HUN Options History — July 2008 In July 2008, HUN traded between $1.03 and $1.41. ATM implied volatility averaged 91.9%, placing in the 85.3% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded below realized volatility by 39.0% (HV 20d: 131.0%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2008-07-31 : Highest Volume — 703,700 contracts2008-07-10 : Largest IV spike — 41.1% change2008-07-11 : Highest IV Rank — 100.0%2008-07-07 : Largest Expected Move — 37.5%Monthly Statistics Metric Avg Min Max Open Close Price $1.23 $1.03 $1.41 $1.11 $1.35 Max Pain $1.55 $1.50 $1.75 $1.50 $1.50 ATM IV 91.9% 71.2% 108.4% 99.3% 87.5% Expected Move 28.1% 23.1% 37.5% 28.5% 25.1% HV 20d 131.0% 60.1% 188.7% 177.1% 60.1% HV 60d 108.2% 104.3% 110.9% 104.3% 110.7% IV Rank 85.3% 66.3% 100.0% 97.2% 78.3% IV Percentile 96.1% 90.1% 100.0% 99.6% 92.1% Term Structure 9.8% -13.5% 32.1% 11.4% 26.6% VWIV 100.3% 74.2% 131.8% 96.5% 81.8% Skew 25d -3.8% -17.5% 11.3% 11.3% -7.6% Skew 10d -10.3% -23.3% 1.4% -16.1% -5.2% Call IV 25d 103.6% 74.0% 125.6% 83.6% 101.3% Put IV 25d 99.8% 78.7% 133.4% 94.9% 93.7% Bid-Ask Spread % 18.88 10.10 30.54 30.54 15.57 Gamma HHI 0.25 0.19 0.36 0.24 0.28 Net GEX 683.4K -150.0K 1.4M 74.7K 975.2K Net DEX 17.2M -54.0M 84.3M 84.3M -28.8M Net VEX -538.9K -686.0K -369.7K -384.4K -619.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.04 1.83 0.04 1.11 Total Volume 205,202.727 13,440 703,700 381,870 703,700 Total OI 4,388,672.727 3,751,800 4,998,100 3,751,800 4,546,870
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-07-01 $1.11 $1.50 99.3% 28.5% 177.1% 97.2% 96.5% 11.3% 11.4% 74.7K 84.3M -384.4K 0.04 30.54 N/A N/A 366,320 15,550 2,164,010 1,587,790 2008-07-02 $1.08 $1.50 80.6% 23.1% 176.3% 76.7% 81.8% -2.5% 32.1% 183.4K 76.2M -405.0K 0.25 29.98 N/A N/A 192,200 48,390 2,447,740 1,607,400 2008-07-03 $1.08 $1.50 81.2% 23.3% 176.3% 77.3% 74.2% 4.7% 30.7% 259.1K 71.8M -430.5K 0.90 17.43 N/A N/A 36,380 32,630 2,585,240 1,645,550 2008-07-07 $1.03 $1.75 79.6% 37.5% 176.4% 75.6% 131.8% 3.0% -13.5% 2.5K 76.7M -383.6K 0.13 27.18 N/A N/A 99,800 12,670 2,558,780 1,639,050 2008-07-08 $1.03 $1.75 87.8% 37.2% 176.4% 84.6% 127.8% 9.8% -11.4% 23.1K 74.9M -386.2K 0.11 24.10 N/A N/A 38,430 4,090 2,609,180 1,637,210 2008-07-09 $1.03 $1.75 71.2% 32.3% 176.1% 66.3% 113.6% -0.6% 3.7% -150.0K 80.5M -369.7K 1.17 28.31 N/A N/A 83,770 97,780 2,570,300 1,633,150 2008-07-10 $1.12 $1.75 100.4% 28.8% 181.1% 98.5% 104.0% -4.9% 11.2% 208.4K 68.9M -431.6K 0.21 17.88 N/A N/A 375,880 80,210 2,605,040 1,672,890 2008-07-11 $1.20 $1.50 103.2% 29.6% 184.5% 100.0% 103.0% -13.3% 1.9% 766.9K 26.6M -581.0K 0.65 21.74 N/A N/A 70,960 46,370 2,925,480 1,740,860 2008-07-14 $1.17 $1.50 104.7% 30.0% 184.2% 100.0% 105.5% -9.9% 2.6% 568.0K 46.1M -511.2K 0.08 23.41 N/A N/A 12,450 990 2,906,330 1,760,650 2008-07-15 $1.21 $1.50 107.4% 30.8% 185.3% 100.0% 113.7% 4.9% 1.2% 910.2K 42.1M -516.9K 0.40 16.56 N/A N/A 59,760 24,180 2,905,900 1,760,730 2008-07-16 $1.20 $1.50 108.4% 31.1% 185.5% 100.0% 114.9% 3.1% 2.5% 993.2K 37.3M -530.0K 0.27 15.33 N/A N/A 15,120 4,140 2,931,190 1,764,570 2008-07-17 $1.30 $1.50 98.2% 28.2% 188.7% 89.6% 102.0% -1.1% 13.9% 1.4M 6.0M -586.9K 0.38 13.23 N/A N/A 335,820 128,240 2,946,110 1,757,400 2008-07-18 $1.32 $1.50 91.4% 26.2% 78.0% 82.6% 93.4% -7.6% 13.1% 941.5K -10.2M -609.0K 1.83 13.37 N/A N/A 78,050 142,980 3,198,910 1,799,190 2008-07-21 $1.30 $1.50 90.1% 25.8% 78.4% 81.2% 93.5% -4.3% 17.0% 825.2K -18.2M -602.4K 0.91 10.10 N/A N/A 98,240 89,270 2,589,620 1,458,210 2008-07-22 $1.33 $1.50 86.7% 24.8% 78.8% 77.5% 95.4% -7.4% 11.0% 789.7K -24.5M -613.5K 0.26 10.84 N/A N/A 339,720 88,120 2,606,950 1,529,640 2008-07-23 $1.35 $1.50 81.9% 23.5% 78.6% 72.6% 91.6% -9.9% 12.7% 1.1M -31.5M -650.6K 0.72 13.05 N/A N/A 21,740 15,650 2,829,470 1,562,580 2008-07-24 $1.33 $1.50 86.8% 24.9% 77.8% 77.6% 91.1% 0.1% 11.7% 772.1K -14.6M -597.3K 0.56 17.87 N/A N/A 76,370 42,600 2,708,460 1,548,380 2008-07-25 $1.40 $1.50 94.8% 27.2% 73.0% 85.9% 90.3% -17.5% 9.0% 1.2M -54.0M -686.0K 0.53 20.99 N/A N/A 170,780 91,180 2,821,630 1,583,450 2008-07-28 $1.41 $1.50 98.3% 28.2% 64.2% 89.5% 99.4% -8.7% 4.0% 1.1M -50.0M -661.6K 1.06 18.21 N/A N/A 17,270 18,260 2,829,130 1,607,290 2008-07-29 $1.38 $1.50 97.4% 27.9% 62.4% 88.6% 97.1% -10.0% 7.7% 1.1M -43.8M -641.6K 0.18 12.14 N/A N/A 225,710 41,710 2,822,000 1,606,300 2008-07-30 $1.36 $1.50 85.8% 24.6% 61.8% 76.6% 103.9% -14.9% 16.8% 1.0M -36.7M -656.5K 0.24 17.48 N/A N/A 57,260 13,720 2,904,030 1,636,140 2008-07-31 $1.35 $1.50 87.5% 25.1% 60.1% 78.3% 81.8% -7.6% 26.6% 975.2K -28.8M -619.5K 1.11 15.57 N/A N/A 334,180 369,520 2,908,470 1,638,400
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