10.0%25.9%10.0%0.0%0.0%4.1%2.2K-94.9K-4870.0035.73N/AN/A002,026345
2012-10-19$4.27$5.0044.4%12.7%26.0%22.5%0.0%0.0%-1.7%2.0K-78.1K-4320.0034.79N/AN/A002,026345
2012-10-22$4.31$5.0047.7%13.7%26.5%26.8%0.0%0.0%-18.6%2.0K-99.7K-4360.0032.94N/AN/A500678245
2012-10-23$4.27$5.0041.3%11.8%26.2%18.4%0.0%0.0%-19.9%2.0K-95.5K-3260.0014.32N/AN/A00728245
2012-10-24$4.26$5.0045.1%12.9%25.7%23.4%0.0%0.0%-13.5%2.0K-110.1K-4021.0034.92N/AN/A2525728245
2012-10-25$4.35$5.0044.9%12.9%26.5%23.3%0.0%0.0%-13.0%2.2K-129.4K-4730.0023.89N/AN/A00753270
2012-10-26$4.34$5.0045.7%13.1%24.6%24.3%0.0%0.0%-13.7%2.3K-107.8K-4070.0026.52N/AN/A200753270
2012-10-31$4.34$5.0052.0%14.9%24.4%32.5%0.0%0.0%-17.6%2.2K-117.7K-3930.0025.14N/AN/A00753270