HUN Options History — January 2007

In January 2007, HUN traded between $1.95 and $2.11. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 9.6% (HV 20d: 16.6%). Max pain ranged from $1.75 to $1.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 28.44.

Notable Days

  • 2007-01-03: Highest Volume — 53,660 contracts
  • 2007-01-11: Largest IV spike — 17.9% change
  • 2007-01-22: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.04$1.95$2.11$1.95$2.09
Max Pain$1.75$1.75$1.75$1.75$1.75
ATM IV26.2%21.9%29.4%25.7%27.3%
Expected Move7.7%7.2%8.4%7.4%7.8%
HV 20d16.6%15.5%18.2%16.0%18.2%
Term Structure0.7%-1.3%3.8%0.7%0.7%
VWIV28.3%23.0%43.5%25.7%27.3%
Bid-Ask Spread %23.2011.3735.1216.4131.35
Gamma HHI0.870.760.970.930.78
Net GEX1.1M633.5K1.5M633.5K1.0M
Net DEX-19.5M-28.6M-9.7M-9.7M-21.8M
Net VEX-34.8K-41.5K-29.2K-29.2K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.440.00550.000.000.00
Total Volume10,20845053,66053,660750
Total OI196,966137,920235,430137,920204,770

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$1.95$1.7525.7%7.4%0.0%0.0%25.7%0.0%0.7%633.5K-9.7M-29.2K0.0016.41N/AN/A53,44022099,37038,550
2007-01-04$1.96$1.7525.3%7.3%0.0%0.0%25.3%0.0%0.6%1.1M-13.0M-38.8K0.0316.12N/AN/A3,500100140,11038,560
2007-01-05$1.96$1.7523.4%7.4%0.0%0.0%28.9%0.0%1.6%1.2M-13.6M-38.7K11.7611.37N/AN/A85010,000141,20038,660
2007-01-08$1.99$1.7523.3%7.6%0.0%0.0%27.2%0.0%1.0%1.3M-15.2M-41.2K0.0326.28N/AN/A20,860660142,81048,660
2007-01-09$2.02$1.7521.9%7.8%0.0%0.0%29.8%0.0%-0.0%1.4M-17.8M-41.5K0.3525.69N/AN/A5,1501,800153,88049,100
2007-01-10$2.00$1.7522.7%7.6%0.0%0.0%26.6%0.0%0.7%1.5M-16.2M-40.7K0.0035.12N/AN/A2,4800153,64047,970
2007-01-11$2.04$1.7526.7%7.7%0.0%0.0%26.7%0.0%1.1%1.4M-20.1M-37.7K550.0022.12N/AN/A105,500151,61047,970
2007-01-12$2.07$1.7525.8%7.4%0.0%0.0%23.0%0.0%2.8%949.9K-23.6M-31.6K3.4020.88N/AN/A1,1703,980151,61045,900
2007-01-16$2.04$1.7525.8%7.4%0.0%0.0%29.1%0.0%1.5%1.5M-20.0M-33.8K0.0024.63N/AN/A7200151,98049,570
2007-01-17$2.04$1.7526.3%7.5%0.0%0.0%33.8%0.0%0.6%1.5M-20.7M-32.7K0.0024.63N/AN/A4500151,95049,570
2007-01-18$2.05$1.7525.2%7.2%0.0%0.0%23.1%0.0%1.5%1.5M-20.8M-31.3K0.0425.64N/AN/A37,9101,460152,22049,570
2007-01-19$2.08$1.7528.0%8.0%0.0%0.0%27.5%0.0%-0.6%942.0K-28.6M-35.2K0.0120.99N/AN/A13,010150184,84050,590
2007-01-22$2.08$1.7529.4%8.4%0.0%0.0%28.9%0.0%-0.2%940.9K-20.5M-35.5K0.0021.29N/AN/A3,66010149,46048,130
2007-01-23$2.08$1.7528.1%8.1%0.0%0.0%28.1%0.0%0.3%1.0M-20.5M-34.9K0.1023.21N/AN/A4,280410151,21048,130
2007-01-24$2.10$1.7528.9%8.3%0.0%0.0%27.5%0.0%-0.6%969.2K-22.6M-33.5K0.0326.25N/AN/A2,34070154,43048,360
2007-01-25$2.09$1.7528.7%8.2%16.0%0.0%28.6%0.0%0.1%959.6K-21.5M-34.0K0.0124.81N/AN/A18,570120151,42048,370
2007-01-26$2.11$1.7525.5%7.3%15.5%0.0%27.5%0.0%3.8%934.3K-23.0M-30.3K0.2026.30N/AN/A2,220440151,44048,490
2007-01-29$2.09$1.7529.4%8.4%15.9%0.0%43.5%0.0%-1.3%1.0M-21.6M-31.5K1.6128.51N/AN/A6201,000153,49048,920
2007-01-30$2.05$1.7527.3%7.8%17.6%0.0%27.1%0.0%0.2%1.2M-19.4M-32.3K1.2212.37N/AN/A2,8203,430154,09048,720
2007-01-31$2.09$1.7527.3%7.8%18.2%0.0%27.3%0.0%0.7%1.0M-21.8M-31.1K0.0031.35N/AN/A7500153,35051,420