HUN Options History — July 2010

In July 2010, HUN traded between $0.83 and $1.05. ATM implied volatility averaged 45.7%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 3.4% (HV 20d: 42.3%). Max pain ranged from $0.90 to $0.90. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2010-07-15: Highest Volume — 130,090 contracts
  • 2010-07-07: Largest IV drop — 31.4% change
  • 2010-07-06: Highest IV Rank — 51.9%
  • 2010-07-06: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.94$0.83$1.05$0.86$1.05
Max Pain$0.90$0.90$0.90$0.90$0.90
ATM IV45.7%39.8%58.1%49.7%44.9%
Expected Move13.7%12.1%16.9%14.2%12.9%
HV 20d42.3%36.7%46.0%41.6%40.5%
HV 60d56.7%54.9%57.9%54.9%56.3%
IV Rank26.6%13.9%51.9%34.2%25.0%
IV Percentile34.7%13.9%69.8%42.5%36.9%
Term Structure1.0%-5.5%13.1%7.7%0.2%
VWIV47.0%36.7%52.9%52.9%45.4%
Skew 25d2.4%-6.1%10.5%0.2%1.0%
Skew 10d7.3%-13.4%25.9%-12.6%8.6%
Call IV 25d47.0%35.7%54.6%54.0%45.7%
Put IV 25d49.4%37.3%60.0%54.1%46.8%
Bid-Ask Spread %15.1310.9319.6017.9812.71
Gamma HHI0.410.200.650.460.20
Net GEX590.2K333.4K1.1M395.7K623.6K
Net DEX-14.7M-27.5M-3.9M-6.7M-27.5M
Net VEX-63.0K-77.2K-50.7K-58.1K-76.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.940.180.02
Total Volume27,325.7143,220130,09010,13018,020
Total OI527,320.476484,950605,290484,950605,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$0.86$0.9049.7%14.2%41.6%34.2%52.9%0.2%7.7%395.7K-6.7M-58.1K0.1817.98N/AN/A8,6201,510401,75083,200
2010-07-02$0.84$0.9047.6%13.6%37.4%29.8%50.0%2.7%13.1%373.9K-5.4M-54.7K0.1419.02N/AN/A9,6901,380402,30084,210
2010-07-06$0.83$0.9058.1%16.9%36.7%51.9%46.2%5.5%-5.5%333.4K-3.9M-50.7K0.2912.47N/AN/A4,8301,400403,35084,940
2010-07-07$0.87$0.9039.8%14.8%41.6%13.9%52.2%4.7%-3.4%498.9K-6.6M-53.9K0.0019.55N/AN/A38,080100404,02085,390
2010-07-08$0.89$0.9041.1%14.1%42.4%16.8%49.3%1.7%0.6%591.8K-8.3M-54.8K0.0119.60N/AN/A8,210100405,49085,440
2010-07-09$0.90$0.9044.4%14.0%41.4%24.0%47.3%3.5%0.1%617.9K-9.2M-54.7K0.0515.27N/AN/A6,560300408,33085,340
2010-07-12$0.89$0.9046.5%14.5%41.1%28.6%50.1%5.3%-1.8%665.8K-8.2M-52.2K0.0516.75N/AN/A3,070150412,51085,240
2010-07-13$0.92$0.9042.8%14.5%43.0%20.4%50.9%3.5%0.4%792.2K-11.4M-54.9K0.1015.91N/AN/A45,7304,640413,79085,360
2010-07-14$0.92$0.9043.3%14.9%42.1%21.6%50.5%3.0%-1.2%899.0K-13.1M-60.9K0.3815.85N/AN/A6,3202,420449,28089,130
2010-07-15$0.95$0.9047.5%13.6%43.3%30.8%47.8%3.1%1.7%518.0K-17.0M-60.0K0.0013.75N/AN/A129,810280453,27091,300
2010-07-16$0.91$0.9050.4%14.4%44.0%37.2%50.1%2.7%0.6%1.1M-14.0M-61.5K0.0115.57N/AN/A32,330240467,80091,290
2010-07-19$0.91$0.9048.2%13.8%42.5%32.5%47.9%4.0%-0.5%475.2K-10.6M-62.2K0.9414.17N/AN/A2,3302,200417,80068,920
2010-07-20$0.93$0.9044.8%12.8%43.6%24.8%43.5%10.5%1.8%532.1K-12.1M-62.2K0.0115.69N/AN/A40,610500419,17070,800
2010-07-21$0.93$0.9045.5%13.1%42.2%26.5%45.5%1.1%0.8%545.1K-14.3M-65.2K0.0815.58N/AN/A27,4002,070450,22070,690
2010-07-22$0.97$0.9043.0%12.3%45.2%21.0%43.7%2.6%2.3%559.2K-18.4M-69.5K0.3010.93N/AN/A22,0506,550464,24071,070
2010-07-23$0.99$0.9042.2%12.1%41.4%19.0%42.0%-0.1%2.4%577.8K-20.0M-70.9K0.2714.63N/AN/A20,0505,340471,43075,340
2010-07-26$1.04$0.9044.5%12.7%45.0%24.1%43.1%-6.1%0.4%546.4K-26.2M-73.9K0.0711.75N/AN/A34,0002,220487,16078,450
2010-07-27$1.02$0.9044.1%12.6%46.0%23.3%43.0%2.8%0.3%582.8K-24.2M-74.4K0.1512.13N/AN/A16,4802,540493,75078,590
2010-07-28$1.02$0.9042.7%12.2%45.7%20.2%36.7%-0.9%1.6%609.0K-24.3M-75.6K0.0011.91N/AN/A8,56020505,95080,230
2010-07-29$1.04$0.9048.0%13.8%40.8%32.0%49.0%-0.3%-0.7%577.5K-27.0M-77.2K0.1716.57N/AN/A48,9408,190511,86080,040
2010-07-30$1.05$0.9044.9%12.9%40.5%25.0%45.4%1.0%0.2%623.6K-27.5M-76.5K0.0212.71N/AN/A17,730290525,63079,660