HUN Options History — September 2007

In September 2007, HUN traded between $2.58 and $2.65. ATM implied volatility averaged 22.5%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.3% (HV 20d: 17.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 4.47.

Notable Days

  • 2007-09-04: Highest Volume — 104,010 contracts
  • 2007-09-05: Largest IV spike — 237.3% change
  • 2007-09-05: Highest IV Rank — 100.0%
  • 2007-09-05: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.61$2.58$2.65$2.58$2.65
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV22.5%16.1%64.8%19.2%21.9%
Expected Move6.7%4.6%18.6%5.5%6.3%
HV 20d17.2%10.0%24.4%24.3%10.3%
HV 60d48.7%20.0%60.0%60.0%20.0%
IV Rank25.6%14.1%100.0%23.1%24.3%
IV Percentile28.6%9.4%100.0%23.2%31.7%
Term Structure1.6%-81.8%13.0%8.5%7.2%
VWIV23.6%18.5%34.1%21.8%24.6%
Skew 25d12.9%9.5%17.5%14.8%12.2%
Skew 10d25.2%20.4%30.7%29.1%24.0%
Call IV 25d16.7%13.7%18.9%16.8%15.1%
Put IV 25d29.6%26.7%32.2%31.6%27.3%
Bid-Ask Spread %65.8135.55119.9441.5650.16
Gamma HHI0.370.320.410.340.39
Net GEX-71.9K-148.6K-25.9K-25.9K-63.7K
Net DEX-33.9M-43.1M-22.1M-22.1M-42.4M
Net VEX-171.3K-201.9K-116.9K-161.9K-124.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.3816.821.051.50
Total Volume8,682.632220104,010104,010250
Total OI533,737.368414,260546,980414,260544,670

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$2.58$2.5019.2%5.5%24.3%23.1%21.8%14.8%8.5%-25.9K-22.1M-161.9K1.0541.56N/AN/A50,74053,270192,340221,920
2007-09-05$2.58$2.5064.8%18.6%24.3%100.0%23.2%17.5%-81.8%-57.7K-26.8M-197.4K0.9253.33N/AN/A15,15013,900242,350273,490
2007-09-06$2.60$2.5016.1%4.6%24.3%14.1%0.0%13.3%7.7%-47.5K-29.1M-201.9K5.4058.71N/AN/A2501,350252,060283,960
2007-09-07$2.60$2.5021.8%7.5%24.4%24.1%34.1%14.3%0.1%-79.6K-31.7M-189.4K3.7035.55N/AN/A9303,440252,310285,310
2007-09-10$2.60$2.5017.4%7.0%22.6%16.4%24.2%16.5%0.8%-45.7K-29.4M-198.4K8.3368.65N/AN/A30250253,190286,830
2007-09-11$2.62$2.5018.4%5.9%22.3%18.1%0.0%12.4%8.7%-71.5K-34.0M-174.9K3.7774.12N/AN/A3001,130253,220285,330
2007-09-12$2.61$2.5016.6%5.9%20.5%14.9%19.8%14.0%9.0%-58.8K-31.2M-194.5K2.6684.40N/AN/A3801,010253,260286,280
2007-09-13$2.61$2.5020.6%5.9%20.5%22.0%0.0%15.1%8.3%-55.5K-33.3M-188.2K1.2072.77N/AN/A100120253,460286,360
2007-09-14$2.61$2.5025.1%7.2%20.3%30.0%0.0%13.9%1.8%-115.5K-34.6M-172.7K7.1148.90N/AN/A3502,490253,560286,360
2007-09-17$2.60$2.5022.3%6.4%19.3%25.0%0.0%13.4%7.3%-67.2K-31.4M-191.6K2.0079.45N/AN/A420840253,910288,580
2007-09-18$2.63$2.5022.6%6.5%19.2%25.5%0.0%9.7%0.9%-50.4K-36.9M-166.0K2.61119.94N/AN/A310810254,290287,510
2007-09-19$2.63$2.5021.6%6.2%10.5%23.7%0.0%12.7%7.7%-91.7K-38.7M-154.4K0.6042.75N/AN/A4,1002,460254,270288,120
2007-09-20$2.64$2.5024.6%7.0%10.0%29.0%0.0%12.9%4.3%-148.6K-43.1M-116.9K5.3576.75N/AN/A2001,070254,320289,740
2007-09-21$2.60$2.5021.4%6.1%11.4%23.4%0.0%10.2%3.7%-47.3K-35.0M-170.1K16.8289.81N/AN/A1101,850254,320290,610
2007-09-24$2.62$2.5017.5%5.0%11.1%16.6%22.9%10.0%13.0%-85.3K-35.0M-163.6K13.8656.76N/AN/A2102,910253,300288,460
2007-09-25$2.61$2.5021.5%6.2%10.7%23.6%0.0%13.0%7.2%-108.9K-34.2M-168.9K0.3854.06N/AN/A1,500570253,500290,870
2007-09-26$2.62$2.5017.9%5.1%10.4%17.2%18.5%10.5%9.2%-92.5K-37.7M-155.7K3.1973.03N/AN/A3601,150255,000290,970
2007-09-27$2.64$2.5017.2%4.9%10.4%16.0%0.0%9.5%7.1%-52.6K-37.9M-163.0K4.5069.68N/AN/A120540255,160291,820
2007-09-28$2.65$2.5021.9%6.3%10.3%24.3%24.6%12.2%7.2%-63.7K-42.4M-124.8K1.5050.16N/AN/A100150255,260289,410