HLIT Options History — September 2016

In September 2016, HLIT traded between $4.43 and $5.95. ATM implied volatility averaged 58.6%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 5.6% (HV 20d: 64.2%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-09-06: Highest Volume — 2,089 contracts
  • 2016-09-14: Largest IV drop — 56.7% change
  • 2016-09-13: Highest IV Rank — 39.5%
  • 2016-09-02: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.95$4.43$5.95$4.43$5.95
Max Pain$4.64$2.50$5.00$2.50$5.00
ATM IV58.6%31.3%107.0%61.9%31.3%
Expected Move14.7%9.0%19.0%17.7%9.0%
HV 20d64.2%52.7%95.6%60.1%95.5%
HV 60d60.8%55.4%69.3%57.1%68.9%
IV Rank14.3%0.0%39.5%16.0%0.0%
IV Percentile29.3%0.4%84.9%34.5%0.4%
Term Structure7.2%-11.7%32.2%-11.7%32.2%
VWIV55.2%31.2%131.1%131.1%31.2%
Skew 25d7.4%7.2%7.6%7.6%7.2%
Skew 10d10.5%9.0%12.1%12.1%9.0%
Call IV 25d57.3%54.5%60.1%54.5%60.1%
Put IV 25d64.7%62.1%67.3%62.1%67.3%
Bid-Ask Spread %81.4239.47115.84115.6764.56
Gamma HHI0.620.371.000.970.37
Net GEX3.3K2.1K6.8K2.1K2.8K
Net DEX-687.7K-1.2M-63.3K-63.3K-1.2M
Net VEX-1.1K-1.6K-206-206-922
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.053.840.290.35
Total Volume354.095622,08962358
Total OI2,223.6673902,6703902,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$4.43$2.5061.9%17.7%60.1%16.0%131.1%0.0%-11.7%2.1K-63.3K-2060.29115.67N/AN/A481436624
2016-09-02$5.05$2.5066.2%19.0%72.5%18.3%66.8%0.0%-11.2%3.0K-112.8K-2490.05110.60N/AN/A3951936624
2016-09-06$5.04$2.5054.8%14.3%72.9%12.3%49.7%0.0%6.4%5.6K-152.2K-3700.0539.47N/AN/A1,9929755936
2016-09-07$5.13$5.0066.5%15.2%72.8%18.4%53.1%0.0%7.9%6.3K-735.3K-1.2K0.2965.73N/AN/A3501011,815117
2016-09-08$5.05$5.0074.3%14.6%52.7%22.5%50.9%0.0%17.4%6.5K-813.9K-1.3K0.8189.64N/AN/A1241012,036121
2016-09-09$4.87$5.0063.8%12.7%54.9%17.0%44.5%0.0%16.7%6.8K-783.3K-1.2K1.8640.91N/AN/A1773302,061121
2016-09-12$4.94$5.0091.9%15.6%54.7%31.7%54.6%0.0%8.4%3.3K-740.1K-1.5K2.4495.20N/AN/A1353302,143429
2016-09-13$4.83$5.00107.0%14.3%55.8%39.5%49.6%0.0%3.0%3.2K-741.4K-1.4K3.84103.76N/AN/A863302,171429
2016-09-14$4.67$5.0046.3%13.3%56.8%7.9%50.3%0.0%8.2%3.2K-688.5K-1.3K0.6053.91N/AN/A80482,178429
2016-09-15$4.74$5.0057.2%16.4%56.9%13.6%57.9%0.0%0.3%2.8K-694.7K-1.5K0.4974.37N/AN/A100492,180445
2016-09-16$4.65$5.0047.4%13.6%57.6%8.5%50.2%0.0%6.7%2.5K-664.6K-1.4K0.4265.72N/AN/A118492,163444
2016-09-19$4.67$5.0050.9%14.6%57.1%10.3%55.3%0.0%5.2%2.5K-682.3K-1.3K0.44113.93N/AN/A103452,100440
2016-09-20$4.67$5.0057.1%16.4%57.1%13.5%58.4%7.6%-0.9%2.5K-677.0K-1.3K0.5242.19N/AN/A87452,135440
2016-09-21$4.72$5.0055.1%15.8%57.1%12.5%58.9%0.0%-0.1%2.8K-678.3K-1.6K0.66115.84N/AN/A68452,147440
2016-09-22$4.80$5.0041.5%11.9%57.0%5.4%43.4%0.0%11.5%2.6K-703.0K-1.4K0.6694.86N/AN/A68452,148440
2016-09-23$4.70$5.0047.9%13.7%55.0%8.7%51.1%7.2%3.1%2.1K-707.1K-1.0K0.67106.55N/AN/A82552,148440
2016-09-26$4.62$5.0053.3%15.3%55.5%11.5%57.8%0.0%-0.4%2.5K-683.3K-1.2K0.70107.73N/AN/A79552,161450
2016-09-27$4.66$5.0054.4%15.6%54.7%12.1%58.8%0.0%2.9%2.3K-701.2K-1.1K0.6461.94N/AN/A86552,160454
2016-09-28$5.83$5.0066.1%19.0%95.5%18.2%44.7%0.0%23.9%2.1K-1.1M-9720.1755.09N/AN/A507842,160454
2016-09-29$5.87$5.0035.1%10.1%95.6%2.0%41.3%0.0%21.3%2.6K-1.1M-9100.2392.22N/AN/A404922,167486
2016-09-30$5.95$5.0031.3%9.0%95.5%0.0%31.2%0.0%32.2%2.8K-1.2M-9220.3564.56N/AN/A266922,184486