HUN Options History — February 2011

In February 2011, HUN traded between $1.68 and $1.89. ATM implied volatility averaged 37.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.1% (HV 20d: 38.6%). Max pain ranged from $1.40 to $1.70. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2011-02-17: Highest Volume — 405,470 contracts
  • 2011-02-25: Largest IV drop — 16.9% change
  • 2011-02-24: Highest IV Rank — 31.8%
  • 2011-02-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.78$1.68$1.89$1.78$1.76
Max Pain$1.65$1.40$1.70$1.40$1.70
ATM IV37.5%32.2%43.2%37.2%37.8%
Expected Move10.6%9.2%12.4%10.7%10.8%
HV 20d38.6%25.7%49.8%49.8%36.5%
HV 60d39.5%38.6%40.4%39.5%39.4%
IV Rank17.3%3.7%31.8%16.6%18.0%
IV Percentile23.3%3.2%57.9%19.0%26.6%
Term Structure0.8%-5.0%4.2%-0.1%-0.7%
VWIV36.2%27.1%41.4%35.7%37.3%
Skew 25d3.1%-7.8%9.0%2.4%0.3%
Skew 10d8.2%-6.6%24.4%20.2%8.2%
Call IV 25d34.5%29.9%39.0%37.3%37.0%
Put IV 25d37.7%31.3%40.6%39.7%37.3%
Bid-Ask Spread %24.0013.0834.6517.3424.96
Gamma HHI0.230.170.320.230.24
Net GEX1.2M726.5K1.6M1.1M1.4M
Net DEX-46.9M-71.6M-17.5M-42.4M-40.7M
Net VEX-113.6K-190.9K-80.7K-85.8K-190.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.022.270.140.05
Total Volume61,562.1051,980405,47010,10015,260
Total OI667,198.421462,370953,070462,370953,070

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$1.78$1.4037.2%10.7%49.8%16.6%35.7%2.4%-0.1%1.1M-42.4M-85.8K0.1417.34N/AN/A8,8801,220354,650107,720
2011-02-02$1.76$1.4037.1%10.6%48.5%16.3%41.1%4.2%-0.7%1.2M-39.9M-84.0K0.6417.68N/AN/A4,7103,020357,750107,610
2011-02-03$1.73$1.4035.7%10.2%47.9%12.7%36.4%4.7%0.9%1.2M-36.8M-86.2K0.9413.08N/AN/A65,69061,560358,120110,070
2011-02-04$1.75$1.7037.9%10.6%47.8%18.3%35.4%3.5%2.1%1.4M-44.9M-103.4K0.0922.53N/AN/A5,750520421,320171,440
2011-02-07$1.77$1.7040.4%10.3%46.9%24.7%37.0%5.1%2.2%1.4M-48.2M-97.9K0.2522.92N/AN/A11,6302,860422,270171,610
2011-02-08$1.77$1.7040.1%10.3%37.1%23.8%36.2%3.4%1.3%1.5M-49.4M-96.5K0.3323.65N/AN/A4,0801,340429,150173,590
2011-02-09$1.76$1.7038.7%10.1%37.2%20.3%0.0%5.2%2.9%1.6M-47.6M-93.8K0.1427.68N/AN/A1,730250429,970174,310
2011-02-10$1.78$1.7035.3%10.1%37.5%11.5%27.1%8.1%2.7%1.5M-51.4M-90.2K0.0221.24N/AN/A19,260420431,430174,420
2011-02-11$1.81$1.7035.9%10.3%37.6%13.0%35.7%2.3%2.8%1.2M-55.2M-85.6K0.2123.11N/AN/A34,0507,050429,050174,400
2011-02-14$1.88$1.7038.2%10.9%39.7%18.9%39.1%9.0%0.7%1.2M-64.1M-82.0K0.2234.65N/AN/A44,8409,950443,910179,600
2011-02-15$1.89$1.7037.8%10.8%39.6%17.9%36.6%5.1%0.8%1.1M-65.2M-83.1K0.0524.79N/AN/A30,4001,460448,190188,180
2011-02-16$1.88$1.7037.8%10.8%31.2%18.0%36.4%3.1%0.1%1.2M-66.2M-80.7K0.2320.95N/AN/A29,7806,830458,380188,760
2011-02-17$1.87$1.7032.2%9.2%25.7%3.7%32.8%5.1%4.2%1.4M-64.9M-81.3K0.5632.52N/AN/A260,560144,910475,170194,040
2011-02-18$1.82$1.7032.9%9.4%28.6%5.6%32.2%1.4%2.6%1.3M-71.6M-138.2K0.7918.64N/AN/A9,3007,350600,990334,040
2011-02-22$1.72$1.7037.6%10.8%35.6%17.4%37.9%3.3%1.8%984.8K-24.4M-143.0K2.2730.91N/AN/A48,330109,940384,050287,360
2011-02-23$1.68$1.7041.1%11.8%34.3%26.6%36.4%-7.8%-3.9%726.5K-17.5M-176.5K0.5126.00N/AN/A15,6408,030424,230394,470
2011-02-24$1.71$1.7043.2%12.4%34.4%31.8%41.4%-3.6%-5.0%888.7K-20.6M-171.1K0.9828.73N/AN/A86,91085,340430,650348,250
2011-02-25$1.77$1.7035.9%10.3%36.9%13.2%36.5%4.8%1.0%1.3M-40.7M-188.7K0.3424.55N/AN/A15,5305,300511,290433,260
2011-02-28$1.76$1.7037.8%10.8%36.5%18.0%37.3%0.3%-0.7%1.4M-40.7M-190.9K0.0524.96N/AN/A14,510750515,100437,970