HLIT Options History — March 2015

In March 2015, HLIT traded between $7.28 and $7.92. ATM implied volatility averaged 34.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 16.2% (HV 20d: 18.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 26.61.

Notable Days

  • 2015-03-30: Highest Volume — 1,491 contracts
  • 2015-03-05: Largest IV spike — 26.6% change
  • 2015-03-02: Highest IV Rank — 16.4%
  • 2015-03-02: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.55$7.28$7.92$7.92$7.41
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV34.5%30.7%40.0%40.0%31.0%
Expected Move9.4%7.0%11.5%11.5%8.9%
HV 20d18.4%12.2%24.2%12.2%23.1%
HV 60d29.7%27.2%31.6%31.1%28.1%
IV Rank11.8%8.5%16.4%16.4%8.8%
IV Percentile42.2%22.6%64.7%64.7%25.4%
Term Structure-0.7%-13.4%10.1%-13.4%7.8%
VWIV30.6%23.8%39.6%23.8%31.0%
Skew 25d17.7%4.8%49.0%23.7%8.4%
Skew 10d28.2%7.1%77.1%42.6%13.1%
Call IV 25d28.5%21.2%40.6%22.3%39.7%
Put IV 25d46.2%31.1%87.6%46.0%48.1%
Bid-Ask Spread %87.9446.36129.1669.29129.16
Gamma HHI0.830.651.000.970.65
Net GEX-2.5K-5.1K1.5K912-2.8K
Net DEX32.3K-177.6K206.0K-177.6K131.6K
Net VEX-3.5K-3.9K-2.6K-2.7K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.610.0044.0044.006.49
Total Volume417.81801,4918101,491
Total OI2,0831,6332,3131,6332,313

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$7.92$0.0040.0%11.5%12.2%16.4%0.0%23.7%-13.4%912-177.6K-2.7K44.0069.29N/AN/A18792783850
2015-03-03$7.74$0.0038.4%11.0%14.9%15.0%0.0%10.3%-11.5%923-163.0K-2.7K44.0057.14N/AN/A18792783850
2015-03-04$7.71$0.0031.4%9.0%13.4%9.1%0.0%8.4%-2.4%1.2K-124.1K-2.7K44.0046.36N/AN/A18792783850
2015-03-05$7.64$5.0039.8%7.0%13.0%16.2%23.8%11.4%10.1%1.4K-115.5K-2.7K44.0056.18N/AN/A18792783850
2015-03-06$7.56$5.0038.6%7.0%12.9%15.2%24.3%11.2%9.1%1.5K-100.5K-2.7K44.00100.30N/AN/A18792783850
2015-03-09$7.59$5.0037.1%8.6%13.0%13.9%0.0%28.7%2.1%1.2K-80.1K-2.6K0.0047.88N/AN/A0500783850
2015-03-10$7.39$5.0036.3%9.6%15.6%13.2%0.0%9.5%-0.9%-4.7K117.0K-3.7K0.0054.54N/AN/A007831,350
2015-03-11$7.48$5.0032.8%9.4%16.5%10.3%0.0%29.5%-1.0%-4.7K136.9K-3.7K0.0056.99N/AN/A007831,350
2015-03-12$7.68$5.0030.7%8.8%19.2%8.5%0.0%28.8%5.7%-5.1K73.0K-3.7K0.00100.94N/AN/A007831,350
2015-03-13$7.58$5.0034.0%9.7%19.2%11.3%0.0%9.9%-2.8%-4.9K32.7K-3.7K0.0070.25N/AN/A007831,350
2015-03-16$7.58$5.0032.4%9.3%19.1%9.9%0.0%11.5%-3.7%-4.9K55.6K-3.7K0.00113.00N/AN/A17007831,350
2015-03-17$7.59$5.0030.9%8.9%19.1%8.7%0.0%11.0%2.0%-3.3K45.0K-3.9K0.0068.11N/AN/A009531,350
2015-03-18$7.55$5.0034.7%9.9%19.1%11.9%0.0%6.2%-2.8%-3.5K69.2K-3.9K0.0094.22N/AN/A009531,350
2015-03-19$7.54$5.0032.4%9.3%19.1%9.9%0.0%10.7%0.3%-3.3K59.7K-3.9K0.0063.44N/AN/A009531,350
2015-03-20$7.63$5.0031.7%9.1%19.6%9.4%0.0%11.1%-0.2%-3.3K34.5K-3.9K0.00123.16N/AN/A009531,350
2015-03-23$7.66$5.0034.5%9.9%19.6%11.7%0.0%4.9%-5.2%-3.5K-2.0K-3.8K0.0088.97N/AN/A009531,350
2015-03-24$7.61$5.0034.9%10.0%19.5%12.1%0.0%42.7%-4.6%-3.5K15.9K-3.8K0.00120.50N/AN/A009531,350
2015-03-25$7.30$5.0030.8%8.8%24.0%8.6%0.0%10.7%0.9%-3.5K135.9K-3.7K0.00113.03N/AN/A009531,350
2015-03-26$7.28$5.0038.2%10.9%23.8%14.8%39.6%49.0%-7.4%-3.9K206.0K-3.6K6.53113.69N/AN/A1981,2929531,350
2015-03-27$7.30$5.0034.8%10.0%23.9%12.0%0.0%4.8%-1.1%-3.6K195.0K-3.6K0.00121.15N/AN/A009631,350
2015-03-30$7.40$5.0034.5%9.9%24.2%11.7%34.5%47.0%3.5%-3.6K165.2K-3.6K6.49126.50N/AN/A1991,2929631,350
2015-03-31$7.41$5.0031.0%8.9%23.1%8.8%31.0%8.4%7.8%-2.8K131.6K-3.6K6.49129.16N/AN/A1991,2929631,350