HLIT Options History — December 2014

In December 2014, HLIT traded between $6.56 and $7.35. ATM implied volatility averaged 34.2%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.9% (HV 20d: 32.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 5.92.

Notable Days

  • 2014-12-05: Highest Volume — 1,195 contracts
  • 2014-12-12: Largest IV spike — 19.8% change
  • 2014-12-15: Highest IV Rank — 18.3%
  • 2014-12-24: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.03$6.56$7.35$6.95$7.01
Max Pain$5.53$5.00$7.50$5.00$7.50
ATM IV34.2%26.1%42.3%38.3%36.8%
Expected Move9.1%7.6%10.8%9.1%7.9%
HV 20d32.3%27.9%35.6%30.2%34.5%
HV 60d35.5%33.8%36.9%35.3%36.6%
IV Rank11.5%4.6%18.3%14.9%13.6%
IV Percentile42.0%4.8%71.0%61.9%54.8%
Term Structure-1.8%-14.2%11.0%-9.5%-7.9%
VWIV32.5%29.9%37.5%32.0%34.5%
Skew 25d19.2%-2.1%91.3%14.3%13.6%
Skew 10d21.3%2.0%107.9%10.0%8.3%
Call IV 25d33.5%27.4%43.2%31.2%30.1%
Put IV 25d52.8%29.0%126.7%45.5%43.7%
Bid-Ask Spread %95.2631.08115.17105.04112.49
Gamma HHI0.860.720.920.870.90
Net GEX1.4K-5.3K4.2K-4.0K3.2K
Net DEX136.3K-9.4K317.9K317.9K133.4K
Net VEX-1.7K-2.1K-716-716-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.920.008.717.936.88
Total Volume602.59101,1956610
Total OI1,761.9091,2301,9161,2301,916

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$6.95$5.0038.3%9.1%30.2%14.9%32.0%14.3%-9.5%-4.0K317.9K-7167.93105.04N/AN/A74587383847
2014-12-02$7.04$5.0038.1%9.1%28.7%14.8%32.5%1.7%-9.3%-4.5K301.8K-7457.9391.93N/AN/A74587383847
2014-12-03$7.12$5.0031.4%9.3%28.9%9.1%33.3%16.7%-10.9%-5.3K297.6K-7947.1395.24N/AN/A83592383847
2014-12-04$7.16$5.0032.9%10.0%28.2%10.3%0.0%15.3%-5.1%-4.2K266.3K-9250.0091.58N/AN/A5200447872
2014-12-05$7.21$5.0038.7%8.6%27.9%15.3%29.9%10.5%-5.1%2.5K50.8K-2.1K0.98101.65N/AN/A603592967872
2014-12-08$7.16$5.0037.9%8.6%28.0%14.6%30.0%4.2%7.0%688116.0K-2.0K5.6931.08N/AN/A104592967872
2014-12-09$7.35$5.0039.4%8.6%27.9%15.9%30.1%21.8%11.0%4.2K-9.4K-2.1K5.69100.43N/AN/A1045921,002847
2014-12-10$7.23$5.0036.8%9.1%28.2%13.7%31.2%3.4%5.0%1.5K19.7K-2.1K5.9858.89N/AN/A995921,000847
2014-12-11$6.96$5.0030.8%8.6%31.5%8.6%33.6%2.1%-3.0%2.7K35.8K-2.1K6.5197.02N/AN/A915921,030847
2014-12-12$6.82$5.0036.9%8.9%32.0%13.7%33.2%8.9%-9.6%3.5K102.8K-2.0K6.51107.19N/AN/A915921,030847
2014-12-15$6.56$5.0042.3%7.9%34.8%18.3%31.9%-2.1%-14.2%3.2K125.4K-1.8K6.51104.97N/AN/A915921,030847
2014-12-16$6.56$5.0035.1%9.5%34.6%12.2%31.2%8.0%-6.8%4.0K235.6K-1.5K6.5191.41N/AN/A915921,030847
2014-12-17$6.66$5.0033.5%10.7%34.9%10.9%33.5%20.5%6.4%3.6K218.8K-1.6K6.5199.44N/AN/A915921,030847
2014-12-18$6.84$5.0029.3%10.0%35.5%7.3%34.7%23.0%7.0%3.4K201.0K-1.7K6.5197.71N/AN/A915921,030847
2014-12-19$6.97$5.0032.5%10.1%35.6%10.1%31.0%81.3%-1.6%3.2K144.7K-1.8K0.0095.66N/AN/A1001,030847
2014-12-22$7.00$0.0030.9%8.8%35.5%8.7%0.0%17.7%-5.6%3.4K158.2K-1.8K6.88111.03N/AN/A865921,025847
2014-12-23$6.97$0.0026.1%8.3%35.4%4.6%0.0%17.6%8.3%3.2K191.4K-1.7K6.8867.86N/AN/A865921,025847
2014-12-24$7.31$0.0026.5%10.8%35.1%5.0%37.5%91.3%9.5%79551.1K-1.9K8.7198.49N/AN/A685921,025847
2014-12-26$7.35$7.5029.2%9.3%35.1%7.2%32.4%43.5%3.0%1.3K-3.2K-2.0K8.71115.17N/AN/A685921,049847
2014-12-29$7.22$7.5033.5%9.8%34.0%10.9%34.5%7.2%0.7%2.0K17.5K-1.9K6.88107.53N/AN/A865921,049847
2014-12-30$7.13$7.5036.4%7.6%34.2%13.3%0.0%2.8%-8.4%2.5K25.9K-1.9K0.00113.92N/AN/A001,069847
2014-12-31$7.01$7.5036.8%7.9%34.5%13.6%0.0%13.6%-7.9%3.2K133.4K-1.7K0.00112.49N/AN/A001,069847