HLIT Options History — December 2015 In December 2015, HLIT traded between $4.08 and $5.62. ATM implied volatility averaged 56.7%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 3.3% (HV 20d: 53.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 6.08.
Notable Days 2015-12-16 : Highest Volume — 839 contracts2015-12-08 : Largest IV spike — 117.9% change2015-12-31 : Highest IV Rank — 82.0%2015-12-31 : Largest Expected Move — 32.2%Monthly Statistics Metric Avg Min Max Open Close Price $4.52 $4.08 $5.62 $5.62 $4.08 Max Pain $5.23 $5.00 $7.50 $7.50 $5.00 ATM IV 56.7% 35.2% 112.5% 43.9% 112.5% Expected Move 15.4% 8.3% 32.2% 12.6% 32.2% HV 20d 53.4% 31.0% 61.6% 32.9% 58.2% HV 60d 44.8% 34.8% 47.4% 39.4% 46.0% IV Rank 33.1% 14.3% 82.0% 22.0% 82.0% IV Percentile 72.5% 35.3% 99.2% 62.3% 99.2% Term Structure -6.9% -41.0% 8.4% -13.8% -41.0% VWIV 54.5% 29.7% 107.0% 29.7% 107.0% Skew 25d 31.4% -17.9% 85.4% -11.7% 85.4% Skew 10d 33.9% -17.3% 75.8% -17.3% 75.8% Call IV 25d 47.5% 37.2% 60.5% 44.4% 44.7% Put IV 25d 78.9% 26.8% 130.1% 32.7% 130.1% Bid-Ask Spread % 89.07 22.26 125.29 32.08 122.20 Gamma HHI 0.68 0.49 0.95 0.83 0.70 Net GEX -197 -730 849 254 -541 Net DEX 44.5K -9.5K 115.6K -417 23.7K Net VEX -203 -352 -19 -19 -352 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.08 0.22 13.30 1.52 0.35 Total Volume 434.455 0 839 0 50 Total OI 635.091 240 1,030 240 721
Daily Data (22 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 2015-12-01 $5.62 $7.50 43.9% 12.6% 32.9% 22.0% 0.0% -11.7% -13.8% 254 -417 -19 0.00 32.08 N/A N/A 0 0 208 32 2015-12-02 $5.46 $7.50 40.2% 11.5% 31.7% 18.7% 0.0% -17.9% -3.1% 283 1.1K -26 1.52 26.88 N/A N/A 21 32 208 32 2015-12-03 $5.43 $5.00 46.0% 8.3% 31.0% 23.8% 29.7% 0.0% 6.6% 294 463 -23 1.52 105.31 N/A N/A 21 32 208 32 2015-12-04 $5.35 $5.00 42.9% 10.5% 31.2% 21.1% 39.5% -11.8% -10.4% 284 1.7K -26 1.52 102.40 N/A N/A 21 32 208 32 2015-12-07 $5.25 $5.00 39.8% 10.4% 31.1% 18.3% 0.0% 13.7% 3.2% 309 2.2K -25 0.22 90.03 N/A N/A 90 20 208 32 2015-12-08 $4.50 $5.00 86.7% 13.3% 61.2% 59.4% 46.5% 18.2% -6.7% 849 -9.5K -50 2.09 29.75 N/A N/A 111 232 298 32 2015-12-09 $4.35 $5.00 38.2% 10.9% 61.6% 16.9% 36.9% 49.6% 6.7% -730 69.1K -75 2.09 91.94 N/A N/A 111 232 298 232 2015-12-10 $4.30 $5.00 35.2% 10.1% 61.5% 14.3% 35.2% 43.0% 8.4% 150 93.2K -21 2.09 102.09 N/A N/A 111 232 298 232 2015-12-11 $4.25 $5.00 50.4% 14.5% 60.8% 27.7% 51.4% 35.1% -12.2% 164 91.2K -23 6.41 112.48 N/A N/A 111 712 298 232 2015-12-14 $4.20 $5.00 46.3% 13.3% 59.2% 24.0% 45.0% 48.4% 3.3% -618 114.5K -306 6.41 103.23 N/A N/A 111 712 298 712 2015-12-15 $4.34 $5.00 41.4% 11.9% 60.9% 19.8% 40.2% 31.2% 3.9% -589 115.6K -278 6.41 51.73 N/A N/A 111 712 298 712 2015-12-16 $4.30 $5.00 52.6% 15.1% 60.7% 29.5% 53.4% 31.7% 1.2% -487 111.1K -286 5.61 112.50 N/A N/A 127 712 298 712 2015-12-17 $4.21 $5.00 42.9% 12.3% 59.8% 21.1% 42.8% 22.0% 0.5% -446 112.0K -323 5.61 22.26 N/A N/A 127 712 318 712 2015-12-18 $4.25 $5.00 56.4% 16.2% 60.2% 32.9% 57.3% 39.1% -18.7% -490 113.1K -318 5.61 102.54 N/A N/A 127 712 318 712 2015-12-21 $4.24 $5.00 53.3% 15.3% 59.4% 30.2% 52.8% 51.0% -6.4% -560 17.0K -306 13.30 102.19 N/A N/A 37 492 228 492 2015-12-22 $4.23 $5.00 47.4% 13.6% 58.6% 25.0% 45.2% 0.0% 6.8% -461 22.5K -341 13.30 104.16 N/A N/A 37 492 228 492 2015-12-23 $4.20 $5.00 63.3% 18.1% 58.6% 38.9% 57.9% 75.6% 6.2% -425 22.4K -344 13.30 107.33 N/A N/A 37 492 228 492 2015-12-24 $4.31 $5.00 51.2% 14.7% 59.2% 28.4% 47.8% 85.4% -9.6% -489 19.7K -310 13.30 96.27 N/A N/A 37 492 228 492 2015-12-28 $4.18 $5.00 71.1% 20.4% 59.0% 45.8% 65.1% 0.0% -14.4% -415 20.1K -334 13.30 97.40 N/A N/A 37 492 228 492 2015-12-29 $4.20 $5.00 89.5% 25.7% 59.4% 61.9% 87.9% 0.0% -29.6% -315 18.7K -337 13.30 119.54 N/A N/A 37 492 228 492 2015-12-30 $4.16 $5.00 95.2% 27.3% 58.4% 66.9% 93.7% 0.0% -32.5% -364 20.5K -343 0.35 125.29 N/A N/A 37 13 228 493 2015-12-31 $4.08 $5.00 112.5% 32.2% 58.2% 82.0% 107.0% 0.0% -41.0% -541 23.7K -352 0.35 122.20 N/A N/A 37 13 228 493
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