HUN Options History — November 2010

In November 2010, HUN traded between $1.28 and $1.55. ATM implied volatility averaged 38.2%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 8.3% (HV 20d: 30.0%). Max pain ranged from $1.00 to $1.30. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-11-12: Highest Volume — 641,180 contracts
  • 2010-11-30: Largest IV spike — 20.8% change
  • 2010-11-30: Highest IV Rank — 32.4%
  • 2010-11-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.38$1.28$1.55$1.37$1.55
Max Pain$1.20$1.00$1.30$1.00$1.30
ATM IV38.2%34.0%45.4%45.4%45.3%
Expected Move11.1%10.1%13.0%13.0%13.0%
HV 20d30.0%24.4%34.6%30.9%34.6%
HV 60d35.1%33.5%39.2%39.2%34.7%
IV Rank12.1%1.1%32.4%26.3%32.4%
IV Percentile15.2%1.2%57.5%52.4%57.5%
Term Structure-0.1%-3.3%3.0%-3.3%-3.3%
VWIV41.1%35.2%54.9%46.7%45.1%
Skew 25d5.9%-1.5%10.7%5.1%-1.5%
Skew 10d15.3%-7.1%33.4%28.3%-3.2%
Call IV 25d36.9%26.5%48.1%45.2%48.1%
Put IV 25d42.8%36.1%51.4%50.3%46.6%
Bid-Ask Spread %26.8814.9468.5414.9420.90
Gamma HHI0.250.180.320.180.25
Net GEX1.4M942.2K2.1M1.2M1.2M
Net DEX-78.8M-89.9M-50.0M-84.3M-84.0M
Net VEX-108.8K-144.4K-79.0K-96.9K-102.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.013.191.760.04
Total Volume61,212.8576,630641,18023,350153,980
Total OI960,828.095774,1101,183,620948,470790,730

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$1.37$1.0045.4%13.0%30.9%26.3%46.7%5.1%-3.3%1.2M-84.3M-96.9K1.7614.94N/AN/A8,47014,880820,910127,560
2010-11-02$1.38$1.0044.1%12.7%30.6%23.4%54.9%7.9%-1.5%1.2M-85.7M-98.7K1.5216.30N/AN/A5,3408,130823,110133,540
2010-11-03$1.39$1.0043.6%12.5%30.5%22.2%53.3%5.6%-1.8%1.1M-88.5M-93.8K1.3015.71N/AN/A7,88010,250824,700133,960
2010-11-04$1.39$1.0036.1%10.3%30.7%6.9%37.1%2.1%3.0%942.2K-89.9M-82.4K0.1417.77N/AN/A52,1907,340824,230136,190
2010-11-05$1.37$1.2034.0%10.9%31.3%1.1%38.4%3.9%1.4%1.0M-88.2M-86.4K0.4725.29N/AN/A4,5202,110838,320140,260
2010-11-08$1.37$1.2038.0%11.3%30.7%12.2%40.0%3.9%0.2%1.1M-87.5M-85.0K0.5329.69N/AN/A8,7104,580838,300141,960
2010-11-09$1.37$1.2037.1%10.6%30.7%9.7%37.1%4.1%1.7%1.0M-87.2M-81.9K0.0623.40N/AN/A21,5301,270836,180144,760
2010-11-10$1.37$1.2035.0%10.5%30.7%3.9%39.6%4.6%0.9%1.0M-86.8M-79.6K0.0329.20N/AN/A31,090900830,000144,770
2010-11-11$1.37$1.2035.7%10.2%30.5%6.0%49.3%9.5%0.8%1.0M-85.4M-79.0K0.0123.32N/AN/A92,630500819,680145,070
2010-11-12$1.34$1.2037.0%10.6%32.3%9.6%37.2%5.3%-2.5%1.2M-80.7M-83.7K0.0324.62N/AN/A622,32018,860837,030144,570
2010-11-15$1.32$1.2038.0%10.9%32.0%12.2%36.3%2.8%-0.4%2.1M-80.7M-142.3K0.2731.55N/AN/A21,3805,840973,730163,110
2010-11-16$1.28$1.2038.8%11.1%32.9%14.3%38.8%6.0%0.5%2.0M-69.1M-137.2K3.1927.14N/AN/A12,03038,320980,660166,760
2010-11-17$1.30$1.3038.6%11.1%30.5%14.0%43.8%7.8%1.2%1.9M-74.5M-144.4K0.0125.61N/AN/A24,460320981,030191,910
2010-11-18$1.35$1.3037.0%10.6%26.7%9.4%38.2%9.7%-0.4%1.8M-89.4M-139.6K0.0331.20N/AN/A18,730630991,910191,710
2010-11-19$1.36$1.3038.0%10.9%26.6%12.3%38.6%6.9%0.0%1.8M-85.7M-140.5K0.0328.71N/AN/A36,5101,200963,100192,030
2010-11-22$1.37$1.3035.2%10.1%24.4%4.6%35.5%9.6%2.7%1.7M-55.3M-126.1K0.5668.54N/AN/A5,5403,080669,330104,780
2010-11-23$1.36$1.3036.4%10.4%24.4%7.8%38.1%5.5%-0.1%1.6M-50.0M-133.9K0.8426.37N/AN/A4,2003,510671,820107,290
2010-11-24$1.42$1.3036.0%10.3%29.6%6.8%36.4%10.7%-1.5%1.6M-63.3M-121.0K0.2026.88N/AN/A7,7801,520672,260108,960
2010-11-26$1.44$1.3036.3%10.4%29.5%7.6%35.2%6.2%0.2%1.6M-67.9M-118.5K0.0330.59N/AN/A9,270290674,460109,240
2010-11-29$1.46$1.3037.5%10.8%29.6%10.9%44.0%9.0%-0.6%1.6M-70.8M-111.7K0.1926.80N/AN/A11,2602,120678,020109,450
2010-11-30$1.55$1.3045.3%13.0%34.6%32.4%45.1%-1.5%-3.3%1.2M-84.0M-102.4K0.0420.90N/AN/A147,3806,600680,250110,480