HUN Options History — November 2009

In November 2009, HUN traded between $0.80 and $0.95. ATM implied volatility averaged 55.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 8.8% (HV 20d: 63.8%). Max pain ranged from $0.75 to $0.90. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2009-11-09: Highest Volume — 58,790 contracts
  • 2009-11-12: Largest IV spike — 27.5% change
  • 2009-11-03: Highest IV Rank — 22.8%
  • 2009-11-03: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.86$0.80$0.95$0.80$0.95
Max Pain$0.77$0.75$0.90$0.75$0.75
ATM IV55.0%39.1%78.8%75.7%39.1%
Expected Move16.0%11.2%22.6%21.7%11.2%
HV 20d63.8%27.8%72.4%71.9%27.8%
HV 60d56.4%53.0%58.1%58.1%53.1%
IV Rank9.9%1.3%22.8%21.2%1.3%
IV Percentile9.8%0.8%36.5%34.9%0.8%
Term Structure1.3%-11.0%6.8%-6.6%5.1%
VWIV55.2%40.5%77.2%76.4%41.2%
Skew 25d7.2%-5.9%22.2%-5.9%5.1%
Skew 10d19.7%-20.4%81.5%-20.4%9.2%
Call IV 25d52.7%36.5%75.7%75.7%37.2%
Put IV 25d59.9%42.3%84.1%69.8%42.3%
Bid-Ask Spread %13.818.4818.6611.8013.62
Gamma HHI0.370.300.560.400.33
Net GEX413.9K266.9K548.4K371.5K332.5K
Net DEX-21.2M-29.4M-14.7M-14.8M-19.1M
Net VEX-51.9K-60.3K-48.0K-58.7K-48.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.010.770.550.31
Total Volume21,241.55,94058,79017,46012,810
Total OI757,022414,540907,810800,810445,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$0.80$0.7575.7%21.7%71.9%21.2%76.4%-5.9%-6.6%371.5K-14.8M-58.7K0.5511.80N/AN/A11,2306,230605,310195,500
2009-11-03$0.82$0.7578.8%22.6%72.4%22.8%77.2%10.0%-11.0%385.7K-16.8M-60.3K0.5310.23N/AN/A13,3106,990609,730196,620
2009-11-04$0.80$0.7566.8%19.2%71.9%16.3%60.4%22.2%-3.3%385.9K-15.1M-54.9K0.2415.15N/AN/A37,5808,880615,090196,940
2009-11-05$0.81$0.7563.6%18.2%68.4%14.6%52.5%10.5%0.8%432.4K-16.7M-53.5K0.369.87N/AN/A8,2002,940631,830195,060
2009-11-06$0.82$0.9065.6%18.1%68.8%15.7%57.0%-0.7%-2.4%440.8K-18.2M-54.6K0.0411.05N/AN/A5,730210634,410195,280
2009-11-09$0.83$0.9052.9%16.7%67.4%8.8%63.7%1.3%1.1%454.5K-19.8M-49.3K0.0114.93N/AN/A58,430360634,360194,270
2009-11-10$0.84$0.7556.5%16.2%67.2%10.8%61.7%1.7%2.3%478.7K-22.4M-53.4K0.2514.50N/AN/A30,8807,770669,170193,550
2009-11-11$0.84$0.7544.1%15.7%66.9%4.0%59.2%2.4%4.7%491.1K-25.3M-49.1K0.1513.50N/AN/A14,8902,290693,380192,770
2009-11-12$0.86$0.7556.2%16.1%66.8%10.6%54.8%6.2%2.6%534.8K-27.0M-54.9K0.4315.83N/AN/A4,9702,140705,960192,960
2009-11-13$0.83$0.7557.1%16.4%66.9%11.1%57.1%1.3%0.8%485.2K-23.4M-54.0K0.1818.13N/AN/A15,7402,810705,930193,970
2009-11-16$0.87$0.7554.4%15.6%68.1%9.6%57.9%8.8%3.2%409.4K-28.1M-49.9K0.6014.13N/AN/A17,36010,470710,910195,350
2009-11-17$0.88$0.7553.5%15.3%68.4%9.1%53.2%5.4%3.9%400.9K-29.4M-49.5K0.7717.24N/AN/A3,5502,740707,240194,310
2009-11-18$0.89$0.7552.2%15.0%66.7%8.4%51.8%8.4%4.4%548.4K-29.3M-48.7K0.4917.81N/AN/A10,4105,070706,150195,080
2009-11-19$0.88$0.7555.1%15.8%66.3%10.0%55.2%7.1%1.5%482.2K-28.0M-48.2K0.0615.22N/AN/A41,3102,320702,030199,200
2009-11-20$0.88$0.7554.5%15.6%64.4%9.7%54.9%11.8%-0.2%460.4K-26.4M-50.4K0.2918.66N/AN/A5,7301,660707,880199,930
2009-11-23$0.89$0.7543.6%12.5%62.7%3.8%42.9%6.3%6.8%266.9K-14.7M-48.3K0.049.53N/AN/A34,6601,510325,20089,340
2009-11-24$0.90$0.7543.6%12.5%62.8%3.8%43.0%10.3%3.3%295.2K-15.6M-50.3K0.348.48N/AN/A12,6504,250340,62090,550
2009-11-25$0.92$0.7542.4%12.1%57.0%3.1%40.5%16.6%3.7%312.7K-16.8M-50.2K0.549.36N/AN/A4,9302,680344,89092,250
2009-11-27$0.92$0.7544.3%12.7%42.3%4.1%42.9%14.5%4.7%308.5K-16.7M-51.3K0.2617.13N/AN/A7,2501,890346,94094,800
2009-11-30$0.95$0.7539.1%11.2%27.8%1.3%41.2%5.1%5.1%332.5K-19.1M-48.0K0.3113.62N/AN/A9,7603,050350,18095,500