HUN Options History — December 2010

In December 2010, HUN traded between $1.54 and $1.67. ATM implied volatility averaged 36.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 0.0% (HV 20d: 36.7%). Max pain ranged from $1.00 to $1.30. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-12-10: Highest Volume — 503,240 contracts
  • 2010-12-07: Largest IV spike — 15.6% change
  • 2010-12-07: Highest IV Rank — 35.4%
  • 2010-12-02: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.58$1.54$1.67$1.54$1.56
Max Pain$1.20$1.00$1.30$1.30$1.25
ATM IV36.7%30.8%46.4%41.3%31.2%
Expected Move10.2%8.8%12.4%11.9%9.0%
HV 20d36.7%29.5%41.8%34.9%29.5%
HV 60d32.5%31.3%33.8%33.4%31.8%
IV Rank11.3%0.0%35.4%21.5%1.2%
IV Percentile15.1%0.0%64.7%29.4%0.8%
Term Structure2.5%-5.9%6.4%-1.9%4.6%
VWIV36.2%30.8%43.3%42.4%32.3%
Skew 25d1.8%-1.6%8.5%-0.3%7.9%
Skew 10d7.6%-8.9%19.0%12.9%17.9%
Call IV 25d35.1%25.9%43.5%43.5%27.0%
Put IV 25d36.9%32.2%43.2%43.2%34.9%
Bid-Ask Spread %16.769.8544.0022.0018.08
Gamma HHI0.320.220.480.220.35
Net GEX1.3M904.4K1.7M1.5M1.2M
Net DEX-53.4M-109.0M-27.8M-85.5M-29.0M
Net VEX-74.7K-106.4K-60.6K-106.4K-60.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.009.420.060.35
Total Volume39,771.3641,310503,240103,06031,830
Total OI590,492.273392,580875,760835,420426,530

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$1.54$1.3041.3%11.9%34.9%21.5%42.4%-0.3%-1.9%1.5M-85.5M-106.4K0.0622.00N/AN/A97,4605,600722,380113,040
2010-12-02$1.56$1.3043.1%12.4%35.2%26.3%43.3%0.9%-5.9%1.6M-91.5M-103.5K0.0725.35N/AN/A28,0801,860753,200117,070
2010-12-03$1.58$1.3040.9%11.7%35.1%20.2%41.5%0.2%-4.3%1.6M-94.5M-100.8K0.1720.19N/AN/A7,7401,330758,170117,590
2010-12-06$1.57$1.0040.2%10.7%34.5%18.2%36.6%2.5%1.1%1.6M-92.9M-97.2K0.0610.85N/AN/A7,390410749,100117,560
2010-12-07$1.67$1.0046.4%10.8%38.4%35.4%37.7%-0.5%1.8%1.3M-109.0M-73.5K0.0521.77N/AN/A75,9403,510748,820117,710
2010-12-08$1.63$1.0039.6%11.0%39.8%16.7%38.5%-1.0%1.0%1.5M-102.0M-85.8K0.2116.87N/AN/A13,5902,880754,940119,430
2010-12-09$1.59$1.0037.4%10.5%41.8%10.6%37.9%1.6%3.4%1.6M-86.6M-82.8K0.1815.67N/AN/A7,4201,360698,740120,470
2010-12-10$1.59$1.0037.1%10.4%41.7%9.9%43.0%1.1%3.5%1.6M-85.6M-86.8K0.0011.24N/AN/A501,5101,730700,070121,780
2010-12-13$1.58$1.2541.7%10.3%40.4%22.4%37.3%2.3%3.0%1.5M-33.7M-71.0K0.4111.76N/AN/A6,0302,500365,510123,260
2010-12-14$1.58$1.2542.3%10.4%39.5%24.1%35.1%0.1%1.4%1.6M-33.6M-69.5K0.5812.32N/AN/A1,8501,070366,560124,610
2010-12-15$1.56$1.2536.5%10.5%38.3%8.1%37.6%1.4%1.2%1.5M-30.3M-71.3K0.1010.85N/AN/A4,170420367,260124,080
2010-12-16$1.57$1.2536.1%10.3%38.2%7.0%37.1%0.2%2.9%1.7M-32.8M-67.7K0.9412.39N/AN/A3,9803,750367,520124,250
2010-12-17$1.56$1.2535.6%10.2%37.2%5.6%35.6%1.1%2.3%904.4K-28.6M-66.4K0.4011.41N/AN/A5,3202,120368,250126,480
2010-12-20$1.55$1.2533.2%9.5%37.6%0.0%34.7%-1.6%5.2%1.0M-27.8M-63.7K0.3712.83N/AN/A6,0702,240315,19077,390
2010-12-21$1.60$1.2531.6%9.1%38.7%0.0%31.9%1.5%4.6%1.0M-32.7M-61.6K0.3816.03N/AN/A6,4202,420316,47078,950
2010-12-22$1.58$1.2531.2%8.9%38.7%0.0%32.2%3.1%6.4%1.1M-31.0M-63.4K1.6318.51N/AN/A4,2907,010320,71081,150
2010-12-23$1.57$1.2530.8%8.8%35.9%0.0%31.5%1.9%6.3%1.1M-30.2M-64.4K1.7218.33N/AN/A3,1105,340323,98087,460
2010-12-27$1.57$1.2532.4%9.3%35.7%4.2%32.2%1.3%5.2%1.1M-30.2M-62.1K0.4644.00N/AN/A1,140530325,49090,030
2010-12-28$1.55$1.2533.1%9.5%35.9%5.9%33.7%0.6%4.3%1.1M-29.0M-61.1K0.9014.85N/AN/A2,0101,810326,03090,120
2010-12-29$1.57$1.2533.8%9.7%30.0%7.7%32.8%6.3%2.7%1.1M-30.4M-60.6K9.429.85N/AN/A1,0009,420326,80090,800
2010-12-30$1.55$1.2531.9%9.1%30.1%3.0%30.8%8.5%5.4%1.1M-28.4M-63.9K0.1513.46N/AN/A1,140170327,13098,750
2010-12-31$1.56$1.2531.2%9.0%29.5%1.2%32.3%7.9%4.6%1.2M-29.0M-60.7K0.3518.08N/AN/A23,4908,340327,69098,840