HUN Options History — December 2009 In December 2009, HUN traded between $0.97 and $1.15. ATM implied volatility averaged 50.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 23.2% (HV 20d: 27.1%). Max pain ranged from $0.75 to $1.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.31.
Notable Days 2009-12-10 : Highest Volume — 693,320 contracts2009-12-03 : Largest IV spike — 77.5% change2009-12-04 : Highest IV Rank — 16.9%2009-12-03 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $1.09 $0.97 $1.15 $0.97 $1.13 Max Pain $0.97 $0.75 $1.00 $0.75 $1.00 ATM IV 50.3% 38.0% 67.8% 38.4% 41.3% Expected Move 14.4% 10.9% 19.4% 11.0% 11.9% HV 20d 27.1% 24.6% 32.4% 27.8% 25.3% HV 60d 50.8% 47.0% 53.3% 52.8% 47.0% IV Rank 8.1% 0.8% 16.9% 1.0% 3.6% IV Percentile 9.1% 0.8% 35.3% 0.8% 2.0% Term Structure 3.7% -2.8% 9.1% 6.0% 8.7% VWIV 50.9% 39.6% 70.7% 41.7% 40.9% Skew 25d 1.5% -13.1% 14.8% 14.8% 2.7% Skew 10d 3.3% -21.2% 47.7% 16.9% 20.6% Call IV 25d 50.7% 31.8% 80.8% 33.9% 43.0% Put IV 25d 52.2% 39.1% 67.6% 48.7% 45.7% Bid-Ask Spread % 16.02 8.88 23.05 10.59 12.77 Gamma HHI 0.29 0.18 0.70 0.32 0.20 Net GEX 867.6K 321.0K 2.6M 342.4K 763.7K Net DEX -31.2M -41.2M -20.3M -20.3M -29.5M Net VEX -74.5K -90.7K -48.8K -48.9K -68.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.31 0.00 1.40 0.61 0.19 Total Volume 89,016.818 6,500 693,320 13,660 17,540 Total OI 662,866.818 452,200 853,500 452,200 580,200
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 2009-12-01 $0.97 $0.75 38.4% 11.0% 27.8% 1.0% 41.7% 14.8% 6.0% 342.4K -20.3M -48.9K 0.61 10.59 N/A N/A 8,510 5,150 355,160 97,040 2009-12-02 $0.99 $0.75 38.0% 10.9% 27.9% 0.8% 40.6% 11.7% 9.1% 337.6K -22.4M -48.8K 0.05 17.75 N/A N/A 37,830 1,830 356,500 98,600 2009-12-03 $1.03 $0.75 67.5% 19.4% 26.6% 16.7% 70.7% -13.1% -1.0% 321.0K -25.7M -55.9K 0.13 18.08 N/A N/A 520,140 68,270 376,080 99,110 2009-12-04 $1.06 $1.00 67.8% 17.8% 27.5% 16.9% 63.3% -3.0% -2.8% 691.5K -38.4M -87.6K 0.07 17.67 N/A N/A 111,610 7,300 635,070 154,860 2009-12-07 $1.08 $1.00 64.4% 17.0% 27.5% 15.0% 61.2% 0.1% -0.8% 820.8K -39.5M -85.6K 0.06 23.05 N/A N/A 74,140 4,300 656,300 158,500 2009-12-08 $1.07 $1.00 58.1% 17.3% 28.2% 11.6% 60.5% 1.4% -2.8% 875.8K -39.8M -90.7K 0.03 22.68 N/A N/A 59,100 1,960 688,780 163,380 2009-12-09 $1.08 $1.00 55.2% 16.8% 28.1% 10.1% 58.0% 1.4% -1.4% 903.6K -41.2M -90.3K 0.26 19.73 N/A N/A 11,570 3,040 688,320 165,180 2009-12-10 $1.05 $1.00 55.8% 16.0% 32.4% 10.4% 53.7% 0.3% 4.4% 899.4K -34.6M -86.6K 0.00 12.44 N/A N/A 691,500 1,820 682,760 166,720 2009-12-11 $1.06 $1.00 53.1% 15.2% 32.3% 8.9% 54.0% 0.6% 3.4% 938.8K -27.7M -86.0K 0.34 14.38 N/A N/A 41,680 14,220 593,540 166,830 2009-12-14 $1.07 $1.00 53.0% 15.2% 27.6% 8.8% 53.5% 0.6% 3.0% 1.1M -30.6M -84.2K 1.40 18.20 N/A N/A 5,620 7,870 611,770 168,490 2009-12-15 $1.06 $1.00 51.7% 14.8% 26.2% 8.2% 52.2% 1.7% 3.3% 1.1M -29.2M -81.8K 0.04 19.19 N/A N/A 29,290 1,300 611,750 167,810 2009-12-16 $1.08 $1.00 51.9% 14.9% 26.2% 8.9% 54.0% 5.2% 3.4% 1.2M -32.4M -82.0K 0.35 14.58 N/A N/A 10,720 3,730 613,880 167,880 2009-12-17 $1.10 $1.00 51.7% 14.8% 26.2% 8.8% 52.8% 5.0% 3.8% 1.6M -35.5M -79.9K 0.27 15.00 N/A N/A 20,580 5,480 610,160 168,230 2009-12-18 $1.09 $1.00 49.5% 14.2% 26.6% 8.1% 50.2% 1.3% 3.4% 2.6M -31.6M -76.5K 0.12 22.40 N/A N/A 29,660 3,600 609,710 168,780 2009-12-21 $1.12 $1.00 46.1% 13.2% 26.2% 6.5% 47.3% 3.5% 6.0% 599.7K -28.2M -73.5K 0.35 17.80 N/A N/A 28,050 9,870 442,110 101,170 2009-12-22 $1.12 $1.00 46.8% 13.4% 26.2% 7.7% 48.2% 3.3% 4.6% 606.0K -28.2M -71.7K 0.49 14.54 N/A N/A 19,470 9,630 438,720 100,260 2009-12-23 $1.14 $1.00 44.0% 12.6% 26.2% 5.6% 44.3% 2.1% 4.4% 635.3K -29.4M -72.8K 0.53 14.52 N/A N/A 4,260 2,240 440,590 101,510 2009-12-24 $1.15 $1.00 45.2% 13.0% 26.0% 6.5% 45.6% 0.7% 4.9% 627.1K -30.2M -69.1K 0.46 16.05 N/A N/A 6,080 2,780 435,490 100,430 2009-12-28 $1.15 $1.00 42.8% 12.3% 25.8% 4.7% 43.6% -5.4% 7.0% 640.4K -30.7M -66.3K 0.28 8.88 N/A N/A 12,350 3,500 435,590 101,890 2009-12-29 $1.15 $1.00 42.2% 12.1% 24.6% 4.2% 43.4% -4.6% 7.0% 671.4K -30.9M -64.9K 0.76 9.60 N/A N/A 17,430 13,320 441,480 104,400 2009-12-30 $1.15 $1.00 43.0% 12.3% 25.1% 4.8% 39.6% 2.6% 8.1% 706.9K -30.6M -67.5K 0.07 12.59 N/A N/A 28,010 2,020 451,280 106,760 2009-12-31 $1.13 $1.00 41.3% 11.9% 25.3% 3.6% 40.9% 2.7% 8.7% 763.7K -29.5M -68.0K 0.19 12.77 N/A N/A 14,710 2,830 472,140 108,060
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