HUN Options History — June 2007

In June 2007, HUN traded between $1.89 and $2.44. ATM implied volatility averaged 23.4%. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 10.5% (HV 20d: 33.9%). Max pain ranged from $1.75 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2007-06-26: Highest Volume — 118,090 contracts
  • 2007-06-26: Largest IV drop — 54.0% change
  • 2007-06-08: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.06$1.89$2.44$2.04$2.43
Max Pain$1.87$1.75$2.00$2.00$2.00
ATM IV23.4%8.1%32.0%23.8%10.5%
Expected Move6.7%2.3%8.8%6.8%3.0%
HV 20d33.9%15.5%91.3%15.6%91.2%
HV 60d27.1%20.0%54.6%20.6%54.3%
Term Structure2.8%-0.4%6.5%0.3%1.9%
VWIV24.7%11.8%32.2%23.8%13.9%
Skew 25d3.2%-1.7%5.8%3.8%-1.7%
Skew 10d5.3%-2.2%8.4%5.5%-2.2%
Call IV 25d24.7%13.1%29.1%25.2%14.6%
Put IV 25d27.9%12.9%32.8%29.0%12.9%
Bid-Ask Spread %31.7213.0558.3819.5132.99
Gamma HHI0.540.420.620.430.61
Net GEX613.6K255.3K882.9K363.3K653.0K
Net DEX-19.2M-54.5M-6.9M-10.7M-54.5M
Net VEX-91.7K-104.8K-52.8K-90.0K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.0023.120.020.11
Total Volume20,565.7141,950118,0904,66037,530
Total OI297,415.714229,130403,490242,810403,490

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$2.04$2.0023.8%6.8%15.6%0.0%23.8%3.8%0.3%363.3K-10.7M-90.0K0.0219.51N/AN/A4,58080160,60082,210
2007-06-04$2.04$1.7527.3%7.5%15.5%0.0%26.2%3.4%0.8%383.4K-11.4M-89.9K0.0734.68N/AN/A6,080440164,63082,210
2007-06-05$2.07$1.7528.6%8.1%15.9%0.0%28.0%3.8%2.4%405.7K-14.8M-92.7K0.0129.84N/AN/A54,610590169,83082,210
2007-06-06$2.01$1.7526.0%8.2%18.9%0.0%23.7%3.6%2.2%573.1K-14.3M-104.1K0.0134.99N/AN/A8,120110205,65082,130
2007-06-07$1.97$1.7529.1%8.8%20.4%0.0%30.5%3.2%2.1%523.7K-9.9M-100.1K0.0333.81N/AN/A11,170320203,22082,050
2007-06-08$1.99$1.7526.6%8.8%20.7%0.0%32.2%3.9%1.5%607.4K-12.5M-104.8K0.6832.30N/AN/A1,7301,180215,40081,770
2007-06-11$1.99$1.7526.4%8.0%20.6%0.0%27.9%3.3%2.4%677.8K-12.3M-68.3K0.3038.58N/AN/A10,0103,040185,37043,760
2007-06-12$1.96$1.7530.4%8.2%20.9%0.0%28.2%2.5%1.8%603.4K-8.7M-98.5K0.0040.46N/AN/A2,95010215,17083,800
2007-06-13$1.96$1.7532.0%8.0%20.9%0.0%26.5%3.0%1.4%629.5K-10.0M-98.7K0.1839.72N/AN/A2,950540215,02083,810
2007-06-14$1.99$1.7527.5%7.9%21.4%0.0%28.0%2.1%1.3%565.4K-12.8M-99.2K0.2839.38N/AN/A11,1403,130216,12083,860
2007-06-15$2.00$1.7527.1%7.8%21.4%0.0%27.0%3.2%3.0%255.3K-15.4M-102.1K0.0326.54N/AN/A34,6201,010219,21085,230
2007-06-18$2.00$1.7524.4%7.0%21.4%0.0%24.4%3.2%4.6%882.9K-14.9M-99.7K1.1327.19N/AN/A3,6304,110209,39067,310
2007-06-19$1.96$2.0023.3%6.7%22.5%0.0%23.3%2.8%4.2%830.3K-11.4M-96.2K23.1215.35N/AN/A2606,010206,93071,310
2007-06-20$1.93$2.0023.7%6.8%23.1%0.0%23.5%4.5%4.6%743.1K-8.4M-91.7K0.0815.24N/AN/A16,1601,300206,99074,720
2007-06-21$1.92$2.0024.8%7.1%23.0%0.0%24.9%3.4%6.1%733.9K-8.8M-98.3K0.0213.05N/AN/A7,550160218,17075,450
2007-06-22$1.92$2.0024.4%7.0%22.0%0.0%0.0%1.7%4.1%768.4K-8.3M-98.6K0.2416.16N/AN/A14,1503,390219,96075,450
2007-06-25$1.89$2.0024.4%7.0%22.2%0.0%30.7%2.9%6.5%704.5K-6.9M-99.6K0.2236.73N/AN/A1,600350230,63077,970
2007-06-26$2.42$2.0011.2%3.2%91.3%0.0%13.9%4.7%3.4%505.2K-50.2M-52.8K0.3958.38N/AN/A85,21032,880231,31078,090
2007-06-27$2.43$2.0011.9%3.4%91.3%0.0%11.8%3.8%-0.4%695.5K-52.1M-84.1K0.6632.90N/AN/A14,7809,690265,100108,400
2007-06-28$2.44$2.008.1%2.3%91.2%0.0%13.9%5.8%4.4%780.3K-54.5M-71.1K1.2248.33N/AN/A15,63019,080269,240112,560
2007-06-29$2.43$2.0010.5%3.0%91.2%0.0%0.0%-1.7%1.9%653.0K-54.5M-85.9K0.1132.99N/AN/A33,7103,820276,060127,430