HUN Options History — January 2011

In January 2011, HUN traded between $1.58 and $1.79. ATM implied volatility averaged 37.1%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.7% (HV 20d: 42.8%). Max pain ranged from $1.25 to $1.40. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2011-01-19: Highest Volume — 116,070 contracts
  • 2011-01-10: Largest IV spike — 19.3% change
  • 2011-01-19: Highest IV Rank — 30.2%
  • 2011-01-19: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.69$1.58$1.79$1.63$1.74
Max Pain$1.35$1.25$1.40$1.25$1.40
ATM IV37.1%31.3%42.6%33.0%38.4%
Expected Move10.9%9.1%12.2%9.5%11.0%
HV 20d42.8%30.4%51.3%33.3%51.3%
HV 60d36.9%32.8%39.3%32.8%39.3%
IV Rank16.1%1.4%30.2%5.7%19.4%
IV Percentile20.0%1.2%48.0%2.4%25.4%
Term Structure1.8%-0.8%6.0%4.4%-0.8%
VWIV37.7%31.5%42.3%33.5%38.0%
Skew 25d3.3%-3.7%10.2%4.7%3.3%
Skew 10d10.6%-9.7%23.8%5.7%2.7%
Call IV 25d36.5%28.4%40.4%31.1%36.0%
Put IV 25d39.8%29.2%44.7%35.8%39.2%
Bid-Ask Spread %16.0711.0122.6819.7616.80
Gamma HHI0.430.300.920.340.30
Net GEX1.2M535.6K5.8M1.1M1.1M
Net DEX-41.6M-55.4M-23.9M-38.6M-36.5M
Net VEX-71.2K-87.6K-55.2K-59.3K-85.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.043.270.040.12
Total Volume27,058.58,750116,07026,02024,460
Total OI491,401.5383,870661,300449,530446,950

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$1.63$1.2533.0%9.5%33.3%5.7%33.5%4.7%4.4%1.1M-38.6M-59.3K0.0419.76N/AN/A24,9901,030343,670105,860
2011-01-04$1.58$1.2533.3%9.6%35.2%6.6%33.5%-1.9%5.4%1.2M-34.5M-64.9K0.0817.34N/AN/A22,4901,850355,830106,210
2011-01-05$1.64$1.2531.8%9.1%31.2%2.6%32.0%2.7%5.9%1.2M-41.4M-61.1K3.2722.68N/AN/A4,47014,600363,950107,270
2011-01-06$1.66$1.2532.1%9.2%30.7%3.4%31.5%-3.7%6.0%1.1M-42.3M-62.1K0.2014.42N/AN/A11,0602,240356,640121,310
2011-01-07$1.62$1.3031.3%11.0%30.4%1.4%37.6%4.8%2.3%1.2M-37.6M-63.5K2.5216.02N/AN/A4,15010,460356,960122,380
2011-01-10$1.75$1.3037.3%11.6%41.7%16.8%41.1%3.7%1.1%763.5K-51.4M-55.2K0.4620.67N/AN/A49,11022,690358,380131,740
2011-01-11$1.75$1.3037.0%11.6%41.6%15.9%40.0%5.5%0.2%798.5K-51.9M-64.6K0.1715.20N/AN/A18,7503,110376,930147,910
2011-01-12$1.76$1.3034.3%11.2%41.6%8.9%38.2%3.2%1.3%793.7K-52.8M-63.8K0.0515.05N/AN/A23,4001,100378,090150,660
2011-01-13$1.79$1.4038.9%11.1%40.9%20.8%38.9%4.0%2.2%764.3K-55.0M-64.5K0.3415.29N/AN/A12,3304,140383,560150,800
2011-01-14$1.79$1.4039.3%11.3%40.8%21.8%38.1%4.3%0.7%762.9K-55.4M-63.9K0.1414.36N/AN/A7,9401,130384,530153,650
2011-01-18$1.78$1.4039.8%11.4%40.7%23.0%39.5%3.5%1.3%831.1K-53.9M-62.5K0.2216.21N/AN/A8,1301,790382,410153,910
2011-01-19$1.67$1.4042.6%12.2%47.4%30.2%42.3%4.5%-0.6%535.6K-43.2M-62.1K0.0514.83N/AN/A110,8705,200384,590154,140
2011-01-20$1.60$1.4042.1%12.1%49.0%29.1%42.1%5.1%0.6%2.0M-43.3M-83.9K0.6615.13N/AN/A18,70012,300486,590155,980
2011-01-21$1.60$1.4041.6%11.9%48.7%27.8%41.1%2.3%1.1%5.8M-43.6M-87.6K0.0512.57N/AN/A8,360390496,640164,660
2011-01-24$1.64$1.4038.5%11.0%49.3%19.7%38.5%1.6%2.2%875.5K-23.9M-82.9K0.0616.29N/AN/A11,590720288,06095,810
2011-01-25$1.70$1.4038.0%10.9%50.7%18.5%38.6%4.2%0.1%877.3K-29.5M-82.7K0.2514.35N/AN/A21,2905,350295,27096,220
2011-01-26$1.72$1.4038.3%11.0%50.5%19.1%38.0%1.9%0.4%946.1K-32.9M-83.2K0.2416.77N/AN/A18,1404,380309,660101,190
2011-01-27$1.72$1.4036.7%10.5%50.5%15.3%37.1%2.4%0.9%1.0M-33.1M-84.2K0.1211.01N/AN/A23,0902,750317,090104,440
2011-01-28$1.70$1.4037.2%10.7%50.7%16.6%34.9%10.2%0.8%1.1M-31.6M-87.5K0.2116.71N/AN/A18,7303,890332,180105,910
2011-01-31$1.74$1.4038.4%11.0%51.3%19.4%38.0%3.3%-0.8%1.1M-36.5M-85.0K0.1216.80N/AN/A21,8202,640340,350106,600