HUN Options History — September 2010 In September 2010, HUN traded between $0.95 and $1.17. ATM implied volatility averaged 42.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 0.3% (HV 20d: 43.1%). Max pain ranged from $0.80 to $1.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.15.
Notable Days 2010-09-10 : Highest Volume — 601,850 contracts2010-09-07 : Largest IV spike — 17.7% change2010-09-01 : Highest IV Rank — 36.5%2010-09-01 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $1.05 $0.95 $1.17 $0.96 $1.16 Max Pain $0.92 $0.80 $1.00 $0.80 $1.00 ATM IV 42.8% 38.5% 50.1% 50.1% 39.1% Expected Move 12.5% 11.0% 14.4% 14.4% 11.2% HV 20d 43.1% 38.1% 46.8% 45.6% 39.8% HV 60d 43.5% 42.0% 44.6% 42.4% 42.0% IV Rank 20.5% 11.0% 36.5% 36.5% 12.4% IV Percentile 27.7% 9.9% 56.0% 56.0% 11.9% Term Structure 3.9% 2.0% 6.1% 2.2% 6.1% VWIV 42.9% 27.6% 48.6% 48.6% 27.6% Skew 25d 2.7% -3.5% 8.5% 5.6% 4.9% Skew 10d 8.8% -18.6% 25.8% 11.4% 6.1% Call IV 25d 41.0% 33.0% 49.0% 41.0% 36.7% Put IV 25d 43.8% 37.2% 48.6% 46.6% 41.6% Bid-Ask Spread % 23.44 16.00 30.76 18.30 18.18 Gamma HHI 0.41 0.24 0.78 0.39 0.26 Net GEX 1.2M 755.0K 2.1M 1.2M 1.1M Net DEX -36.8M -51.8M -23.7M -24.8M -51.1M Net VEX -79.0K -95.4K -68.2K -80.0K -95.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.15 0.00 0.55 0.01 0.34 Total Volume 84,824.762 5,090 601,850 34,920 86,190 Total OI 727,430.952 581,900 795,090 687,550 794,400
Daily Data (21 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 2010-09-01 $0.96 $0.80 50.1% 14.4% 45.6% 36.5% 48.6% 5.6% 2.2% 1.2M -24.8M -80.0K 0.01 18.30 N/A N/A 34,410 510 622,990 64,560 2010-09-02 $0.96 $0.80 42.9% 12.3% 43.5% 20.7% 42.8% 3.4% 4.6% 1.3M -25.2M -78.6K 0.55 21.55 N/A N/A 41,610 23,030 637,900 64,370 2010-09-03 $0.99 $0.90 39.5% 13.0% 44.8% 13.2% 44.1% 4.5% 2.8% 1.5M -32.0M -82.6K 0.15 22.46 N/A N/A 17,170 2,550 676,410 86,830 2010-09-07 $0.95 $0.90 46.5% 14.3% 46.8% 28.7% 48.6% 0.1% 2.2% 1.4M -25.7M -78.6K 0.17 27.30 N/A N/A 6,190 1,050 695,470 88,730 2010-09-08 $0.95 $0.90 41.4% 14.2% 43.8% 17.5% 47.9% -0.4% 3.0% 1.5M -25.1M -73.8K 0.02 24.26 N/A N/A 17,610 300 680,510 89,330 2010-09-09 $0.96 $0.90 46.4% 13.3% 38.3% 28.5% 43.6% -0.1% 2.9% 1.5M -26.5M -73.8K 0.29 26.03 N/A N/A 3,940 1,150 689,300 89,420 2010-09-10 $0.95 $0.90 44.7% 12.8% 38.1% 24.7% 45.3% 0.4% 5.1% 1.5M -23.7M -69.9K 0.00 29.13 N/A N/A 601,640 210 690,700 90,390 2010-09-13 $1.01 $0.90 46.4% 13.3% 44.5% 28.5% 46.0% 6.5% 2.4% 1.8M -38.6M -68.2K 0.02 23.03 N/A N/A 73,050 1,610 662,720 90,580 2010-09-14 $1.01 $0.90 45.1% 12.9% 44.5% 25.5% 45.9% 2.8% 3.1% 1.9M -39.7M -68.7K 0.07 23.46 N/A N/A 20,680 1,400 678,770 91,310 2010-09-15 $1.02 $0.90 44.3% 12.7% 44.1% 23.7% 44.7% 6.0% 4.5% 2.1M -41.6M -68.5K 0.10 30.76 N/A N/A 35,700 3,740 675,510 92,610 2010-09-16 $1.06 $0.90 45.6% 13.1% 46.1% 26.6% 46.5% -0.8% 2.4% 846.8K -51.8M -69.7K 0.06 29.69 N/A N/A 75,030 4,130 701,980 93,110 2010-09-17 $1.07 $0.90 40.8% 11.7% 44.0% 16.0% 44.8% -2.8% 6.0% 755.0K -51.7M -69.1K 0.04 21.00 N/A N/A 342,510 14,460 699,030 95,070 2010-09-20 $1.10 $0.90 41.6% 11.9% 43.1% 17.8% 41.9% 4.0% 3.4% 803.9K -32.7M -80.2K 0.28 24.98 N/A N/A 27,590 7,730 515,490 66,410 2010-09-21 $1.07 $0.90 38.5% 11.0% 43.6% 11.0% 39.0% -0.9% 5.2% 884.4K -30.4M -81.0K 0.25 26.62 N/A N/A 10,660 2,700 524,890 73,220 2010-09-22 $1.09 $1.00 38.8% 11.1% 41.9% 11.7% 39.1% 3.8% 5.8% 853.9K -31.9M -82.1K 0.50 24.91 N/A N/A 52,350 26,060 528,780 75,680 2010-09-23 $1.10 $1.00 39.7% 11.4% 41.9% 13.6% 39.9% -3.5% 6.0% 882.8K -34.2M -85.7K 0.02 28.89 N/A N/A 25,660 510 555,900 100,780 2010-09-24 $1.15 $1.00 42.8% 12.3% 43.9% 20.5% 41.8% 8.5% 2.5% 841.0K -41.7M -83.5K 0.01 17.44 N/A N/A 60,090 740 566,850 101,160 2010-09-27 $1.17 $1.00 43.9% 12.6% 42.3% 22.9% 43.5% 8.0% 2.0% 915.7K -45.8M -84.5K 0.01 17.55 N/A N/A 79,410 940 600,900 101,510 2010-09-28 $1.16 $1.00 40.1% 11.5% 42.2% 14.4% 40.6% 4.0% 3.2% 1.0M -47.4M -91.0K 0.10 16.00 N/A N/A 51,100 5,190 640,150 101,960 2010-09-29 $1.16 $1.00 40.7% 11.7% 42.0% 15.9% 39.1% 3.1% 5.4% 1.1M -51.1M -94.2K 0.20 20.77 N/A N/A 17,260 3,460 675,900 104,470 2010-09-30 $1.16 $1.00 39.1% 11.2% 39.8% 12.4% 27.6% 4.9% 6.1% 1.1M -51.1M -95.4K 0.34 18.18 N/A N/A 64,090 22,100 687,310 107,090
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