HUN Options History — September 2009

In September 2009, HUN traded between $0.77 and $0.97. ATM implied volatility averaged 61.5%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 9.1% (HV 20d: 52.4%). Max pain ranged from $0.75 to $0.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2009-09-24: Highest Volume — 80,380 contracts
  • 2009-09-04: Largest IV spike — 21.3% change
  • 2009-09-30: Highest IV Rank — 15.9%
  • 2009-09-30: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.89$0.77$0.97$0.81$0.91
Max Pain$0.75$0.75$0.75$0.75$0.75
ATM IV61.5%53.8%68.1%56.9%67.6%
Expected Move17.6%15.4%19.4%16.3%19.4%
HV 20d52.4%46.9%70.0%70.0%46.9%
HV 60d57.9%54.3%61.0%60.8%54.7%
IV Rank11.2%7.5%15.9%8.9%15.9%
IV Percentile9.5%2.8%19.0%3.6%19.0%
Term Structure2.6%-1.0%11.2%6.7%-1.0%
VWIV60.5%53.7%66.9%57.4%66.9%
Skew 25d2.5%-21.7%19.6%-7.2%-21.7%
Skew 10d15.0%-17.8%43.7%-2.7%-17.8%
Call IV 25d59.7%44.9%68.3%64.7%64.5%
Put IV 25d62.2%42.7%70.4%57.5%42.7%
Bid-Ask Spread %13.457.5222.8115.009.01
Gamma HHI0.500.440.620.500.49
Net GEX516.2K398.7K616.8K508.0K543.4K
Net DEX-32.0M-39.2M-23.1M-26.8M-32.2M
Net VEX-77.1K-84.2K-70.0K-79.0K-79.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.020.990.230.24
Total Volume31,533.33311,31080,38032,77012,880
Total OI759,476.19688,620830,050771,630747,160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$0.81$0.7556.9%16.3%70.0%8.9%57.4%-7.2%6.7%508.0K-26.8M-79.0K0.2315.00N/AN/A26,6506,120641,320130,310
2009-09-02$0.77$0.7554.7%15.7%69.6%7.9%54.7%-10.4%6.4%510.2K-23.1M-78.2K0.1012.15N/AN/A21,1402,220655,200133,560
2009-09-03$0.79$0.7553.8%15.4%52.5%7.5%53.7%2.1%11.2%528.1K-26.0M-81.4K0.0516.78N/AN/A58,2703,050666,200135,240
2009-09-04$0.82$0.7565.2%18.5%49.1%12.8%62.8%2.2%1.1%555.0K-30.2M-84.2K0.0217.16N/AN/A14,810300692,330137,720
2009-09-08$0.83$0.7568.1%18.5%48.1%14.2%64.1%-0.5%2.7%552.8K-31.0M-81.2K0.8815.85N/AN/A9,1608,020689,560137,960
2009-09-09$0.83$0.7562.1%17.6%47.7%11.4%61.5%6.9%3.3%567.3K-30.8M-78.9K0.0818.46N/AN/A17,7301,370686,830137,390
2009-09-10$0.86$0.7562.4%17.9%49.0%11.5%59.5%4.2%0.4%468.4K-35.3M-73.0K0.9914.73N/AN/A6,2706,220684,980138,040
2009-09-11$0.85$0.7557.8%16.6%49.7%9.4%56.7%4.2%6.0%398.7K-28.2M-72.0K0.4914.00N/AN/A11,3805,590610,120140,080
2009-09-14$0.86$0.7560.8%17.4%49.7%10.8%59.9%3.0%2.6%407.6K-29.3M-70.5K0.6415.24N/AN/A9,0305,780610,390141,610
2009-09-15$0.92$0.7555.4%15.9%49.5%8.2%55.8%13.3%1.6%451.9K-34.5M-70.0K0.4014.77N/AN/A41,59016,640608,190142,030
2009-09-16$0.95$0.7556.9%16.3%49.7%8.9%56.9%16.1%2.6%535.0K-37.0M-73.0K0.197.52N/AN/A37,4107,160603,350145,590
2009-09-17$0.97$0.7562.2%17.8%49.7%11.4%62.1%2.5%0.4%616.8K-39.2M-73.6K0.058.67N/AN/A72,9303,560604,520149,410
2009-09-18$0.96$0.7562.8%18.0%50.5%11.7%62.9%19.6%0.7%596.8K-37.8M-75.7K0.0522.67N/AN/A70,5403,290633,630151,030
2009-09-21$0.94$0.7563.0%18.1%52.3%11.8%61.6%10.4%3.4%480.0K-33.0M-77.4K0.248.49N/AN/A19,4604,590572,270116,350
2009-09-22$0.95$0.7563.3%18.1%51.3%11.9%63.2%15.2%1.1%498.3K-34.4M-78.1K0.288.86N/AN/A12,7103,600576,840119,060
2009-09-23$0.94$0.7562.7%18.0%52.0%11.7%62.9%-1.3%1.7%490.9K-33.2M-77.9K0.0911.10N/AN/A10,350960579,520116,980
2009-09-24$0.92$0.7563.3%18.1%52.9%11.9%62.0%9.1%-0.1%491.1K-31.3M-76.2K0.0622.81N/AN/A76,1004,280580,070117,750
2009-09-25$0.89$0.7565.8%18.9%54.5%13.1%65.4%-3.5%1.6%515.5K-30.1M-79.6K0.0510.27N/AN/A12,460610612,740120,730
2009-09-28$0.94$0.7562.2%17.8%52.7%11.4%59.0%-2.5%1.3%564.0K-34.4M-79.0K0.2310.01N/AN/A16,5603,820617,340121,200
2009-09-29$0.93$0.7563.9%18.3%52.1%12.2%62.3%-8.3%0.4%560.4K-34.5M-79.8K0.088.89N/AN/A16,3401,250621,320123,080
2009-09-30$0.91$0.7567.6%19.4%46.9%15.9%66.9%-21.7%-1.0%543.4K-32.2M-79.5K0.249.01N/AN/A10,3902,490623,660123,500