HLIT Options History — September 2013

In September 2013, HLIT traded between $7.20 and $7.84. ATM implied volatility averaged 29.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.8% (HV 20d: 28.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.04.

Notable Days

2013-09-10: Highest Volume — 67 contracts
2013-09-27: Largest IV spike — 22.5% change
2013-09-10: Highest IV Rank — 22.1%
2013-09-17: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.56	$7.20	$7.84	$7.20	$7.68
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	29.7%	22.3%	33.5%	33.0%	28.9%
Expected Move	8.5%	6.4%	9.5%	9.5%	8.3%
HV 20d	28.8%	15.0%	32.8%	31.3%	15.0%
HV 60d	30.8%	30.3%	31.6%	31.4%	30.5%
IV Rank	17.6%	9.2%	22.1%	21.5%	16.8%
IV Percentile	23.9%	4.8%	39.3%	35.3%	21.8%
Term Structure	2.5%	-2.1%	12.2%	-2.1%	6.2%
VWIV	33.5%	24.3%	50.8%	32.2%	24.3%
Skew 25d	14.2%	-3.1%	64.4%	4.3%	27.5%
Skew 10d	19.4%	-2.8%	85.4%	5.2%	51.2%
Call IV 25d	28.2%	20.2%	41.3%	23.3%	29.1%
Put IV 25d	42.3%	27.6%	105.7%	27.6%	56.6%
Bid-Ask Spread %	24.34	10.67	70.85	32.69	19.44
Gamma HHI	0.88	0.87	0.91	0.87	0.91
Net GEX	16.5K	11.9K	23.6K	11.9K	23.6K
Net DEX	-448.2K	-622.2K	-256.5K	-256.5K	-538.7K
Net VEX	-1.4K	-1.6K	-1.2K	-1.6K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.57	0.00	0.00
Total Volume	13.55	0	67	0	2
Total OI	1,689.15	1,591	1,759	1,677	1,636

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
2013-09-03	$7.20	$7.50	33.0%	9.5%	31.3%	21.5%	0.0%	4.3%	-2.1%	11.9K	-256.5K	-1.6K	0.00	32.69	N/A	N/A	0	0	1,221	456
2013-09-04	$7.38	$7.50	32.1%	9.2%	32.8%	20.4%	32.2%	60.6%	-0.6%	12.7K	-296.2K	-1.6K	0.00	23.55	N/A	N/A	1	0	1,221	456
2013-09-05	$7.31	$7.50	29.3%	8.4%	32.8%	17.2%	29.2%	64.4%	1.4%	12.5K	-273.6K	-1.6K	0.00	25.22	N/A	N/A	1	0	1,222	456
2013-09-06	$7.34	$7.50	28.8%	9.1%	32.4%	16.7%	31.9%	23.0%	-0.1%	13.1K	-276.8K	-1.6K	0.00	18.20	N/A	N/A	45	0	1,223	456
2013-09-09	$7.36	$7.50	30.3%	9.3%	32.4%	18.3%	0.0%	4.9%	-1.7%	13.2K	-302.0K	-1.5K	0.00	18.66	N/A	N/A	0	0	1,248	456
2013-09-10	$7.45	$7.50	33.5%	8.8%	32.5%	22.1%	41.3%	-3.1%	2.3%	14.0K	-355.8K	-1.6K	0.00	70.85	N/A	N/A	67	0	1,248	456
2013-09-11	$7.49	$7.50	30.3%	8.9%	32.6%	18.3%	50.8%	-2.0%	1.3%	15.0K	-405.6K	-1.6K	0.00	16.92	N/A	N/A	10	0	1,295	456
2013-09-12	$7.51	$7.50	30.1%	8.6%	32.5%	18.2%	30.1%	-1.3%	1.7%	15.2K	-423.8K	-1.6K	0.57	13.54	N/A	N/A	7	4	1,294	456
2013-09-13	$7.51	$7.50	31.9%	9.1%	30.5%	20.2%	0.0%	8.2%	-0.7%	14.5K	-414.8K	-1.6K	0.00	16.53	N/A	N/A	2	0	1,301	456
2013-09-16	$7.52	$7.50	31.9%	9.1%	30.2%	20.2%	0.0%	10.0%	-1.1%	15.2K	-425.5K	-1.5K	0.00	13.12	N/A	N/A	0	0	1,303	456
2013-09-17	$7.61	$7.50	33.3%	9.5%	29.9%	21.8%	0.0%	7.7%	-1.1%	14.1K	-481.6K	-1.5K	0.00	18.07	N/A	N/A	0	0	1,303	456
2013-09-18	$7.65	$7.50	32.0%	9.2%	29.9%	20.4%	32.0%	8.9%	0.1%	15.4K	-505.9K	-1.4K	0.00	24.60	N/A	N/A	48	0	1,303	456
2013-09-19	$7.68	$7.50	29.1%	8.3%	29.4%	17.0%	0.0%	-1.7%	2.2%	16.6K	-539.3K	-1.4K	0.00	15.04	N/A	N/A	18	0	1,298	456
2013-09-20	$7.64	$7.50	29.6%	8.5%	29.1%	17.6%	29.7%	-0.0%	1.9%	16.8K	-518.9K	-1.4K	0.00	16.25	N/A	N/A	20	0	1,298	456
2013-09-23	$7.67	$7.50	27.9%	8.0%	28.9%	15.7%	0.0%	7.6%	7.0%	21.4K	-517.4K	-1.3K	0.00	55.78	N/A	N/A	0	0	1,235	356
2013-09-24	$7.81	$7.50	26.9%	7.7%	29.5%	14.5%	0.0%	21.5%	8.1%	20.8K	-595.1K	-1.2K	0.00	31.35	N/A	N/A	0	0	1,235	356
2013-09-25	$7.82	$7.50	24.6%	7.1%	22.0%	11.9%	24.3%	25.2%	12.2%	21.3K	-622.2K	-1.2K	0.00	10.67	N/A	N/A	1	0	1,235	356
2013-09-26	$7.84	$7.50	22.3%	6.4%	21.4%	9.2%	0.0%	9.4%	5.5%	19.7K	-610.1K	-1.2K	0.00	15.11	N/A	N/A	30	0	1,235	356
2013-09-27	$7.78	$7.50	27.3%	7.8%	21.4%	15.0%	0.0%	8.4%	6.8%	22.4K	-603.5K	-1.2K	0.00	31.16	N/A	N/A	0	15	1,265	356
2013-09-30	$7.68	$7.50	28.9%	8.3%	15.0%	16.8%	0.0%	27.5%	6.2%	23.6K	-538.7K	-1.3K	0.00	19.44	N/A	N/A	2	0	1,265	371