HUN Options History — August 2009

In August 2009, HUN traded between $0.62 and $0.86. ATM implied volatility averaged 60.1%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 7.0% (HV 20d: 67.1%). Max pain ranged from $0.50 to $0.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2009-08-04: Highest Volume — 119,110 contracts
  • 2009-08-11: Largest IV spike — 47.9% change
  • 2009-08-17: Highest IV Rank — 16.5%
  • 2009-08-04: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.72$0.62$0.86$0.65$0.86
Max Pain$0.70$0.50$0.75$0.50$0.75
ATM IV60.1%37.8%75.6%74.4%63.5%
Expected Move18.0%14.5%21.7%21.3%18.2%
HV 20d67.1%41.7%72.8%41.7%68.6%
HV 60d60.7%57.3%64.8%57.3%59.3%
IV Rank8.7%0.0%16.5%9.4%12.0%
IV Percentile4.5%0.0%11.5%9.9%7.5%
Term Structure2.6%-9.4%10.5%-6.9%-2.9%
VWIV63.2%50.5%76.5%72.9%64.8%
Skew 25d13.0%-14.7%85.3%15.8%0.5%
Skew 10d19.9%-14.9%112.3%27.2%7.7%
Call IV 25d61.8%40.6%73.9%73.9%61.6%
Put IV 25d74.8%43.6%150.8%89.7%62.1%
Bid-Ask Spread %12.835.0027.0810.0727.08
Gamma HHI0.650.450.960.500.45
Net GEX796.2K222.5K5.6M400.7K459.1K
Net DEX-26.8M-35.5M-17.3M-23.6M-31.0M
Net VEX-64.0K-78.1K-49.3K-56.1K-78.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.040.500.110.28
Total Volume58,711.90511,660119,11037,74074,770
Total OI1,042,032.857640,8101,237,2001,113,040736,930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$0.65$0.5074.4%21.3%41.7%9.4%72.9%15.8%-6.9%400.7K-23.6M-56.1K0.1110.07N/AN/A34,1103,630925,600187,440
2009-08-04$0.69$0.5075.6%21.7%45.2%10.0%75.6%-8.0%-5.4%491.4K-30.5M-61.6K0.099.82N/AN/A109,6609,450934,670189,040
2009-08-05$0.74$0.5066.7%19.1%46.2%5.4%66.8%52.5%3.4%580.8K-35.5M-63.3K0.188.12N/AN/A81,45014,860951,750188,420
2009-08-06$0.65$0.5052.3%15.0%67.6%0.0%54.5%-14.7%4.0%405.1K-24.0M-53.9K0.505.00N/AN/A76,23037,790948,940194,370
2009-08-07$0.62$0.7549.8%21.5%70.3%0.0%76.5%2.8%-9.4%222.5K-20.4M-49.3K0.0516.46N/AN/A68,8403,470961,020214,700
2009-08-10$0.65$0.7537.8%17.6%71.2%0.0%65.9%11.0%6.6%303.0K-23.9M-55.4K0.1226.06N/AN/A12,8501,520986,040214,530
2009-08-11$0.67$0.7556.0%19.0%71.6%8.5%66.5%66.6%3.5%434.2K-27.4M-60.9K0.1423.87N/AN/A14,7602,140988,070213,850
2009-08-12$0.68$0.7565.0%18.7%71.1%12.7%65.6%0.8%1.6%469.7K-27.8M-61.2K0.069.87N/AN/A82,1204,950989,480215,430
2009-08-13$0.70$0.7565.5%18.8%71.5%13.0%67.5%85.3%-0.3%572.3K-27.9M-61.7K0.048.78N/AN/A27,070990964,310215,480
2009-08-14$0.71$0.7569.1%19.8%70.9%14.7%69.0%10.9%-0.3%638.2K-30.9M-66.2K0.1312.55N/AN/A30,6803,910966,060215,430
2009-08-17$0.68$0.7573.1%20.9%72.7%16.5%68.2%1.9%-4.0%530.2K-27.3M-61.8K0.349.61N/AN/A8,7102,950978,340215,900
2009-08-18$0.70$0.7570.1%20.1%72.7%15.1%70.5%-2.0%-0.4%623.9K-26.9M-60.2K0.2010.85N/AN/A49,78010,000978,700215,600
2009-08-19$0.72$0.7561.4%17.6%72.8%11.0%60.7%4.4%8.2%925.5K-28.6M-62.0K0.1011.74N/AN/A63,6906,310974,360221,360
2009-08-20$0.74$0.7562.1%17.8%72.8%11.4%62.5%5.8%6.8%2.0M-32.4M-69.4K0.079.03N/AN/A45,5303,2101,014,140223,060
2009-08-21$0.75$0.7557.6%16.5%72.8%9.3%58.4%4.5%7.6%5.6M-33.7M-68.2K0.2313.31N/AN/A55,10012,4701,014,080221,840
2009-08-24$0.73$0.7550.7%14.5%72.5%6.0%50.7%23.1%10.1%353.8K-17.3M-63.9K0.1811.78N/AN/A57,94010,520525,300115,510
2009-08-25$0.76$0.7550.7%14.5%71.9%6.0%50.7%-9.7%9.6%413.3K-20.3M-69.1K0.1713.15N/AN/A22,2003,700556,680120,220
2009-08-26$0.77$0.7550.6%14.5%68.4%6.0%50.5%11.5%10.5%423.2K-21.7M-71.5K0.309.09N/AN/A42,44012,700562,590122,590
2009-08-27$0.79$0.7551.7%14.8%67.4%6.5%51.8%11.3%9.6%438.6K-23.1M-72.4K0.1710.77N/AN/A36,3106,010577,010122,230
2009-08-28$0.83$0.7558.3%16.7%69.6%9.6%58.6%-1.2%2.3%441.2K-28.7M-76.8K0.1312.50N/AN/A78,1909,940594,920126,700
2009-08-31$0.86$0.7563.5%18.2%68.6%12.0%64.8%0.5%-2.9%459.1K-31.0M-78.1K0.2827.08N/AN/A58,37016,400607,310129,620