HUN Options History — November 2007

In November 2007, HUN traded between $2.40 and $2.63. ATM implied volatility averaged 34.1%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 21.4% (HV 20d: 12.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.64.

Notable Days

  • 2007-11-16: Highest Volume — 65,910 contracts
  • 2007-11-15: Largest IV drop — 34.5% change
  • 2007-11-14: Highest IV Rank — 78.0%
  • 2007-11-23: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.54$2.40$2.63$2.63$2.54
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV34.1%22.1%52.3%32.3%22.1%
Expected Move8.7%6.3%10.5%9.3%6.3%
HV 20d12.7%6.3%20.1%9.7%20.1%
HV 60d13.6%10.6%15.7%15.7%13.7%
IV Rank45.8%24.6%78.0%42.7%24.6%
IV Percentile87.4%28.7%99.1%95.7%28.7%
Term Structure1.3%-7.3%11.1%-5.9%11.1%
VWIV34.1%22.1%45.8%33.9%22.1%
Skew 25d20.5%-2.1%33.5%10.8%21.7%
Skew 10d37.5%21.6%53.1%23.1%37.9%
Call IV 25d22.4%13.8%33.2%22.5%20.6%
Put IV 25d42.8%25.0%57.2%33.2%42.3%
Bid-Ask Spread %75.6430.26114.0756.0373.40
Gamma HHI0.430.330.560.340.44
Net GEX-392.8K-760.5K204.1K-188.2K-545.3K
Net DEX-18.6M-41.3M9.0M-41.2M-7.8M
Net VEX-140.1K-165.5K-112.2K-134.3K-135.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.640.3388.802.651.07
Total Volume10,138.09540065,9106,5403,370
Total OI534,340.476418,030623,260594,260428,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$2.63$2.5032.3%9.3%9.7%42.7%33.9%10.8%-5.9%-188.2K-41.2M-134.3K2.6556.03N/AN/A1,7904,750264,030330,230
2007-11-02$2.63$2.5036.1%10.4%8.9%49.4%0.0%11.8%-7.3%-195.5K-38.0M-142.8K1.0065.62N/AN/A300300265,730332,420
2007-11-05$2.61$2.5030.4%8.1%9.3%39.3%40.2%-2.1%-0.1%-218.8K-36.5M-134.7K4.6880.64N/AN/A1,8608,710265,840332,720
2007-11-06$2.63$2.5036.3%8.0%7.7%49.7%27.4%9.8%-0.1%-317.2K-41.3M-116.9K0.3675.09N/AN/A1,410510267,430341,320
2007-11-07$2.60$2.5027.1%8.8%6.3%33.4%0.0%19.5%-2.1%-318.4K-30.1M-145.5K6.9592.62N/AN/A6404,450268,840341,510
2007-11-08$2.62$2.5030.9%7.0%6.9%40.1%25.3%16.5%-0.4%-320.6K-39.5M-112.2K2.1791.96N/AN/A3,6707,950269,460340,970
2007-11-09$2.58$2.5040.7%7.5%8.0%57.6%0.0%9.2%2.8%-212.7K-33.8M-143.3K88.8091.08N/AN/A504,440272,870344,580
2007-11-12$2.59$2.5034.3%7.9%8.1%46.2%0.0%18.1%-0.5%-206.3K-40.2M-121.8K4.3568.87N/AN/A2301,000272,920341,680
2007-11-13$2.59$2.5044.7%6.9%8.0%64.5%33.0%14.8%1.3%-246.1K-39.2M-112.7K3.1577.97N/AN/A1,1503,620273,000342,500
2007-11-14$2.55$2.5052.3%8.5%9.1%78.0%41.4%19.7%0.6%-186.5K-29.1M-124.1K6.1293.83N/AN/A3,54021,670273,840342,590
2007-11-15$2.49$2.5034.3%9.8%11.7%46.1%34.7%29.8%1.8%-2.0K-15.3M-151.3K3.1277.18N/AN/A7,57023,650277,230345,100
2007-11-16$2.46$2.5035.5%10.2%12.5%48.4%42.2%28.1%1.5%204.1K-654.8K-150.0K26.2475.04N/AN/A2,42063,490274,170349,090
2007-11-19$2.40$2.5036.6%10.5%14.5%50.2%41.4%28.5%-1.3%-718.9K9.0M-156.3K1.7936.26N/AN/A5,65010,140137,230280,800
2007-11-20$2.41$2.5030.9%8.9%14.6%40.2%30.8%28.4%6.8%-711.8K6.9M-164.3K1.0930.26N/AN/A4,8205,250139,680289,050
2007-11-21$2.45$2.5032.8%9.4%16.5%43.6%39.0%29.1%2.1%-760.5K4.2M-161.1K0.3369.72N/AN/A300100143,400292,340
2007-11-23$2.48$2.5036.8%10.5%17.4%50.6%45.8%33.5%-0.3%-661.6K2.9M-165.5K0.6862.06N/AN/A280190143,400292,340
2007-11-26$2.52$2.5032.2%9.2%18.9%42.5%33.8%29.4%7.2%-658.6K-2.8M-149.3K2.46114.07N/AN/A2,9507,270143,580292,530
2007-11-27$2.54$2.5029.1%8.3%19.3%37.0%29.7%25.5%3.2%-725.0K-6.3M-139.6K2.1695.91N/AN/A6201,340146,010292,560
2007-11-28$2.55$2.5027.8%8.0%19.4%34.7%27.8%25.0%4.7%-625.9K-7.4M-141.9K0.4464.71N/AN/A500220149,150292,590
2007-11-29$2.52$2.5032.3%9.3%19.8%42.6%31.9%22.7%2.1%-632.3K-5.1M-139.0K0.8796.17N/AN/A390340149,120278,860
2007-11-30$2.54$2.5022.1%6.3%20.1%24.6%22.1%21.7%11.1%-545.3K-7.8M-135.2K1.0773.40N/AN/A1,6301,740149,250279,190