HLIT Options History — August 2015

In August 2015, HLIT traded between $5.49 and $5.94. ATM implied volatility averaged 53.8%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 24.4% (HV 20d: 29.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2015-08-17: Highest Volume — 856 contracts
  • 2015-08-12: Largest IV drop — 37.7% change
  • 2015-08-10: Highest IV Rank — 49.2%
  • 2015-08-03: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.77$5.49$5.94$5.94$5.75
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV53.8%42.6%78.1%63.7%60.5%
Expected Move13.9%11.7%18.3%18.3%17.3%
HV 20d29.5%19.8%33.6%32.7%21.8%
HV 60d27.2%25.3%28.4%28.1%25.3%
IV Rank29.1%19.7%49.2%37.3%34.6%
IV Percentile82.6%70.6%95.6%90.9%90.5%
Term Structure-14.2%-28.2%-4.2%-24.1%-25.4%
VWIV69.5%64.9%74.1%74.1%64.9%
Skew 25d-2.8%-10.3%14.4%-2.4%-4.8%
Skew 10d6.9%-5.4%28.9%1.7%-0.2%
Call IV 25d44.7%28.9%62.5%35.8%44.9%
Put IV 25d41.9%26.2%55.4%33.4%40.1%
Bid-Ask Spread %104.7920.27115.05112.70112.50
Gamma HHI0.690.500.890.890.63
Net GEX-978-3.8K533-3.8K355
Net DEX539.5K241.8K682.8K660.3K241.8K
Net VEX-186-336-117-336-192
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.571.451.671.571.45
Total Volume716.85708560845
Total OI1,363.2868691,5531,553944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$5.94$7.5063.7%18.3%32.7%37.3%0.0%-2.4%-24.1%-3.8K660.3K-3360.00112.70N/AN/A003491,204
2015-08-04$5.80$7.5060.6%17.4%33.0%34.7%74.1%-4.2%-23.4%-2.0K660.1K-2271.57112.84N/AN/A3205043491,204
2015-08-05$5.87$7.5052.6%15.1%33.6%28.0%64.9%-3.1%-24.7%-1.3K673.3K-1851.5720.27N/AN/A3205043491,204
2015-08-06$5.86$0.0065.9%11.7%33.6%39.1%0.0%2.4%-12.5%-2.3K666.1K-2201.57112.68N/AN/A3205043491,204
2015-08-07$5.88$0.0067.4%11.7%32.3%40.3%0.0%-2.2%-8.5%-2.4K667.8K-2201.57112.70N/AN/A3205043491,204
2015-08-10$5.93$0.0078.1%13.1%31.8%49.2%0.0%-2.5%-13.9%-3.1K665.8K-2561.57112.25N/AN/A3205043491,204
2015-08-11$5.85$0.0072.3%12.5%30.7%44.4%0.0%-3.4%-6.8%-1.9K663.9K-2240.00111.74N/AN/A003491,204
2015-08-12$5.91$0.0045.1%12.9%31.4%21.8%0.0%1.3%-13.8%-768682.8K-1351.57112.42N/AN/A3205043491,204
2015-08-13$5.85$0.0044.9%12.9%31.4%21.6%0.0%-2.7%-7.4%-1.1K673.4K-1521.67112.54N/AN/A3205353491,204
2015-08-14$5.85$0.0054.1%15.5%31.5%29.3%0.0%-4.7%-28.2%-1.1K652.4K-1691.67115.05N/AN/A3205353491,169
2015-08-17$5.80$0.0046.5%13.3%31.4%23.0%0.0%-4.2%-11.9%-527644.3K-1851.67113.72N/AN/A3215353801,169
2015-08-18$5.88$0.0050.0%14.3%32.2%25.9%0.0%-0.5%-20.5%-611653.0K-1851.67112.42N/AN/A3215353801,169
2015-08-19$5.81$0.0047.8%13.7%32.1%24.0%0.0%-2.0%-9.2%-732641.3K-2170.00112.74N/AN/A003801,169
2015-08-20$5.64$0.0045.3%13.0%32.9%22.0%0.0%-7.0%-9.1%-102632.3K-1491.67112.47N/AN/A3215353801,169
2015-08-21$5.58$0.0042.6%12.2%31.7%19.7%0.0%-2.2%-4.2%-393621.6K-1841.56111.33N/AN/A3215013801,169
2015-08-24$5.50$0.0044.3%12.7%31.5%21.1%0.0%-10.3%-6.3%108252.3K-1231.52111.59N/AN/A330500369500
2015-08-25$5.49$0.0045.4%13.0%19.8%22.1%0.0%-10.2%-10.5%533242.7K-1271.52114.71N/AN/A330500394500
2015-08-26$5.60$0.0043.7%12.5%21.0%20.6%0.0%14.4%-4.2%284246.5K-1171.52104.31N/AN/A330500394500
2015-08-27$5.64$0.0049.3%14.1%20.3%25.3%0.0%-7.1%-11.2%315245.2K-1381.52110.49N/AN/A330500394500
2015-08-28$5.75$0.0050.3%14.4%21.8%26.2%0.0%-4.2%-22.2%37243.2K-1731.4549.14N/AN/A345500394500
2015-08-31$5.75$0.0060.5%17.3%21.8%34.6%0.0%-4.8%-25.4%355241.8K-1921.45112.50N/AN/A345500444500