HLIT Options History — March 2016

In March 2016, HLIT traded between $2.97 and $3.45. ATM implied volatility averaged 93.9%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 27.6% (HV 20d: 66.3%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.41.

Notable Days

2016-03-16: Highest Volume — 138 contracts
2016-03-16: Largest IV spike — 39.8% change
2016-03-08: Highest IV Rank — 56.8%
2016-03-30: Largest Expected Move — 33.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.23	$2.97	$3.45	$3.37	$3.26
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	93.9%	67.3%	119.2%	95.5%	97.3%
Expected Move	24.8%	17.8%	33.5%	27.4%	27.9%
HV 20d	66.3%	44.4%	76.5%	76.5%	44.4%
HV 60d	58.2%	55.0%	63.0%	62.4%	58.1%
IV Rank	42.5%	27.4%	56.8%	43.4%	44.5%
IV Percentile	87.9%	73.0%	96.8%	92.9%	90.1%
Term Structure	-27.5%	-52.6%	13.9%	-36.1%	-45.8%
VWIV	88.0%	49.6%	127.9%	112.8%	81.7%
Bid-Ask Spread %	86.18	27.28	117.52	98.74	84.01
Gamma HHI	0.78	0.52	0.96	0.76	0.74
Net GEX	-944	-2.0K	93	-852	-890
Net DEX	6.1K	-29.2K	20.9K	500	707
Net VEX	-299	-370	-25	-295	-265
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.33	0.52	0.41	0.37
Total Volume	118.682	99	138	116	126
Total OI	790.409	767	825	767	809

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
2016-03-01	$3.37	$2.50	95.5%	27.4%	76.5%	43.4%	112.8%	0.0%	-36.1%	-852	500	-295	0.41	98.74	N/A	N/A	82	34	230	537
2016-03-02	$3.45	$2.50	104.7%	30.0%	73.4%	48.7%	125.4%	0.0%	-49.8%	-1.0K	-5.6K	-240	0.41	99.88	N/A	N/A	82	34	230	537
2016-03-03	$3.39	$2.50	106.6%	21.6%	73.1%	49.7%	74.5%	0.0%	-26.3%	-892	-3.7K	-263	0.41	99.01	N/A	N/A	82	34	230	537
2016-03-04	$3.26	$2.50	100.7%	17.8%	74.1%	46.4%	49.6%	0.0%	-28.5%	-782	2.9K	-339	0.35	27.28	N/A	N/A	97	34	230	537
2016-03-07	$3.26	$2.50	113.6%	18.6%	70.8%	53.7%	59.0%	0.0%	-24.8%	-1.0K	-717	-287	0.35	60.82	N/A	N/A	98	34	245	537
2016-03-08	$3.18	$2.50	119.2%	22.4%	71.3%	56.8%	79.6%	0.0%	-2.1%	-1.1K	7.6K	-337	0.34	116.00	N/A	N/A	99	34	246	537
2016-03-09	$3.27	$2.50	83.0%	23.8%	72.0%	36.3%	84.3%	0.0%	-12.5%	-1.0K	1.1K	-312	0.34	83.84	N/A	N/A	99	34	247	537
2016-03-10	$3.17	$2.50	76.2%	21.8%	72.9%	32.5%	80.9%	0.0%	-19.3%	-1.0K	-581	-282	0.52	81.29	N/A	N/A	65	34	247	537
2016-03-11	$3.27	$2.50	85.5%	24.5%	73.7%	37.8%	86.6%	0.0%	-37.0%	-1.3K	-3.4K	-252	0.52	84.26	N/A	N/A	65	34	248	537
2016-03-14	$3.16	$2.50	67.8%	19.4%	74.7%	27.7%	61.2%	0.0%	-31.5%	-1.1K	-1.1K	-275	0.52	55.54	N/A	N/A	65	34	248	537
2016-03-15	$2.97	$2.50	67.3%	19.3%	76.1%	27.4%	81.0%	0.0%	13.9%	-1.4K	16.9K	-323	0.52	60.88	N/A	N/A	65	34	248	537
2016-03-16	$3.03	$2.50	94.1%	27.0%	73.9%	42.6%	113.7%	0.0%	-10.7%	-2.0K	8.9K	-282	0.33	109.36	N/A	N/A	104	34	248	537
2016-03-17	$3.11	$2.50	78.6%	22.5%	70.1%	33.9%	86.4%	0.0%	-12.5%	93	-29.2K	-25	0.33	80.19	N/A	N/A	104	34	288	537
2016-03-18	$3.23	$2.50	92.8%	26.6%	71.1%	41.9%	95.1%	0.0%	-31.2%	-727	14.9K	-370	0.33	100.90	N/A	N/A	104	34	288	537
2016-03-21	$3.29	$2.50	94.6%	27.1%	66.4%	42.9%	101.9%	0.0%	-17.4%	-770	17.2K	-355	0.44	100.86	N/A	N/A	78	34	262	537
2016-03-22	$3.24	$2.50	104.9%	30.1%	61.0%	48.8%	103.8%	0.0%	-51.5%	-781	20.5K	-363	0.44	117.52	N/A	N/A	78	34	262	537
2016-03-23	$3.20	$2.50	98.7%	28.3%	58.5%	45.3%	103.1%	0.0%	-21.7%	-697	20.7K	-370	0.44	101.30	N/A	N/A	78	34	262	537
2016-03-24	$3.22	$2.50	82.9%	23.8%	58.1%	36.3%	66.7%	0.0%	-52.6%	-661	20.9K	-370	0.44	86.56	N/A	N/A	78	34	261	537
2016-03-28	$3.18	$2.50	95.0%	27.2%	55.9%	43.1%	83.6%	0.0%	-39.0%	-1.4K	9.1K	-267	0.44	83.24	N/A	N/A	78	34	261	537
2016-03-29	$3.29	$2.50	89.2%	25.6%	45.1%	39.9%	77.4%	0.0%	-30.6%	-707	20.3K	-355	0.44	61.66	N/A	N/A	78	34	261	537
2016-03-30	$3.31	$2.50	116.8%	33.5%	45.1%	55.5%	127.9%	0.0%	-38.1%	-658	17.2K	-349	0.37	102.70	N/A	N/A	92	34	261	537
2016-03-31	$3.26	$2.50	97.3%	27.9%	44.4%	44.5%	81.7%	0.0%	-45.8%	-890	707	-265	0.37	84.01	N/A	N/A	92	34	272	537