HUN Options History — November 2008

In November 2008, HUN traded between $0.62 and $1.03. ATM implied volatility averaged 145.7%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 41.9%. IV traded below realized volatility by 4.3% (HV 20d: 150.0%). Max pain ranged from $0.75 to $1.25. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2008-11-04: Highest Volume — 250,390 contracts
  • 2008-11-24: Largest IV drop — 21.3% change
  • 2008-11-11: Highest IV Rank — 66.8%
  • 2008-11-21: Largest Expected Move — 47.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.82$0.62$1.03$1.03$0.71
Max Pain$0.86$0.75$1.25$1.25$0.75
ATM IV145.7%122.2%174.2%150.6%122.2%
Expected Move41.9%35.0%47.1%43.2%35.0%
HV 20d150.0%138.4%177.9%173.4%148.7%
HV 60d177.1%171.4%181.9%171.4%181.9%
IV Rank54.5%44.4%66.8%56.6%44.4%
IV Percentile82.5%77.0%87.7%84.1%77.0%
Term Structure17.1%-14.4%49.1%14.3%37.0%
VWIV147.8%122.4%168.7%151.4%122.4%
Skew 25d7.2%-3.8%34.5%17.6%5.5%
Skew 10d6.2%-15.0%27.1%27.1%24.7%
Call IV 25d147.1%123.4%160.4%150.4%123.4%
Put IV 25d154.3%128.9%193.6%167.9%128.9%
Bid-Ask Spread %25.6013.8745.1116.2725.81
Gamma HHI0.200.180.300.200.18
Net GEX167.5K-167.1K803.9K803.9K231.4K
Net DEX19.9M-11.7M53.4M-11.7M-9.6M
Net VEX-191.6K-360.8K-94.4K-360.8K-108.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.062.880.270.10
Total Volume79,197.36811,220250,390221,11011,220
Total OI3,635,838.4211,351,4004,309,1204,255,0201,365,790

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$1.03$1.25150.6%43.2%173.4%56.6%151.4%17.6%14.3%803.9K-11.7M-360.8K0.2716.27N/AN/A173,99047,1203,089,8701,165,150
2008-11-04$1.00$1.25123.2%35.3%167.8%44.8%132.8%17.4%25.0%582.3K611.4K-331.3K0.2013.87N/AN/A208,46041,9302,971,5101,178,160
2008-11-05$0.85$1.25148.6%42.6%177.9%55.8%148.4%7.7%7.3%181.9K28.2M-236.5K0.2916.17N/AN/A70,05020,5202,985,6101,171,070
2008-11-06$0.83$1.25145.9%41.8%151.1%54.6%144.1%6.8%13.7%51.5K34.3M-219.7K0.2616.99N/AN/A79,42020,8002,980,0701,184,900
2008-11-07$0.85$0.75126.2%42.8%151.6%46.1%147.1%8.0%4.3%-102.8K40.1M-197.7K0.9545.11N/AN/A35,95034,1703,012,4001,184,660
2008-11-10$0.93$0.75150.1%43.0%145.7%56.4%153.6%4.7%4.8%362.3K9.6M-276.6K0.3431.22N/AN/A29,58010,1803,008,6401,189,690
2008-11-11$0.94$0.75174.2%45.0%145.7%66.8%156.6%4.2%1.7%436.3K2.6M-280.9K0.2326.28N/AN/A80,87018,2303,016,5801,192,430
2008-11-12$0.90$0.75159.8%46.7%138.4%60.6%166.2%1.9%-14.4%62.0K25.4M-223.8K0.0634.01N/AN/A75,4904,1603,042,4101,200,000
2008-11-13$0.96$0.75155.3%44.5%139.7%58.6%154.8%2.4%-1.9%13.3K22.2M-228.8K0.0823.71N/AN/A54,4404,2303,083,9101,195,780
2008-11-14$0.93$0.75154.6%44.3%139.5%58.3%154.6%18.5%4.2%7.3K22.9M-218.2K0.1031.17N/AN/A18,3201,7403,083,0801,195,950
2008-11-17$0.88$0.75149.2%42.8%139.8%56.0%150.6%5.3%0.7%-89.7K35.3M-178.3K2.8826.08N/AN/A17,47050,4003,096,2201,195,390
2008-11-18$0.86$0.75146.0%41.8%139.8%54.6%145.8%-2.2%12.1%-167.1K41.6M-160.0K0.9119.30N/AN/A35,72032,5603,101,8201,177,970
2008-11-19$0.72$0.75150.2%43.1%150.4%56.5%153.3%-3.8%14.0%-103.6K51.7M-114.7K0.8022.37N/AN/A20,15016,0303,129,3901,174,500
2008-11-20$0.67$0.75154.2%44.2%150.2%58.2%158.1%5.4%33.9%195.0K53.4M-105.2K1.3620.05N/AN/A26,23035,6003,133,3401,173,910
2008-11-21$0.65$0.75164.3%47.1%148.9%62.5%168.7%34.5%34.6%186.7K51.5M-106.8K0.7618.58N/AN/A19,50014,7303,144,0501,165,070
2008-11-24$0.63$0.75129.3%37.1%147.3%47.4%133.8%5.1%49.1%162.0K-5.9M-94.4K0.0739.61N/AN/A52,6003,5201,139,000212,400
2008-11-25$0.62$0.75136.7%39.2%146.1%50.6%136.1%0.2%46.1%172.7K-6.0M-94.4K0.1229.49N/AN/A109,66012,6101,165,940213,440
2008-11-26$0.67$0.75127.5%36.6%147.8%46.6%129.4%-2.3%38.2%197.2K-8.1M-103.0K0.2730.21N/AN/A13,4503,6501,135,670225,160
2008-11-28$0.71$0.75122.2%35.0%148.7%44.4%122.4%5.5%37.0%231.4K-9.6M-108.7K0.1025.81N/AN/A10,2201,0001,141,550224,240