HLIT Options History — December 2012

In December 2012, HLIT traded between $4.70 and $5.08. ATM implied volatility averaged 30.9%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.7% (HV 20d: 28.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.29.

Notable Days

2012-12-20: Highest Volume — 118 contracts
2012-12-17: Largest IV spike — 42.2% change
2012-12-28: Highest IV Rank — 17.8%
2012-12-10: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.89	$4.70	$5.08	$4.70	$5.07
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	30.9%	20.9%	35.6%	27.1%	34.8%
Expected Move	9.3%	7.1%	10.5%	7.8%	10.0%
HV 20d	28.2%	19.7%	36.4%	36.4%	20.0%
HV 60d	28.7%	27.4%	29.9%	29.9%	27.6%
IV Rank	10.7%	0.0%	17.8%	0.0%	16.8%
IV Percentile	8.1%	0.0%	19.0%	0.0%	17.5%
Term Structure	6.7%	-4.9%	18.6%	-4.9%	8.4%
VWIV	33.0%	30.7%	34.3%	30.7%	34.3%
Bid-Ask Spread %	23.39	13.76	36.92	16.13	25.50
Gamma HHI	0.99	0.98	1.00	0.99	0.98
Net GEX	5.3K	4.1K	6.1K	4.1K	5.3K
Net DEX	-204.0K	-270.4K	-142.9K	-142.9K	-239.8K
Net VEX	-584	-686	-535	-535	-548
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.60	0.00	0.40
Total Volume	24.55	0	118	2	70
Total OI	1,144.2	1,025	1,264	1,025	1,209

Daily Data (20 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
2012-12-03	$4.70	$0.00	27.1%	7.8%	36.4%	0.0%	0.0%	0.0%	-4.9%	4.1K	-142.9K	-535	0.00	16.13	N/A	N/A	2	0	769	256
2012-12-04	$4.78	$0.00	29.5%	8.5%	36.1%	3.2%	0.0%	0.0%	13.4%	4.5K	-156.7K	-566	0.00	15.73	N/A	N/A	0	0	771	256
2012-12-05	$4.72	$0.00	32.9%	9.4%	36.4%	7.7%	0.0%	0.0%	9.6%	4.4K	-146.2K	-543	0.00	16.12	N/A	N/A	6	0	771	256
2012-12-06	$4.74	$0.00	27.8%	8.0%	31.9%	1.0%	0.0%	0.0%	12.7%	4.6K	-154.8K	-556	0.11	21.98	N/A	N/A	75	8	774	256
2012-12-07	$4.72	$5.00	20.9%	10.2%	31.5%	0.0%	0.0%	0.0%	4.5%	4.9K	-175.5K	-560	0.00	22.06	N/A	N/A	0	0	849	252
2012-12-10	$4.80	$5.00	27.6%	10.5%	30.9%	8.1%	0.0%	0.0%	1.1%	5.3K	-187.8K	-568	0.00	26.27	N/A	N/A	0	0	849	252
2012-12-11	$4.85	$5.00	29.3%	9.7%	30.9%	10.2%	0.0%	0.0%	4.2%	5.6K	-195.9K	-573	0.50	29.97	N/A	N/A	22	11	849	252
2012-12-12	$4.82	$5.00	30.6%	10.3%	29.4%	11.8%	0.0%	0.0%	2.3%	5.5K	-195.1K	-604	0.00	21.98	N/A	N/A	10	0	871	263
2012-12-13	$4.84	$5.00	34.6%	9.9%	29.5%	16.6%	0.0%	0.0%	6.0%	5.5K	-201.2K	-618	0.00	27.01	N/A	N/A	0	8	871	263
2012-12-14	$4.81	$5.00	24.8%	7.1%	28.1%	4.8%	30.7%	0.0%	18.6%	5.9K	-187.7K	-603	0.22	13.76	N/A	N/A	50	11	871	271
2012-12-17	$4.92	$5.00	35.3%	10.1%	28.4%	17.5%	0.0%	0.0%	1.5%	5.8K	-237.1K	-626	0.00	20.15	N/A	N/A	0	0	921	282
2012-12-18	$4.98	$5.00	31.7%	9.1%	26.6%	13.1%	0.0%	0.0%	7.7%	6.1K	-248.3K	-628	0.00	21.64	N/A	N/A	10	0	921	282
2012-12-19	$5.05	$5.00	34.1%	9.8%	25.8%	16.0%	34.1%	0.0%	3.7%	6.1K	-270.0K	-623	1.60	14.70	N/A	N/A	25	40	926	282
2012-12-20	$5.08	$5.00	34.3%	9.8%	25.7%	16.3%	34.3%	0.0%	3.4%	6.1K	-270.4K	-686	0.10	14.68	N/A	N/A	107	11	946	318
2012-12-21	$4.97	$5.00	30.9%	8.9%	26.3%	12.2%	0.0%	0.0%	6.4%	5.4K	-213.7K	-577	0.00	31.17	N/A	N/A	0	0	855	329
2012-12-24	$4.99	$5.00	30.4%	8.7%	25.0%	11.5%	0.0%	0.0%	8.7%	5.6K	-221.1K	-568	0.00	28.21	N/A	N/A	0	11	855	329
2012-12-26	$4.97	$5.00	31.8%	9.1%	25.3%	13.2%	0.0%	0.0%	11.5%	5.3K	-217.3K	-565	0.00	27.26	N/A	N/A	0	11	855	340
2012-12-27	$4.97	$5.00	34.7%	10.0%	19.7%	16.8%	0.0%	0.0%	8.9%	5.1K	-209.9K	-569	0.00	36.48	N/A	N/A	0	0	855	351
2012-12-28	$4.96	$5.00	35.6%	10.2%	19.7%	17.8%	0.0%	0.0%	6.9%	5.1K	-207.9K	-560	0.00	36.92	N/A	N/A	0	3	855	351
2012-12-31	$5.07	$5.00	34.8%	10.0%	20.0%	16.8%	0.0%	0.0%	8.4%	5.3K	-239.8K	-548	0.40	25.50	N/A	N/A	50	20	855	354