HLIT Options History — September 2015 In September 2015, HLIT traded between $5.60 and $6.16. ATM implied volatility averaged 52.4%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 17.5% (HV 20d: 34.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.45.
Notable Days 2015-09-01 : Highest Volume — 845 contracts2015-09-09 : Largest IV drop — 43.4% change2015-09-08 : Highest IV Rank — 43.8%2015-09-30 : Largest Expected Move — 18.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.86 $5.60 $6.16 $5.65 $5.80 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 52.4% 38.9% 71.6% 58.9% 65.8% Expected Move 14.0% 10.4% 18.9% 16.9% 18.9% HV 20d 34.9% 20.7% 41.4% 21.0% 40.4% HV 60d 30.4% 25.1% 32.7% 25.4% 32.4% IV Rank 27.9% 16.7% 43.8% 33.3% 39.0% IV Percentile 79.3% 54.4% 95.2% 89.3% 93.3% Term Structure -14.6% -24.6% 4.7% -17.8% -23.8% VWIV 51.5% 33.2% 69.4% 45.9% 69.4% Skew 25d -4.5% -16.8% 10.6% -9.0% -3.6% Skew 10d 1.4% -20.3% 25.7% 15.6% -6.1% Call IV 25d 51.6% 34.1% 72.8% 48.3% 72.8% Put IV 25d 47.1% 34.2% 69.2% 39.3% 69.2% Bid-Ask Spread % 104.15 78.61 112.32 111.95 110.98 Gamma HHI 0.69 0.50 0.98 0.71 0.50 Net GEX -27 -1.5K 978 448 -29 Net DEX 251.5K 236.0K 269.5K 239.7K 269.5K Net VEX -176 -287 -94 -191 -94 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.01 1.45 1.45 0.13 Total Volume 452.81 0 845 845 390 Total OI 964.143 944 989 944 989
Daily Data (21 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 2015-09-01 $5.65 $0.00 58.9% 16.9% 21.0% 33.3% 0.0% -9.0% -17.8% 448 239.7K -191 1.45 111.95 N/A N/A 345 500 444 500 2015-09-02 $5.69 $0.00 56.3% 16.1% 20.7% 31.1% 0.0% -6.4% -14.7% 557 243.0K -171 1.45 112.32 N/A N/A 345 500 444 500 2015-09-03 $5.69 $7.50 58.1% 11.5% 20.7% 32.6% 45.9% 0.4% -1.2% 266 238.6K -209 1.45 102.86 N/A N/A 345 500 444 500 2015-09-04 $5.60 $7.50 59.5% 10.4% 21.2% 33.8% 47.0% -9.4% 4.7% 740 241.1K -162 1.45 111.21 N/A N/A 345 500 444 500 2015-09-08 $5.68 $7.50 71.6% 11.1% 21.7% 43.8% 0.0% -7.2% -7.4% 494 246.6K -121 0.00 110.62 N/A N/A 0 0 444 500 2015-09-09 $5.62 $7.50 40.5% 11.6% 21.5% 18.0% 49.0% -7.5% -0.5% 628 240.5K -166 1.45 110.45 N/A N/A 345 500 444 500 2015-09-10 $6.16 $7.50 40.8% 11.7% 39.5% 18.3% 33.2% 0.1% -16.9% -1.1K 238.2K -287 0.01 90.66 N/A N/A 345 4 444 500 2015-09-11 $6.12 $7.50 43.0% 12.3% 39.4% 20.1% 40.9% 2.7% -15.0% -971 246.5K -234 0.04 109.04 N/A N/A 345 13 444 504 2015-09-14 $6.02 $7.50 48.1% 13.8% 40.0% 24.3% 38.4% 10.6% -18.6% -760 245.7K -200 0.04 101.65 N/A N/A 345 13 444 513 2015-09-15 $6.12 $7.50 45.6% 13.1% 40.1% 22.3% 0.0% 1.3% -22.4% -920 247.9K -203 0.00 92.48 N/A N/A 0 0 444 513 2015-09-16 $6.14 $7.50 53.5% 15.3% 39.9% 28.8% 51.5% 4.2% -19.8% -1.5K 236.0K -276 0.04 110.35 N/A N/A 345 13 444 513 2015-09-17 $6.10 $7.50 50.5% 14.5% 39.7% 26.3% 43.1% 5.3% -24.6% -1.1K 243.8K -220 0.04 102.55 N/A N/A 345 13 444 513 2015-09-18 $5.86 $7.50 43.0% 12.3% 41.0% 20.0% 49.2% -10.4% -2.6% 428 245.3K -176 0.13 93.21 N/A N/A 345 44 444 513 2015-09-21 $5.84 $7.50 43.0% 12.3% 40.8% 20.0% 53.3% -16.2% -15.1% 618 265.9K -142 0.12 93.01 N/A N/A 345 42 444 542 2015-09-22 $5.73 $7.50 38.9% 11.1% 41.0% 16.7% 47.3% -15.4% -14.1% 978 265.6K -108 0.12 78.61 N/A N/A 345 42 444 542 2015-09-23 $5.83 $7.50 48.3% 13.8% 41.4% 24.4% 58.1% -16.8% -20.4% 415 267.8K -131 0.13 102.62 N/A N/A 345 45 444 545 2015-09-24 $5.86 $7.50 57.2% 16.4% 40.9% 31.8% 59.5% -0.8% -20.4% -162 262.8K -178 0.13 111.12 N/A N/A 345 45 444 545 2015-09-25 $5.89 $7.50 57.5% 16.5% 40.9% 32.1% 60.3% 1.7% -16.7% -297 267.8K -136 0.13 110.66 N/A N/A 345 45 444 545 2015-09-28 $5.84 $7.50 57.6% 16.5% 40.5% 32.2% 64.7% -14.0% -22.0% 261 266.1K -151 0.13 110.09 N/A N/A 345 45 444 545 2015-09-29 $5.76 $7.50 61.9% 17.7% 40.8% 35.8% 65.8% -4.3% -17.8% 331 263.6K -142 0.13 110.80 N/A N/A 345 45 444 545 2015-09-30 $5.80 $7.50 65.8% 18.9% 40.4% 39.0% 69.4% -3.6% -23.8% -29 269.5K -94 0.13 110.98 N/A N/A 345 45 444 545
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