HLIT Options History — November 2015

In November 2015, HLIT traded between $5.16 and $5.99. ATM implied volatility averaged 45.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 11.7% (HV 20d: 34.1%). 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 4 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2015-11-03: Highest Volume — 62 contracts
2015-11-12: Largest IV drop — 57.8% change
2015-11-11: Highest IV Rank — 62.4%
2015-11-11: Largest Expected Move — 25.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.55	$5.16	$5.99	$5.80	$5.53
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	45.8%	31.2%	90.0%	52.6%	45.3%
Expected Move	11.8%	8.9%	25.8%	15.1%	13.0%
HV 20d	34.1%	28.2%	43.9%	42.2%	32.4%
HV 60d	38.6%	36.8%	39.5%	36.8%	39.4%
IV Rank	23.6%	10.8%	62.4%	29.6%	23.2%
IV Percentile	55.6%	15.9%	99.2%	82.1%	65.9%
Term Structure	-11.6%	-91.0%	1.9%	-26.2%	-16.1%
Skew 25d	4.7%	-16.0%	16.8%	8.4%	-16.0%
Skew 10d	21.5%	-3.7%	42.9%	15.3%	3.9%
Call IV 25d	34.8%	25.1%	46.3%	26.6%	46.3%
Put IV 25d	39.4%	25.9%	51.7%	35.0%	30.3%
Bid-Ask Spread %	70.00	17.09	152.27	103.34	29.37
Gamma HHI	0.70	0.50	0.85	0.58	0.81
Net GEX	308	238	533	321	267
Net DEX	-3.9K	-16.1K	4.8K	-14.5K	-20
Net VEX	-28	-47	-18	-30	-22
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.46	1.71	0.46	1.52
Total Volume	39.8	0	62	38	0
Total OI	235.6	220	248	224	240

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
2015-11-02	$5.80	$0.00	52.6%	15.1%	42.2%	29.6%	0.0%	8.4%	-26.2%	321	-14.5K	-30	0.46	103.34	N/A	N/A	26	12	212	12
2015-11-03	$5.99	$0.00	49.8%	14.3%	43.9%	27.1%	0.0%	9.4%	-13.6%	411	-16.1K	-30	1.38	20.56	N/A	N/A	26	36	212	12
2015-11-04	$5.86	$7.50	49.5%	14.2%	43.2%	26.9%	0.0%	6.9%	-18.2%	316	-1.3K	-31	1.38	21.30	N/A	N/A	26	36	212	36
2015-11-05	$5.84	$0.00	56.0%	10.1%	29.5%	32.5%	0.0%	1.5%	-8.8%	267	-1.1K	-24	1.38	24.15	N/A	N/A	26	36	212	36
2015-11-06	$5.90	$0.00	62.7%	12.2%	28.2%	38.4%	0.0%	0.0%	-12.4%	290	-15.6K	-22	0.00	114.26	N/A	N/A	0	0	212	12
2015-11-09	$5.78	$0.00	55.3%	10.3%	28.8%	31.9%	0.0%	-2.3%	-9.8%	238	-14.9K	-18	0.00	100.34	N/A	N/A	0	0	212	12
2015-11-10	$5.66	$0.00	72.4%	11.2%	29.5%	46.9%	0.0%	0.0%	-5.7%	295	-175	-27	1.38	113.85	N/A	N/A	26	36	212	36
2015-11-11	$5.63	$0.00	90.0%	25.8%	29.5%	62.4%	0.0%	0.0%	-91.0%	533	-1.2K	-47	1.38	152.27	N/A	N/A	26	36	212	36
2015-11-12	$5.42	$0.00	38.0%	10.9%	31.1%	16.8%	0.0%	12.4%	-5.0%	306	3.4K	-35	1.71	100.08	N/A	N/A	21	36	208	36
2015-11-13	$5.16	$0.00	39.5%	11.3%	34.8%	18.1%	0.0%	13.7%	-5.1%	284	4.8K	-31	1.71	118.92	N/A	N/A	21	36	208	36
2015-11-16	$5.19	$0.00	33.2%	9.5%	34.8%	12.6%	0.0%	3.9%	0.3%	285	-7.7K	-31	0.00	117.56	N/A	N/A	0	0	208	12
2015-11-17	$5.22	$0.00	32.9%	9.4%	35.0%	12.3%	0.0%	16.8%	-6.1%	284	4.7K	-30	1.71	75.55	N/A	N/A	21	36	208	36
2015-11-18	$5.32	$0.00	34.3%	9.8%	35.3%	13.6%	0.0%	9.5%	-0.2%	279	4.0K	-29	1.71	62.74	N/A	N/A	21	36	208	36
2015-11-19	$5.31	$0.00	35.1%	10.1%	34.7%	14.2%	0.0%	-0.4%	1.5%	288	4.2K	-28	1.71	64.45	N/A	N/A	21	36	208	36
2015-11-20	$5.40	$0.00	34.2%	9.8%	35.2%	13.5%	0.0%	3.6%	1.9%	286	3.7K	-28	1.71	63.83	N/A	N/A	21	36	208	36
2015-11-23	$5.49	$0.00	31.6%	9.1%	35.5%	11.2%	0.0%	0.0%	0.2%	306	-9.9K	-27	0.00	33.17	N/A	N/A	0	0	208	12
2015-11-24	$5.45	$0.00	35.9%	10.3%	33.2%	14.9%	0.0%	-2.2%	-8.6%	282	-9.8K	-27	0.00	35.68	N/A	N/A	0	0	208	12
2015-11-25	$5.55	$0.00	36.9%	10.6%	32.2%	15.8%	0.0%	0.0%	-5.4%	315	-10.6K	-24	1.52	31.52	N/A	N/A	21	32	208	12
2015-11-27	$5.59	$7.50	31.2%	8.9%	32.4%	10.8%	0.0%	0.0%	-3.3%	297	354	-23	1.52	17.09	N/A	N/A	21	32	208	32
2015-11-30	$5.53	$7.50	45.3%	13.0%	32.4%	23.2%	0.0%	-16.0%	-16.1%	267	-20	-22	0.00	29.37	N/A	N/A	0	0	208	32