HUN Options History — June 2011

In June 2011, HUN traded between $1.68 and $1.89. ATM implied volatility averaged 36.7%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.8% (HV 20d: 32.9%). Max pain ranged from $1.70 to $1.80. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2011-06-17: Highest Volume — 313,490 contracts
  • 2011-06-02: Largest IV drop — 12.3% change
  • 2011-06-16: Highest IV Rank — 40.4%
  • 2011-06-16: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.78$1.68$1.89$1.84$1.89
Max Pain$1.73$1.70$1.80$1.80$1.70
ATM IV36.7%30.5%41.7%36.8%30.5%
Expected Move10.6%8.8%12.0%10.6%8.8%
HV 20d32.9%26.5%38.9%30.9%38.1%
HV 60d34.3%32.5%35.2%33.4%35.0%
IV Rank21.7%0.0%40.4%20.1%0.0%
IV Percentile29.4%0.0%65.1%24.2%0.0%
Term Structure4.0%-0.5%8.0%-0.5%8.0%
VWIV37.0%30.7%46.6%34.9%30.7%
Skew 25d4.5%2.8%7.4%4.0%4.4%
Skew 10d9.0%-4.4%21.3%2.9%15.2%
Call IV 25d35.0%29.0%39.9%34.4%29.0%
Put IV 25d39.5%33.3%43.8%38.3%33.3%
Bid-Ask Spread %29.5017.4741.9226.0120.78
Gamma HHI0.290.160.610.320.23
Net GEX1.4M-66.2K3.1M2.6M1.2M
Net DEX-21.7M-45.3M-2.2M-35.3M-45.3M
Net VEX-150.2K-202.6K-103.6K-145.7K-185.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.003.950.120.10
Total Volume40,1952,430313,4905,5705,150
Total OI924,305.455570,3201,161,620981,600809,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$1.84$1.8036.8%10.6%30.9%20.1%34.9%4.0%-0.5%2.6M-35.3M-145.7K0.1226.01N/AN/A4,990580542,360439,240
2011-06-02$1.86$1.8032.3%9.3%30.0%5.2%33.2%4.8%4.2%2.9M-37.0M-145.8K1.9825.23N/AN/A3,3006,530543,770439,640
2011-06-03$1.81$1.8034.9%10.4%29.1%13.8%37.3%3.5%4.2%2.6M-27.2M-135.5K0.8541.92N/AN/A15,70013,380543,750445,110
2011-06-06$1.76$1.8035.8%10.8%26.5%16.6%38.5%5.0%4.5%1.6M-12.3M-129.3K0.4137.60N/AN/A4,8702,010553,190449,950
2011-06-07$1.80$1.8036.9%10.7%28.0%22.5%37.3%4.4%3.7%2.2M-19.9M-135.9K0.2732.66N/AN/A14,4203,870553,690451,070
2011-06-08$1.73$1.8038.1%11.2%29.7%26.9%39.0%4.2%3.0%729.0K-3.7M-117.6K0.4741.31N/AN/A5,2202,440560,850450,170
2011-06-09$1.78$1.7038.2%10.9%31.1%27.4%38.8%5.4%2.1%2.5M-16.7M-122.7K0.1927.56N/AN/A12,1502,290563,920450,120
2011-06-10$1.77$1.7037.9%10.9%28.9%26.3%37.8%5.0%2.6%2.2M-14.5M-116.9K0.3126.72N/AN/A7,9502,430571,090450,080
2011-06-13$1.72$1.7039.9%11.4%29.6%33.6%38.5%5.2%2.9%1.1M-5.6M-103.6K0.9723.57N/AN/A54,33052,820574,170450,450
2011-06-14$1.77$1.7038.2%10.9%31.8%27.3%37.1%7.4%4.2%3.1M-23.1M-127.0K0.0431.96N/AN/A27,3301,120625,350502,180
2011-06-15$1.76$1.7039.1%11.2%31.8%30.9%39.2%6.2%3.6%3.0M-20.1M-132.5K0.5031.30N/AN/A1,630810650,320502,780
2011-06-16$1.70$1.7041.7%12.0%32.6%40.4%46.6%3.9%3.7%252.9K-6.3M-124.3K3.9528.56N/AN/A8,07031,900648,890502,530
2011-06-17$1.68$1.7041.3%11.8%32.7%38.6%42.7%5.1%3.2%-66.2K-2.2M-117.4K1.0129.59N/AN/A156,310157,180650,270511,350
2011-06-20$1.70$1.7038.7%11.1%33.1%29.2%38.1%4.7%3.3%236.2K-9.5M-144.2K0.0135.48N/AN/A24,910280329,520240,800
2011-06-21$1.77$1.7035.7%10.2%36.9%18.1%35.4%3.7%4.3%444.6K-18.7M-148.6K0.7436.49N/AN/A114,08084,920346,910240,950
2011-06-22$1.76$1.7034.0%9.7%37.0%12.0%34.2%2.9%5.6%627.5K-24.3M-197.1K0.0817.47N/AN/A11,850890450,530323,990
2011-06-23$1.76$1.7036.2%10.4%36.3%20.3%37.1%5.0%4.8%655.2K-25.0M-202.6K0.0034.55N/AN/A2,4300460,630324,630
2011-06-24$1.75$1.7037.2%10.7%36.2%23.6%35.0%4.1%4.9%622.4K-23.2M-197.9K0.0323.70N/AN/A21,070670461,720324,630
2011-06-27$1.79$1.7035.9%10.3%37.3%18.9%35.3%3.2%4.5%851.3K-29.9M-194.4K0.1927.97N/AN/A7,8601,500466,970325,300
2011-06-28$1.84$1.7035.1%10.1%38.9%16.3%34.3%4.5%6.6%980.2K-37.3M-191.8K0.4220.81N/AN/A3,7501,590473,180326,320
2011-06-29$1.86$1.7033.0%9.5%37.9%8.5%33.1%2.8%4.8%1.1M-40.5M-189.1K0.1327.83N/AN/A8,5901,120475,280327,850
2011-06-30$1.89$1.7030.5%8.8%38.1%0.0%30.7%4.4%8.0%1.2M-45.3M-185.0K0.1020.78N/AN/A4,690460480,930328,290