HUN Options History — March 2007

In March 2007, HUN traded between $1.88 and $2.00. ATM implied volatility averaged 26.5%. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.6% (HV 20d: 31.1%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2007-03-21: Highest Volume — 17,430 contracts
  • 2007-03-12: Largest IV spike — 32.9% change
  • 2007-03-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.93$1.88$2.00$2.00$1.91
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV26.5%21.2%33.4%30.6%24.4%
Expected Move7.4%6.1%8.9%8.8%7.0%
HV 20d31.1%25.8%34.0%27.5%25.8%
HV 60d25.3%24.8%25.8%25.5%24.8%
Term Structure2.0%-2.1%7.7%-1.9%4.0%
VWIV26.3%21.1%31.2%30.6%28.9%
Bid-Ask Spread %19.807.3134.429.1221.29
Gamma HHI0.570.350.800.750.44
Net GEX339.2K99.8K720.1K606.0K194.7K
Net DEX-2.5M-6.1M790.2K-6.1M-2.6M
Net VEX-44.3K-53.4K-38.3K-45.5K-44.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.007.152.360.27
Total Volume3,785.909017,4302,420660
Total OI164,461.364126,680190,730164,130150,800

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$2.00$2.0030.6%8.8%27.5%0.0%30.6%0.0%-1.9%606.0K-6.1M-45.5K2.369.12N/AN/A7201,700115,05049,080
2007-03-02$1.94$2.0031.2%8.9%29.1%0.0%31.2%0.0%-2.1%492.2K-2.8M-43.4K2.6923.60N/AN/A1,5404,150115,57050,260
2007-03-05$1.90$2.0031.7%8.6%29.8%0.0%0.0%0.0%-0.5%357.3K-132.8K-40.2K0.2630.43N/AN/A11,0402,900116,04054,060
2007-03-06$1.96$2.0029.8%8.3%32.2%0.0%29.0%0.0%-0.7%651.6K-4.1M-53.4K0.2134.34N/AN/A5,9201,250134,53056,200
2007-03-07$1.93$2.0030.6%8.1%32.4%0.0%0.0%0.0%0.5%532.4K-1.8M-46.4K1.0032.37N/AN/A400400127,84056,480
2007-03-08$1.96$2.0027.7%7.9%32.9%0.0%0.0%0.0%-0.1%710.9K-3.3M-48.1K1.4934.42N/AN/A1,2301,830128,34056,880
2007-03-09$1.95$2.0025.2%7.7%32.8%0.0%24.0%0.0%0.5%720.1K-2.7M-47.0K0.7621.55N/AN/A820620129,41056,880
2007-03-12$1.93$2.0033.4%7.5%32.9%0.0%26.1%0.0%1.2%593.3K-1.6M-44.0K0.1022.97N/AN/A4,830470129,74057,360
2007-03-13$1.88$2.0024.7%7.4%33.8%0.0%25.8%0.0%1.6%156.7K790.2K-40.2K0.6722.41N/AN/A700470131,41057,510
2007-03-14$1.89$2.0027.9%7.5%34.0%0.0%0.0%0.0%-0.1%200.2K-24.0K-39.7K7.1520.55N/AN/A4002,860131,40053,670
2007-03-15$1.92$2.0026.3%7.5%33.1%0.0%0.0%0.0%0.7%298.6K-1.0M-40.3K0.0029.73N/AN/A2,3000132,03053,180
2007-03-16$1.92$2.0024.8%7.1%32.8%0.0%26.6%0.0%2.0%295.3K-911.4K-40.7K0.1120.85N/AN/A930100132,71053,170
2007-03-19$1.89$2.0023.3%6.7%33.0%0.0%0.0%0.0%2.1%99.8K-1.1M-38.3K1.0824.03N/AN/A3,0103,26078,41048,270
2007-03-20$1.92$2.0024.5%7.0%33.5%0.0%24.4%0.0%2.6%119.9K-2.0M-41.4K0.0312.45N/AN/A3,54010080,81050,840
2007-03-21$1.97$2.0021.2%6.1%30.5%0.0%21.2%0.0%7.7%167.9K-3.5M-43.6K0.137.31N/AN/A15,4501,98083,11050,890
2007-03-22$1.97$2.0023.2%6.6%30.3%0.0%0.0%0.0%5.5%225.4K-4.7M-47.9K0.558.75N/AN/A55030094,14052,180
2007-03-23$1.94$2.0023.7%6.8%30.5%0.0%21.1%0.0%5.3%202.3K-3.6M-46.5K0.2213.97N/AN/A2,10046094,49052,280
2007-03-26$1.96$2.0023.5%6.7%31.2%0.0%0.0%0.0%5.4%228.8K-5.1M-47.2K0.209.62N/AN/A2,30045096,30052,430
2007-03-27$1.92$2.0024.6%7.1%28.6%0.0%28.9%0.0%4.4%211.6K-3.6M-46.2K0.0311.05N/AN/A1,0103098,60052,730
2007-03-28$1.90$2.0025.3%7.3%28.6%0.0%0.0%0.0%3.0%197.0K-2.8M-45.1K1.5512.36N/AN/A20031098,75052,700
2007-03-29$1.91$2.0025.0%7.2%27.9%0.0%0.0%0.0%2.9%199.4K-2.9M-45.6K0.0012.46N/AN/A0098,93052,690
2007-03-30$1.91$2.0024.4%7.0%25.8%0.0%0.0%0.0%4.0%194.7K-2.6M-44.1K0.2721.29N/AN/A52014098,22052,580