HUN Options History — March 2010 In March 2010, HUN traded between $1.21 and $1.38. ATM implied volatility averaged 39.0%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 1.8% (HV 20d: 40.8%). Max pain ranged from $1.10 to $1.30. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.52.
Notable Days 2010-03-10 : Highest Volume — 1,325,550 contracts2010-03-05 : Largest IV drop — 12.7% change2010-03-01 : Highest IV Rank — 5.7%2010-03-01 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.32 $1.21 $1.38 $1.37 $1.21 Max Pain $1.27 $1.10 $1.30 $1.10 $1.30 ATM IV 39.0% 35.6% 44.1% 44.1% 36.1% Expected Move 11.3% 10.2% 12.6% 12.6% 10.4% HV 20d 40.8% 28.2% 55.4% 55.1% 30.7% HV 60d 39.7% 38.8% 41.2% 39.5% 40.6% IV Rank 2.0% 0.0% 5.7% 5.7% 0.4% IV Percentile 4.1% 0.0% 14.7% 13.9% 1.2% Term Structure 4.0% 0.8% 7.8% 1.5% 6.6% VWIV 38.9% 31.2% 47.2% 43.9% 35.2% Skew 25d 4.9% -2.3% 9.1% 7.7% -2.3% Skew 10d 12.5% -14.7% 25.2% 14.3% 7.0% Call IV 25d 37.7% 30.0% 43.1% 43.1% 40.7% Put IV 25d 42.6% 37.3% 50.8% 50.8% 38.5% Bid-Ask Spread % 17.38 11.51 24.88 13.66 13.37 Gamma HHI 0.27 0.21 0.35 0.26 0.21 Net GEX 606.2K 319.0K 991.6K 582.1K 319.0K Net DEX -17.4M -29.7M -75.9K -28.7M -75.9K Net VEX -89.6K -102.3K -69.3K -95.6K -69.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.00 2.35 1.33 0.07 Total Volume 91,091.739 6,920 1,325,550 18,360 17,410 Total OI 552,073.043 470,340 649,740 537,310 533,020
Daily Data (23 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 2010-03-01 $1.37 $1.10 44.1% 12.6% 55.1% 5.7% 43.9% 7.7% 1.5% 582.1K -28.7M -95.6K 1.33 13.66 N/A N/A 7,870 10,490 405,600 131,710 2010-03-02 $1.36 $1.10 42.0% 12.1% 54.7% 4.1% 41.8% 8.4% 3.9% 598.5K -27.4M -94.8K 1.73 13.19 N/A N/A 10,180 17,600 412,390 134,450 2010-03-03 $1.33 $1.10 43.1% 12.4% 55.4% 4.9% 47.2% 5.1% 3.3% 577.1K -24.5M -93.4K 0.38 14.94 N/A N/A 16,810 6,350 417,240 138,300 2010-03-04 $1.34 $1.10 44.1% 12.6% 55.3% 5.7% 46.2% 3.1% 2.0% 592.3K -25.1M -93.6K 0.34 18.50 N/A N/A 5,630 1,890 423,760 141,970 2010-03-05 $1.38 $1.30 38.5% 12.1% 46.7% 1.4% 43.5% 6.5% 1.3% 644.9K -29.7M -93.9K 0.11 24.88 N/A N/A 46,960 5,250 424,460 142,670 2010-03-08 $1.37 $1.30 38.3% 11.9% 46.9% 1.3% 43.6% 5.5% 1.4% 630.8K -25.7M -90.5K 0.10 18.55 N/A N/A 32,640 3,340 413,470 144,780 2010-03-09 $1.34 $1.30 39.5% 12.0% 47.3% 2.2% 41.8% 4.5% 2.3% 667.3K -24.1M -92.6K 0.62 17.48 N/A N/A 59,970 37,280 440,350 145,150 2010-03-10 $1.35 $1.30 37.5% 11.4% 45.3% 0.7% 38.3% 6.8% 3.2% 736.5K -27.2M -102.3K 0.00 19.14 N/A N/A 1,322,440 3,110 481,690 168,050 2010-03-11 $1.34 $1.30 41.0% 11.8% 43.2% 3.3% 40.4% 8.4% 1.5% 817.2K -19.5M -98.2K 0.13 21.18 N/A N/A 7,970 1,000 417,240 148,290 2010-03-12 $1.35 $1.30 38.3% 11.0% 41.9% 1.3% 39.1% 5.6% 5.0% 869.3K -19.7M -95.8K 1.26 16.26 N/A N/A 28,410 35,680 417,110 148,520 2010-03-15 $1.33 $1.30 41.5% 11.9% 41.7% 3.7% 38.7% 5.2% 2.8% 718.6K -16.2M -97.8K 0.05 21.45 N/A N/A 121,000 5,600 435,180 166,690 2010-03-16 $1.34 $1.30 41.3% 11.9% 41.7% 3.6% 37.8% 6.4% 0.8% 991.6K -19.7M -95.1K 0.02 21.96 N/A N/A 20,600 350 451,150 150,080 2010-03-17 $1.34 $1.30 39.0% 11.2% 41.5% 1.8% 38.1% 3.4% 3.0% 980.8K -20.0M -91.6K 0.03 17.79 N/A N/A 42,300 1,370 437,900 150,190 2010-03-18 $1.34 $1.30 37.6% 10.8% 41.4% 0.8% 37.0% 3.9% 3.8% 691.1K -19.4M -89.3K 0.33 23.21 N/A N/A 6,110 2,020 441,060 149,620 2010-03-19 $1.28 $1.30 39.2% 11.2% 39.2% 2.0% 38.8% 1.3% 5.5% 671.3K -9.2M -83.7K 1.52 11.51 N/A N/A 22,690 34,450 439,680 150,330 2010-03-22 $1.29 $1.30 36.9% 10.6% 31.3% 0.2% 36.1% 2.5% 7.1% 340.4K -8.9M -84.6K 0.23 14.81 N/A N/A 29,960 6,940 334,790 135,550 2010-03-23 $1.32 $1.30 37.6% 10.8% 31.1% 0.7% 35.8% 9.1% 4.3% 451.1K -14.1M -89.8K 0.20 17.99 N/A N/A 20,240 3,950 348,080 138,850 2010-03-24 $1.33 $1.30 36.0% 10.3% 28.2% 0.0% 33.8% 7.4% 4.9% 497.9K -15.1M -91.3K 0.38 18.43 N/A N/A 5,000 1,920 361,410 139,940 2010-03-25 $1.28 $1.30 36.4% 10.4% 30.3% 0.3% 34.8% 4.4% 7.8% 421.1K -9.7M -85.5K 0.38 19.43 N/A N/A 15,800 5,940 362,230 140,750 2010-03-26 $1.27 $1.30 35.6% 10.2% 30.0% 0.0% 35.7% 5.3% 7.8% 405.8K -7.6M -82.2K 0.19 12.80 N/A N/A 8,100 1,540 361,920 140,850 2010-03-29 $1.26 $1.30 36.1% 10.3% 29.9% 0.3% 31.2% 0.0% 7.4% 401.0K -6.3M -77.8K 2.35 14.90 N/A N/A 5,970 14,000 367,440 141,170 2010-03-30 $1.24 $1.30 37.1% 10.6% 30.4% 1.1% 36.9% 4.6% 4.1% 335.9K -2.0M -72.2K 0.24 14.30 N/A N/A 33,150 7,830 369,810 152,790 2010-03-31 $1.21 $1.30 36.1% 10.4% 30.7% 0.4% 35.2% -2.3% 6.6% 319.0K -75.9K -69.3K 0.07 13.37 N/A N/A 16,240 1,170 380,130 152,890
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