HUN Options History — July 2011

In July 2011, HUN traded between $1.90 and $2.02. ATM implied volatility averaged 36.0%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.9% (HV 20d: 30.1%). Max pain ranged from $1.70 to $1.70. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2011-07-05: Highest Volume — 125,920 contracts
  • 2011-07-14: Largest IV spike — 42.4% change
  • 2011-07-29: Highest IV Rank — 58.0%
  • 2011-07-29: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.95$1.90$2.02$1.93$1.91
Max Pain$1.70$1.70$1.70$1.70$1.70
ATM IV36.0%26.9%42.8%30.3%42.8%
Expected Move10.9%8.7%12.3%8.7%12.3%
HV 20d30.1%25.8%37.8%37.8%29.0%
HV 60d33.0%32.1%34.7%34.7%32.1%
IV Rank29.9%0.0%58.0%0.0%58.0%
IV Percentile35.0%0.0%79.8%0.0%79.8%
Term Structure-0.8%-3.1%7.3%7.3%-3.1%
VWIV39.2%30.0%44.8%30.0%42.4%
Skew 25d5.0%2.0%7.8%3.9%5.2%
Skew 10d12.0%6.1%29.0%12.9%9.2%
Call IV 25d36.2%28.0%42.0%28.0%42.0%
Put IV 25d41.2%31.9%47.1%31.9%47.1%
Bid-Ask Spread %21.7116.6328.0721.2424.47
Gamma HHI0.170.140.210.210.16
Net GEX2.0M1.2M2.5M1.2M2.2M
Net DEX-68.5M-81.5M-53.2M-53.2M-60.4M
Net VEX-197.1K-219.8K-173.2K-173.2K-188.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.032.501.000.42
Total Volume31,086.52,080125,92092,9805,240
Total OI1,086,927.5812,7901,164,840812,7901,164,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$1.93$1.7030.3%8.7%37.8%0.0%30.0%3.9%7.3%1.2M-53.2M-173.2K1.0021.24N/AN/A46,42046,560484,240328,550
2011-07-05$1.96$1.7034.3%10.3%35.8%14.5%40.3%6.9%-0.6%1.4M-60.7M-183.1K0.4228.07N/AN/A88,74037,180521,790369,200
2011-07-06$1.99$1.7031.0%10.5%35.5%2.9%39.4%7.8%-0.7%1.5M-72.1M-197.6K0.6019.77N/AN/A43,35026,180584,350405,200
2011-07-07$2.02$1.7030.3%10.3%31.5%0.0%34.4%7.1%-1.3%1.7M-81.5M-202.3K0.0423.57N/AN/A57,0902,200622,330425,010
2011-07-08$1.99$1.7029.2%10.3%31.4%0.0%36.6%4.8%-0.7%2.0M-78.5M-206.7K0.2321.33N/AN/A6,1001,390662,570431,890
2011-07-11$1.93$1.7036.5%11.1%33.4%29.1%39.8%5.4%-1.9%1.9M-66.8M-214.1K0.7017.63N/AN/A1,380960665,260432,610
2011-07-12$1.92$1.7034.5%10.9%31.7%21.3%36.7%7.0%-1.7%2.0M-65.8M-213.3K0.0622.48N/AN/A34,3201,900665,560433,150
2011-07-13$1.93$1.7026.9%11.3%30.5%0.0%38.9%5.8%-2.1%2.0M-68.5M-211.1K1.8123.41N/AN/A6,59011,930682,570434,090
2011-07-14$1.90$1.7038.3%11.0%31.0%41.7%39.6%6.7%-0.5%2.1M-60.4M-219.8K0.1925.65N/AN/A7,5401,450684,250441,760
2011-07-15$1.93$1.7038.3%11.0%28.1%41.5%39.6%3.9%-0.4%2.1M-68.7M-205.7K0.1423.36N/AN/A29,7504,070679,840442,310
2011-07-18$1.90$1.7039.5%11.3%28.6%45.9%44.5%5.1%3.2%1.7M-53.7M-202.0K1.4320.18N/AN/A10,68015,220646,560422,200
2011-07-19$1.94$1.7038.1%10.9%29.1%41.1%38.0%5.2%-1.1%1.9M-63.5M-196.0K0.0518.00N/AN/A28,5401,530647,160426,560
2011-07-20$1.98$1.7038.1%10.9%26.0%41.1%38.1%4.8%-2.3%2.1M-74.1M-188.0K0.1919.67N/AN/A45,5608,740673,980427,340
2011-07-21$2.01$1.7038.6%11.1%25.8%42.9%39.2%2.0%-1.7%2.2M-81.3M-200.8K0.2518.38N/AN/A22,8905,770712,460432,400
2011-07-22$1.99$1.7036.7%10.5%26.4%35.8%39.6%4.2%-1.5%2.3M-78.2M-198.2K0.5616.63N/AN/A1,540860718,680434,090
2011-07-25$1.97$1.7037.4%10.7%26.5%38.3%40.8%4.4%-0.9%2.4M-74.7M-185.5K0.1421.35N/AN/A4,140590719,240434,710
2011-07-26$2.00$1.7037.7%10.8%25.9%39.6%38.9%2.7%-0.3%2.5M-81.5M-181.2K0.0320.38N/AN/A2,02060723,080435,020
2011-07-27$1.92$1.7040.8%11.7%29.5%50.7%42.0%3.9%-2.5%2.2M-62.8M-187.9K0.9624.02N/AN/A4,6604,490724,060435,040
2011-07-28$1.92$1.7041.6%11.9%29.3%53.8%44.8%3.1%-2.1%2.2M-63.4M-187.8K2.5024.65N/AN/A1,1702,930727,680436,920
2011-07-29$1.91$1.7042.8%12.3%29.0%58.0%42.4%5.2%-3.1%2.2M-60.4M-188.3K0.4224.47N/AN/A3,7001,540727,680437,160