HLIT Options History — December 2016

In December 2016, HLIT traded between $4.75 and $5.40. ATM implied volatility averaged 57.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 10.3% (HV 20d: 68.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.61.

Notable Days

  • 2016-12-01: Highest Volume — 615 contracts
  • 2016-12-14: Largest IV drop — 45.8% change
  • 2016-12-13: Highest IV Rank — 28.1%
  • 2016-12-29: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.12$4.75$5.40$4.95$5.08
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV57.9%45.2%85.1%54.2%49.2%
Expected Move15.1%13.0%17.2%15.5%14.1%
HV 20d68.1%56.0%90.3%83.7%56.0%
HV 60d70.9%61.1%76.7%71.9%61.1%
IV Rank13.9%7.3%28.1%12.0%9.3%
IV Percentile23.1%3.2%60.7%18.7%7.9%
Term Structure2.6%-10.1%12.3%10.8%9.5%
VWIV55.3%47.3%65.5%65.5%47.3%
Bid-Ask Spread %83.9630.19116.3777.74111.43
Gamma HHI0.680.570.900.570.90
Net GEX5.6K2.9K6.3K5.8K6.3K
Net DEX-819.8K-1.1M-656.8K-731.4K-771.7K
Net VEX-1.6K-1.9K-594-1.9K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.498.000.490.52
Total Volume409.143234615615564
Total OI3,447.8573,3113,6183,3723,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$4.95$5.0054.2%15.5%83.7%12.0%65.5%0.0%10.8%5.8K-731.4K-1.9K0.4977.74N/AN/A4142012,577795
2016-12-02$4.85$5.0058.1%16.6%84.0%14.0%56.9%0.0%-10.1%5.7K-673.9K-1.9K0.67116.37N/AN/A3282202,577795
2016-12-05$4.75$5.0064.5%15.2%83.6%17.3%56.5%0.0%-0.4%5.2K-656.8K-1.8K4.4992.77N/AN/A492202,559815
2016-12-06$5.23$5.0071.0%14.4%90.1%20.7%50.8%0.0%6.3%5.6K-878.7K-1.7K2.3935.06N/AN/A872082,558815
2016-12-07$5.15$5.0050.2%14.5%90.3%9.9%51.2%0.0%2.1%5.9K-824.2K-1.7K2.6030.19N/AN/A802082,533825
2016-12-08$5.15$5.0066.0%15.2%88.1%18.1%53.8%0.0%3.2%5.5K-813.0K-1.8K7.7052.03N/AN/A272082,537835
2016-12-09$5.15$5.0056.9%14.1%70.1%13.4%49.7%0.0%9.1%5.7K-834.1K-1.8K8.0074.75N/AN/A262082,537825
2016-12-12$4.95$5.0080.6%16.6%65.4%25.7%60.9%0.0%-5.4%5.1K-738.2K-1.8K6.3150.14N/AN/A322022,537825
2016-12-13$5.20$5.0085.1%15.5%67.4%28.1%54.2%0.0%-2.0%6.0K-833.2K-1.6K5.0572.81N/AN/A402022,541825
2016-12-14$4.85$5.0046.2%13.2%64.1%7.8%48.8%0.0%8.6%5.6K-703.8K-1.8K3.4889.22N/AN/A582022,551825
2016-12-15$5.03$5.0049.7%14.2%61.4%9.6%49.7%0.0%8.1%6.3K-733.0K-1.7K5.4694.24N/AN/A372022,563825
2016-12-16$5.18$5.0054.0%15.5%60.0%11.9%54.4%0.0%3.9%5.9K-854.7K-1.6K3.4269.82N/AN/A592022,560825
2016-12-19$5.30$5.0051.7%14.8%57.5%10.6%59.1%0.0%0.5%5.6K-944.5K-1.4K0.5697.31N/AN/A3301842,514797
2016-12-20$5.40$5.0046.9%13.4%57.4%8.1%47.9%0.0%9.4%5.5K-968.2K-1.2K0.5697.15N/AN/A3301842,791797
2016-12-21$5.40$5.0045.2%13.0%57.5%7.3%0.0%0.0%12.3%2.9K-1.1M-5940.52109.69N/AN/A3511842,791797
2016-12-22$5.25$5.0055.5%15.9%58.8%12.6%57.4%0.0%-1.5%5.9K-862.1K-1.5K0.52108.84N/AN/A3511842,773797
2016-12-23$5.20$5.0051.9%14.9%59.0%10.8%54.2%0.0%8.4%6.1K-830.4K-1.5K0.53101.21N/AN/A3491842,773797
2016-12-27$5.20$5.0059.4%17.0%59.0%14.7%62.6%0.0%-6.1%5.9K-838.3K-1.4K0.5099.87N/AN/A3701842,774797
2016-12-28$5.15$5.0059.2%17.0%58.9%14.6%61.5%0.0%-2.8%5.9K-824.1K-1.4K0.4998.62N/AN/A3721842,769797
2016-12-29$5.05$5.0059.9%17.2%58.8%15.0%63.4%0.0%-8.3%6.0K-766.8K-1.4K0.5283.82N/AN/A3731942,766797
2016-12-30$5.08$5.0049.2%14.1%56.0%9.3%47.3%0.0%9.5%6.3K-771.7K-1.2K0.52111.43N/AN/A3701942,811807