HUN Options History — December 2007

In December 2007, HUN traded between $2.45 and $2.57. ATM implied volatility averaged 37.4%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 18.5% (HV 20d: 18.9%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.57.

Notable Days

  • 2007-12-03: Highest Volume — 53,580 contracts
  • 2007-12-20: Largest IV drop — 11.4% change
  • 2007-12-03: Highest IV Rank — 66.7%
  • 2007-12-03: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.49$2.45$2.57$2.47$2.57
Max Pain$2.41$2.25$2.50$2.50$2.50
ATM IV37.4%30.5%45.9%45.9%32.4%
Expected Move10.6%8.7%13.2%13.2%9.3%
HV 20d18.9%15.5%21.9%21.9%16.0%
HV 60d14.9%14.5%15.7%14.7%15.7%
IV Rank51.8%39.5%66.7%66.7%42.9%
IV Percentile91.7%78.5%98.3%98.3%85.6%
Term Structure2.4%-5.7%8.7%-5.7%5.5%
VWIV46.2%32.1%84.8%54.9%32.8%
Skew 25d28.5%9.5%45.4%45.4%9.5%
Skew 10d49.0%21.6%72.4%72.4%21.7%
Call IV 25d24.2%18.3%28.4%18.3%26.4%
Put IV 25d52.7%35.9%63.8%63.7%35.9%
Bid-Ask Spread %33.4713.3384.1113.7975.37
Gamma HHI0.490.420.550.420.51
Net GEX-659.1K-782.2K-411.6K-536.0K-730.0K
Net DEX-595.8K-10.9M5.6M1.1M-10.9M
Net VEX-151.4K-165.6K-122.5K-154.2K-122.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.570.0834.614.740.71
Total Volume12,9491,40053,58053,5807,380
Total OI488,274.5428,260525,470428,260514,250

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$2.47$2.5045.9%13.2%21.9%66.7%54.9%45.4%-5.7%-536.0K1.1M-154.2K4.7413.79N/AN/A9,34044,240149,570278,690
2007-12-04$2.46$2.5041.1%11.8%21.8%58.3%54.2%40.3%-1.7%-620.5K2.9M-165.6K5.5419.30N/AN/A1,2006,650152,840304,990
2007-12-05$2.46$2.5039.1%11.2%21.6%54.6%38.7%38.3%-1.7%-651.2K3.7M-164.7K1.3319.96N/AN/A600800153,740307,530
2007-12-06$2.46$2.5040.1%11.5%21.4%56.4%40.0%39.2%-2.1%-638.2K2.9M-163.9K4.1116.84N/AN/A8403,450154,340308,330
2007-12-07$2.48$2.2541.6%11.4%21.4%59.0%84.8%42.0%-1.0%-602.2K1.9M-164.0K3.4118.57N/AN/A1,9006,470156,310307,970
2007-12-10$2.48$2.2540.4%10.8%21.1%56.9%57.0%38.1%-0.1%-642.6K1.9M-158.2K1.8419.99N/AN/A1,6503,030155,090313,620
2007-12-11$2.46$2.2539.0%11.0%21.1%54.5%39.4%40.7%0.8%-633.4K3.3M-160.2K3.6519.54N/AN/A2,6009,480154,970316,650
2007-12-12$2.46$2.5042.6%10.8%21.1%60.8%0.0%32.9%-0.9%-754.9K4.4M-156.7K4.0762.99N/AN/A1,8507,530152,260325,810
2007-12-13$2.45$2.2540.2%11.5%20.7%56.6%57.3%35.2%-0.7%-707.3K5.6M-163.7K16.0624.94N/AN/A5008,030152,410331,240
2007-12-14$2.49$2.2538.3%11.0%20.0%53.3%47.6%24.9%0.9%-757.7K258.8K-155.3K5.8627.66N/AN/A2,69015,760152,010335,660
2007-12-17$2.49$2.5039.3%11.3%19.1%55.0%66.4%25.2%1.0%-775.2K1.2M-149.1K2.4525.29N/AN/A7401,810150,900339,730
2007-12-18$2.49$2.2536.0%10.3%16.6%49.2%36.3%22.5%2.9%-726.8K-248.7K-144.5K0.9625.40N/AN/A18,68017,910151,270336,260
2007-12-19$2.47$2.5035.3%10.1%16.9%47.9%42.0%24.0%4.2%-782.2K4.3M-152.4K2.7141.51N/AN/A2,7507,460154,610352,770
2007-12-20$2.52$2.2531.2%9.0%17.5%40.8%32.1%20.7%7.8%-451.3K-4.5M-143.2K0.4723.14N/AN/A5,1602,410165,050339,100
2007-12-21$2.53$2.5032.1%9.2%17.1%42.3%34.4%17.4%7.2%-411.6K-5.6M-147.7K0.8021.06N/AN/A16,01012,770171,060354,410
2007-12-24$2.54$2.5030.5%8.7%16.0%39.5%35.5%19.5%7.3%-754.3K-6.9M-140.4K0.0881.80N/AN/A11,440900168,430348,120
2007-12-26$2.52$2.5033.3%9.5%15.8%44.4%46.3%17.6%8.7%-686.9K-5.5M-144.7K34.6134.71N/AN/A38013,150175,470344,020
2007-12-27$2.51$2.5035.5%10.2%15.9%48.3%40.7%17.9%6.7%-616.4K-4.6M-145.4K14.7884.11N/AN/A4106,060175,830343,730
2007-12-28$2.54$2.5035.1%10.1%15.5%47.6%36.9%18.3%8.0%-702.5K-7.1M-132.1K3.1613.33N/AN/A1,1903,760175,890340,560
2007-12-31$2.57$2.5032.4%9.3%16.0%42.9%32.8%9.5%5.5%-730.0K-10.9M-122.5K0.7175.37N/AN/A4,3203,060175,980338,270