HUN Options History — June 2010

In June 2010, HUN traded between $0.87 and $1.00. ATM implied volatility averaged 49.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 13.6% (HV 20d: 63.2%). Max pain ranged from $0.80 to $0.90. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2010-06-17: Highest Volume — 81,670 contracts
  • 2010-06-04: Largest IV spike — 16.1% change
  • 2010-06-29: Highest IV Rank — 33.8%
  • 2010-06-01: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.94$0.87$1.00$0.96$0.87
Max Pain$0.85$0.80$0.90$0.90$0.90
ATM IV49.6%42.5%61.3%57.9%48.8%
Expected Move14.2%12.2%16.6%16.6%14.0%
HV 20d63.2%41.7%79.1%78.5%41.7%
HV 60d54.1%52.0%54.9%52.0%54.9%
IV Rank17.4%8.0%33.8%18.1%32.4%
IV Percentile40.7%23.0%66.3%61.1%40.5%
Term Structure3.6%-5.0%8.0%-5.0%4.1%
VWIV49.9%42.0%57.1%57.1%52.2%
Skew 25d3.9%-4.1%11.5%-3.2%0.1%
Skew 10d8.6%-18.4%26.1%-7.4%-10.3%
Call IV 25d47.9%36.9%55.2%55.2%53.5%
Put IV 25d51.7%40.6%60.2%52.0%53.6%
Bid-Ask Spread %18.799.8524.6412.5816.45
Gamma HHI0.360.180.590.240.44
Net GEX370.8K188.2K547.6K336.0K369.5K
Net DEX-7.2M-11.4M-3.4M-6.9M-5.4M
Net VEX-55.7K-62.9K-48.0K-58.4K-56.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.340.050.12
Total Volume18,576.8183,47081,6703,47035,120
Total OI447,133.182365,750542,650438,390458,280

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$0.96$0.9057.9%16.6%78.5%18.1%57.1%-3.2%-5.0%336.0K-6.9M-58.4K0.0512.58N/AN/A3,300170365,19073,200
2010-06-02$1.00$0.9051.9%14.9%78.7%13.7%51.7%6.3%0.2%365.1K-8.7M-60.9K0.0019.42N/AN/A8,5900352,31073,220
2010-06-03$0.99$0.9049.8%14.3%78.0%12.1%51.5%2.9%1.0%362.3K-7.9M-59.0K0.1015.23N/AN/A6,500670355,89073,220
2010-06-04$0.93$0.8057.8%16.0%78.7%18.0%52.3%6.5%0.3%287.4K-4.8M-53.5K0.1616.64N/AN/A9,6701,530358,51073,290
2010-06-07$0.91$0.8061.3%16.3%79.1%20.6%56.7%5.7%1.4%253.2K-3.4M-49.0K0.2624.64N/AN/A2,990770360,21073,580
2010-06-08$0.91$0.8057.9%15.9%72.4%18.0%56.0%4.3%2.5%264.4K-3.4M-48.9K1.1323.58N/AN/A3,5704,020360,84074,110
2010-06-09$0.92$0.8049.8%16.0%71.0%12.1%53.9%5.5%1.3%274.3K-3.5M-48.0K0.0318.70N/AN/A13,580450361,96074,020
2010-06-10$0.94$0.8051.5%14.8%71.7%14.9%51.6%4.1%3.8%337.0K-4.5M-49.7K0.4621.82N/AN/A8,1503,710369,12074,310
2010-06-11$0.96$0.8049.9%14.3%71.9%14.5%49.2%2.0%5.1%384.3K-6.0M-52.6K0.0122.23N/AN/A12,370150368,04077,170
2010-06-14$0.96$0.8049.1%14.1%68.9%13.9%52.2%4.6%3.4%421.1K-6.1M-51.4K0.1722.30N/AN/A12,0402,050376,56077,200
2010-06-15$0.98$0.8046.5%13.3%68.5%11.5%46.7%5.3%4.7%520.8K-7.8M-52.5K0.9716.64N/AN/A3,3403,240377,79078,550
2010-06-16$0.96$0.8047.3%13.6%66.7%12.3%55.0%7.7%4.2%479.6K-6.6M-50.9K0.5823.64N/AN/A27,22015,670379,86077,940
2010-06-17$0.94$0.8048.0%13.8%66.0%12.8%47.5%11.5%3.8%188.2K-6.1M-51.8K0.0319.86N/AN/A79,6702,000404,73087,890
2010-06-18$0.97$0.8042.5%12.2%57.9%8.0%44.6%5.5%5.5%547.6K-10.9M-57.3K0.389.85N/AN/A4,5001,700453,81088,840
2010-06-21$0.97$0.9044.8%12.8%57.0%10.5%45.5%0.4%4.0%284.9K-9.1M-56.3K0.0519.58N/AN/A77,7903,860296,64069,110
2010-06-22$0.94$0.9045.8%13.1%54.9%13.1%42.0%3.6%5.7%413.2K-11.4M-62.9K0.1415.04N/AN/A5,210710365,58071,900
2010-06-23$0.94$0.9045.5%13.0%49.0%21.3%44.7%-4.1%7.2%420.2K-11.3M-62.7K2.3415.43N/AN/A6,48015,150367,11072,370
2010-06-24$0.90$0.9044.4%12.7%50.2%20.6%44.4%-0.1%8.0%391.2K-8.0M-60.9K0.6719.58N/AN/A4,0902,750370,66079,410
2010-06-25$0.91$0.9044.9%12.9%43.8%22.8%46.3%3.7%7.5%402.7K-8.7M-61.3K0.0519.90N/AN/A4,530230372,63079,900
2010-06-28$0.92$0.9047.1%13.5%44.1%28.8%46.7%7.8%7.1%438.5K-9.8M-61.5K0.4319.99N/AN/A2,8301,210374,85079,820
2010-06-29$0.91$0.9049.5%14.2%42.2%33.8%50.3%5.0%4.5%415.3K-9.0M-60.9K0.0920.31N/AN/A15,7101,400376,33080,980
2010-06-30$0.87$0.9048.8%14.0%41.7%32.4%52.2%0.1%4.1%369.5K-5.4M-56.0K0.1216.45N/AN/A31,4103,710376,28082,000