HLIT Options History — November 2012

In November 2012, HLIT traded between $4.02 and $4.63. ATM implied volatility averaged 48.4%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 18.9% (HV 20d: 29.5%). 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 4 of 21 days. Put/call ratio averaged 0.22.

Notable Days

2012-11-21: Highest Volume — 108 contracts
2012-11-15: Largest IV drop — 60.9% change
2012-11-14: Highest IV Rank — 90.4%
2012-11-01: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.29	$4.02	$4.63	$4.35	$4.58
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	48.4%	29.4%	96.0%	50.1%	29.4%
Expected Move	9.8%	7.0%	14.4%	14.4%	8.4%
HV 20d	29.5%	24.1%	36.4%	24.1%	36.4%
HV 60d	27.6%	26.1%	29.5%	26.1%	29.5%
IV Rank	27.9%	2.8%	90.4%	30.1%	2.8%
IV Percentile	43.1%	1.6%	99.2%	66.3%	1.6%
Term Structure	-1.5%	-21.2%	17.8%	-18.5%	5.6%
Bid-Ask Spread %	22.94	9.38	43.88	29.02	43.88
Gamma HHI	0.95	0.88	1.00	0.95	1.00
Net GEX	2.2K	1.1K	4.1K	2.3K	4.1K
Net DEX	-102.6K	-148.9K	-72.7K	-106.7K	-120.6K
Net VEX	-359	-544	-204	-379	-514
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.10	0.00	1.10
Total Volume	23.81	0	108	0	0
Total OI	1,029.476	994	1,104	1,023	1,025

Daily Data (21 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
2012-11-01	$4.35	$5.00	50.1%	14.4%	24.1%	30.1%	0.0%	0.0%	-18.5%	2.3K	-106.7K	-379	0.00	29.02	N/A	N/A	0	0	753	270
2012-11-02	$4.27	$5.00	43.9%	12.6%	24.9%	21.9%	0.0%	0.0%	-21.2%	1.8K	-90.0K	-301	0.00	13.55	N/A	N/A	0	0	753	270
2012-11-05	$4.37	$0.00	54.1%	9.9%	26.2%	35.4%	0.0%	0.0%	-5.0%	2.3K	-128.7K	-458	0.00	14.64	N/A	N/A	0	0	753	270
2012-11-06	$4.43	$0.00	44.0%	9.1%	26.5%	22.0%	0.0%	0.0%	17.1%	2.4K	-128.9K	-455	0.00	10.79	N/A	N/A	5	0	753	270
2012-11-07	$4.24	$0.00	44.6%	7.0%	29.5%	22.8%	0.0%	0.0%	0.1%	1.7K	-89.1K	-299	0.00	9.38	N/A	N/A	0	0	753	270
2012-11-08	$4.19	$0.00	63.8%	7.4%	28.2%	48.1%	0.0%	0.0%	-0.1%	1.6K	-85.8K	-290	0.00	16.36	N/A	N/A	0	0	753	270
2012-11-09	$4.14	$0.00	63.0%	7.8%	27.4%	47.0%	0.0%	0.0%	-0.3%	1.4K	-80.3K	-248	0.00	12.83	N/A	N/A	0	0	753	270
2012-11-12	$4.17	$0.00	73.9%	9.2%	27.6%	61.4%	0.0%	0.0%	-0.6%	1.8K	-99.6K	-335	0.00	13.50	N/A	N/A	22	0	753	270
2012-11-13	$4.08	$0.00	91.7%	8.4%	28.3%	84.8%	0.0%	0.0%	17.8%	1.7K	-97.2K	-366	0.00	10.54	N/A	N/A	22	0	753	270
2012-11-14	$4.10	$0.00	96.0%	8.8%	28.1%	90.4%	0.0%	0.0%	-1.1%	1.4K	-79.5K	-236	0.00	16.46	N/A	N/A	26	0	753	270
2012-11-15	$4.02	$0.00	37.5%	10.7%	27.2%	13.5%	0.0%	0.0%	-1.5%	1.2K	-72.7K	-216	0.61	24.98	N/A	N/A	41	25	753	270
2012-11-16	$4.09	$0.00	39.9%	11.4%	28.4%	16.7%	0.0%	0.0%	-7.0%	1.1K	-74.5K	-204	0.00	18.86	N/A	N/A	0	0	738	271
2012-11-19	$4.24	$0.00	37.0%	10.6%	30.8%	12.9%	0.0%	0.0%	-1.5%	1.8K	-93.6K	-268	0.00	30.39	N/A	N/A	4	0	723	271
2012-11-20	$4.20	$0.00	36.6%	10.5%	29.4%	12.3%	0.0%	0.0%	-1.8%	1.6K	-85.9K	-237	0.00	24.06	N/A	N/A	6	0	727	271
2012-11-21	$4.27	$0.00	36.1%	10.4%	29.8%	11.7%	0.0%	0.0%	-1.7%	2.0K	-106.3K	-341	0.00	27.69	N/A	N/A	108	0	733	271
2012-11-23	$4.41	$0.00	34.9%	10.0%	31.8%	10.0%	0.0%	0.0%	-1.6%	3.0K	-133.7K	-452	0.00	22.90	N/A	N/A	71	0	833	271
2012-11-26	$4.34	$0.00	32.2%	9.2%	32.4%	6.5%	0.0%	0.0%	-2.6%	2.7K	-91.4K	-400	0.63	24.00	N/A	N/A	24	15	814	271
2012-11-27	$4.36	$0.00	39.5%	11.3%	31.5%	16.1%	0.0%	0.0%	-2.8%	3.0K	-108.7K	-449	0.00	37.76	N/A	N/A	18	0	814	256
2012-11-28	$4.58	$0.00	33.3%	9.5%	36.0%	7.9%	0.0%	0.0%	-1.6%	3.8K	-148.9K	-539	0.51	38.97	N/A	N/A	47	24	806	256
2012-11-29	$4.63	$0.00	35.4%	10.1%	36.1%	10.7%	0.0%	0.0%	-4.2%	3.9K	-132.4K	-544	1.10	41.18	N/A	N/A	20	22	759	256
2012-11-30	$4.58	$0.00	29.4%	8.4%	36.4%	2.8%	0.0%	0.0%	5.6%	4.1K	-120.6K	-514	0.00	43.88	N/A	N/A	0	0	769	256