HUN Options History — March 2011 In March 2011, HUN traded between $1.61 and $1.77. ATM implied volatility averaged 38.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.5% (HV 20d: 39.6%). Max pain ranged from $1.60 to $1.70. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.65.
Notable Days 2011-03-25 : Highest Volume — 225,610 contracts2011-03-10 : Largest IV spike — 15.4% change2011-03-16 : Highest IV Rank — 40.6%2011-03-16 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $1.70 $1.61 $1.77 $1.69 $1.74 Max Pain $1.61 $1.60 $1.70 $1.70 $1.60 ATM IV 38.1% 33.5% 46.7% 39.7% 35.9% Expected Move 11.1% 9.6% 13.4% 11.4% 10.3% HV 20d 39.6% 35.6% 43.4% 38.4% 35.6% HV 60d 40.6% 39.3% 42.2% 40.3% 40.8% IV Rank 18.8% 7.0% 40.6% 22.8% 13.1% IV Percentile 29.5% 6.0% 76.2% 37.7% 15.5% Term Structure 1.9% -2.5% 6.9% -1.8% 6.3% VWIV 38.0% 31.5% 43.6% 39.5% 32.8% Skew 25d 1.9% -6.9% 7.1% -0.9% -6.9% Skew 10d -1.3% -22.7% 14.5% -16.8% -8.7% Call IV 25d 37.2% 30.2% 42.9% 39.3% 36.6% Put IV 25d 39.1% 29.0% 46.6% 38.4% 29.7% Bid-Ask Spread % 33.95 19.49 73.48 21.99 73.48 Gamma HHI 0.26 0.20 0.35 0.23 0.21 Net GEX 1.5M 1.1M 2.1M 1.2M 1.9M Net DEX -33.1M -57.8M -16.5M -28.1M -50.1M Net VEX -192.8K -208.0K -177.2K -190.5K -191.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.02 3.33 0.67 0.39 Total Volume 27,873.913 1,400 225,610 12,210 6,090 Total OI 1,041,389.13 905,360 1,160,830 962,760 1,095,420
Daily Data (23 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 2011-03-01 $1.69 $1.70 39.7% 11.4% 38.4% 22.8% 39.5% -0.9% -1.8% 1.2M -28.1M -190.5K 0.67 21.99 N/A N/A 7,310 4,900 524,260 438,500 2011-03-02 $1.71 $1.70 38.2% 11.0% 37.6% 19.1% 31.5% 2.8% 1.0% 1.3M -30.2M -188.9K 0.72 21.87 N/A N/A 19,680 14,090 529,080 441,610 2011-03-03 $1.76 $1.70 36.6% 10.5% 38.8% 14.9% 40.5% 2.4% 3.4% 1.6M -40.5M -192.3K 0.25 29.19 N/A N/A 6,480 1,620 538,300 451,430 2011-03-04 $1.73 $1.60 34.0% 10.8% 38.9% 8.3% 37.9% 3.0% 1.3% 1.6M -33.7M -190.7K 0.34 28.00 N/A N/A 4,190 1,410 540,910 451,910 2011-03-07 $1.67 $1.60 39.0% 11.4% 40.3% 21.0% 38.3% 3.9% -0.6% 1.3M -23.2M -186.5K 0.97 21.96 N/A N/A 16,550 16,050 542,030 453,050 2011-03-08 $1.74 $1.60 38.9% 12.0% 42.5% 20.7% 41.5% 6.9% -2.5% 1.6M -34.7M -201.7K 0.15 37.18 N/A N/A 13,760 2,000 555,290 466,610 2011-03-09 $1.70 $1.60 34.4% 11.3% 43.0% 9.4% 39.1% 4.9% 0.5% 1.6M -28.1M -196.5K 1.14 27.41 N/A N/A 4,380 5,010 553,370 467,180 2011-03-10 $1.67 $1.60 39.7% 11.4% 43.4% 22.9% 39.6% 3.8% 1.4% 1.3M -21.4M -198.3K 0.83 25.62 N/A N/A 60,850 50,450 556,730 468,590 2011-03-11 $1.66 $1.60 40.2% 11.5% 43.0% 24.3% 39.7% 4.2% 1.7% 1.6M -25.2M -208.0K 0.03 30.73 N/A N/A 9,170 250 609,330 518,890 2011-03-14 $1.65 $1.60 39.9% 11.5% 42.4% 23.5% 39.8% 4.1% 0.9% 1.6M -24.1M -200.2K 0.51 28.44 N/A N/A 3,910 2,010 617,470 519,020 2011-03-15 $1.62 $1.60 45.1% 12.9% 39.6% 36.6% 43.6% 3.5% -0.9% 1.2M -16.5M -199.3K 0.12 30.35 N/A N/A 18,430 2,250 620,530 520,360 2011-03-16 $1.61 $1.60 46.7% 13.4% 39.5% 40.6% 42.5% 4.0% 0.4% 1.3M -17.8M -200.2K 3.33 39.47 N/A N/A 2,400 8,000 634,080 520,590 2011-03-17 $1.65 $1.60 42.7% 12.2% 40.9% 30.4% 43.2% 7.1% -1.0% 1.7M -25.0M -195.0K 0.65 30.06 N/A N/A 6,220 4,020 628,350 526,620 2011-03-18 $1.66 $1.60 37.5% 10.8% 41.1% 17.3% 37.9% 4.4% 3.1% 2.1M -25.4M -190.3K 0.91 21.15 N/A N/A 6,470 5,900 632,730 528,100 2011-03-21 $1.71 $1.60 34.3% 9.8% 41.9% 9.2% 34.8% 4.7% 4.1% 1.1M -33.4M -177.2K 0.19 30.19 N/A N/A 46,560 8,770 468,450 436,910 2011-03-22 $1.70 $1.60 35.2% 10.1% 36.9% 11.4% 35.4% 2.9% 1.7% 1.3M -34.6M -192.0K 0.65 19.49 N/A N/A 2,260 1,460 513,250 441,870 2011-03-23 $1.67 $1.60 33.5% 9.6% 36.5% 7.0% 32.9% 0.8% 3.2% 1.4M -31.7M -184.5K 0.23 19.68 N/A N/A 1,140 260 515,110 442,620 2011-03-24 $1.67 $1.60 33.9% 9.7% 36.0% 8.1% 33.5% -0.8% 3.2% 1.5M -30.0M -185.1K 1.44 23.06 N/A N/A 1,800 2,590 515,680 442,790 2011-03-25 $1.77 $1.60 36.6% 10.5% 39.7% 15.0% 37.0% 1.5% 6.9% 1.2M -48.6M -184.8K 0.02 27.31 N/A N/A 220,910 4,700 516,710 445,020 2011-03-28 $1.76 $1.60 38.1% 10.9% 39.9% 18.8% 41.0% -6.6% 2.8% 1.8M -57.8M -192.4K 0.14 61.78 N/A N/A 14,800 2,070 633,580 447,700 2011-03-29 $1.74 $1.60 37.3% 10.7% 37.0% 16.8% 38.7% 1.2% 6.2% 1.9M -50.1M -195.8K 0.41 67.84 N/A N/A 9,470 3,860 638,680 449,520 2011-03-30 $1.73 $1.60 38.9% 11.2% 36.9% 20.9% 32.6% -6.3% 3.0% 1.9M -51.0M -193.2K 0.83 64.54 N/A N/A 9,050 7,550 641,490 452,230 2011-03-31 $1.74 $1.60 35.9% 10.3% 35.6% 13.1% 32.8% -6.9% 6.3% 1.9M -50.1M -191.5K 0.39 73.48 N/A N/A 4,380 1,710 639,670 455,750
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