HUN Options History — May 2011

In May 2011, HUN traded between $1.84 and $2.10. ATM implied volatility averaged 37.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.7% (HV 20d: 34.7%). Max pain ranged from $1.70 to $1.90. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-05-17: Highest Volume — 489,890 contracts
  • 2011-05-05: Largest IV drop — 12.4% change
  • 2011-05-17: Highest IV Rank — 28.5%
  • 2011-05-04: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.95$1.84$2.10$2.10$1.90
Max Pain$1.81$1.70$1.90$1.70$1.80
ATM IV37.3%32.1%41.8%39.2%33.3%
Expected Move10.9%9.2%12.0%11.2%9.5%
HV 20d34.7%29.8%38.2%29.8%33.4%
HV 60d36.2%33.5%38.4%34.8%33.5%
IV Rank19.0%4.6%28.5%21.8%8.4%
IV Percentile29.4%4.0%53.6%40.1%7.1%
Term Structure1.3%-4.4%4.1%-2.0%3.0%
VWIV37.9%32.8%42.6%39.3%33.6%
Skew 25d3.3%-0.7%5.8%0.6%3.5%
Skew 10d10.6%-6.2%25.5%8.3%4.0%
Call IV 25d36.5%30.7%43.3%39.7%32.7%
Put IV 25d39.8%33.3%43.7%40.3%36.2%
Bid-Ask Spread %25.3413.8535.2815.8622.85
Gamma HHI0.270.190.390.210.36
Net GEX1.9M1.1M2.9M1.2M2.8M
Net DEX-73.9M-107.7M-33.0M-104.8M-48.1M
Net VEX-136.2K-175.8K-92.2K-110.2K-142.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.054.010.070.08
Total Volume63,580.9526,290489,89033,6306,550
Total OI1,162,671.905923,3801,631,8101,095,160982,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$2.10$1.7039.2%11.2%29.8%21.8%39.3%0.6%-2.0%1.2M-104.8M-110.2K0.0715.86N/AN/A31,5402,090612,430482,730
2011-05-03$2.00$1.7041.6%11.9%35.4%27.7%41.3%0.3%-4.4%1.5M-92.6M-116.8K0.0918.30N/AN/A9,140800614,260483,270
2011-05-04$1.95$1.7041.8%12.0%37.0%28.4%42.6%0.4%-1.0%1.8M-81.1M-129.3K0.1513.85N/AN/A34,2605,100616,140483,700
2011-05-05$2.00$1.7036.6%10.5%36.5%15.2%35.0%4.4%3.9%1.7M-91.7M-117.0K0.0726.80N/AN/A39,9802,850628,260486,300
2011-05-06$2.07$1.9034.8%10.9%33.2%11.8%40.3%5.6%0.8%1.3M-103.7M-103.1K0.0835.28N/AN/A12,040960623,150487,960
2011-05-09$2.08$1.9035.2%11.2%33.1%12.9%40.1%4.8%0.5%1.2M-105.8M-94.5K0.9930.73N/AN/A5,6305,570620,400488,110
2011-05-10$2.09$1.9035.2%11.0%32.9%13.0%38.4%4.2%0.8%1.1M-107.7M-92.2K0.1528.14N/AN/A9,3801,390621,280490,170
2011-05-11$2.02$1.9037.7%11.6%35.4%20.3%38.1%4.3%-0.4%1.4M-97.0M-102.2K0.3730.26N/AN/A23,3308,660624,650490,700
2011-05-12$1.95$1.9039.8%11.4%38.2%26.2%36.2%4.3%1.7%1.8M-85.5M-106.0K0.5026.31N/AN/A263,860133,190637,340498,760
2011-05-13$1.91$1.9040.2%11.5%36.7%27.4%41.2%3.2%2.2%1.8M-75.8M-143.7K0.4129.27N/AN/A70,38028,870675,840631,760
2011-05-16$1.89$1.8039.4%11.3%36.2%25.2%40.0%-0.7%4.1%1.9M-70.2M-146.6K0.1629.70N/AN/A7,3901,170690,540660,590
2011-05-17$1.89$1.8040.6%11.6%35.1%28.5%40.6%3.8%1.4%1.7M-65.6M-144.5K0.4720.33N/AN/A333,370156,520674,750661,610
2011-05-18$1.91$1.8038.8%11.1%35.0%23.5%39.7%2.6%2.8%2.4M-88.3M-175.8K0.2926.06N/AN/A6,5601,930814,470817,340
2011-05-19$1.89$1.8037.9%10.9%35.1%20.7%38.5%2.9%2.2%2.3M-69.1M-170.1K0.6325.95N/AN/A16,94010,720730,390817,060
2011-05-20$1.89$1.8037.9%10.9%34.0%22.3%37.9%4.5%2.0%2.9M-66.8M-168.8K0.0527.40N/AN/A24,9001,200730,760827,640
2011-05-23$1.85$1.8039.2%11.2%34.8%26.4%37.4%4.8%-0.6%1.7M-34.1M-166.7K0.7522.64N/AN/A7,7705,790501,270422,110
2011-05-24$1.84$1.8037.1%10.6%33.9%19.8%35.4%5.8%0.2%1.9M-33.0M-163.0K0.4525.49N/AN/A5,1002,270506,590427,400
2011-05-25$1.88$1.8033.6%9.6%34.6%9.3%33.9%3.5%3.3%2.1M-39.9M-160.9K0.1326.63N/AN/A5,570720510,600429,460
2011-05-26$1.89$1.8032.5%9.3%34.7%5.8%34.0%4.7%3.3%2.2M-42.8M-155.7K0.1324.87N/AN/A25,5203,240513,730429,720
2011-05-27$1.90$1.8032.1%9.2%33.5%4.6%32.8%2.6%3.6%2.8M-49.0M-149.6K4.0125.30N/AN/A4,58018,370537,080432,930
2011-05-31$1.90$1.8033.3%9.5%33.4%8.4%33.6%3.5%3.0%2.8M-48.1M-142.8K0.0822.85N/AN/A6,070480539,080443,780