HUN Options History — September 2011

In September 2011, HUN traded between $0.97 and $1.27. ATM implied volatility averaged 65.8%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 1.1% (HV 20d: 66.9%). Max pain ranged from $1.10 to $1.20. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-09-27: Highest Volume — 75,490 contracts
  • 2011-09-06: Largest IV spike — 21.2% change
  • 2011-09-30: Highest IV Rank — 56.0%
  • 2011-09-30: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.15$0.97$1.27$1.27$0.97
Max Pain$1.19$1.10$1.20$1.20$1.10
ATM IV65.8%50.8%79.5%50.8%79.5%
Expected Move18.5%14.6%22.8%14.6%22.8%
HV 20d66.9%52.8%98.0%97.7%61.9%
HV 60d99.0%96.9%100.9%97.1%100.6%
IV Rank41.5%25.5%56.0%25.5%56.0%
IV Percentile93.9%88.9%98.0%91.7%98.0%
Term Structure0.5%-3.8%3.4%3.4%1.0%
VWIV64.0%50.1%81.5%50.1%81.5%
Skew 25d9.5%6.0%12.7%6.5%6.0%
Skew 10d14.5%-13.8%36.8%19.3%-9.0%
Call IV 25d60.2%51.0%78.5%51.0%78.5%
Put IV 25d69.7%57.5%84.5%57.5%84.5%
Bid-Ask Spread %24.2118.2031.9822.3220.62
Gamma HHI0.150.130.170.160.16
Net GEX195.8K64.0K354.0K311.2K136.9K
Net DEX2.0M-3.0M6.3M-2.1M3.8M
Net VEX-65.8K-80.6K-46.9K-79.1K-61.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.052.130.050.35
Total Volume21,866.6674,65075,4908,54023,500
Total OI596,749.048483,480672,020606,470635,490

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$1.27$1.2050.8%14.6%97.7%25.5%50.1%6.5%3.4%311.2K-2.1M-79.1K0.0522.32N/AN/A8,120420442,290164,180
2011-09-02$1.24$1.2059.4%17.0%98.0%34.6%59.8%7.6%1.3%245.7K350.3K-77.0K0.5618.20N/AN/A31,71017,750443,430164,500
2011-09-06$1.20$1.2071.9%18.2%87.4%48.0%65.2%9.7%-0.5%237.0K1.8M-71.8K0.9527.01N/AN/A6,1205,790472,860162,020
2011-09-07$1.27$1.2057.5%16.6%70.6%32.6%63.6%9.7%-0.3%354.0K-2.2M-80.6K0.5227.53N/AN/A11,2405,800473,350166,180
2011-09-08$1.23$1.2064.9%17.1%69.5%40.5%59.3%11.6%1.4%266.9K863.6K-73.5K2.1324.23N/AN/A3,6607,790479,240169,470
2011-09-09$1.19$1.2062.8%18.0%61.0%38.2%63.7%12.4%-0.9%192.0K3.4M-70.5K0.1824.13N/AN/A3,930720480,720175,870
2011-09-12$1.15$1.2075.1%19.2%60.8%51.3%67.7%12.7%0.6%108.6K6.3M-61.9K0.4827.75N/AN/A7,6903,700481,330176,160
2011-09-13$1.21$1.2068.6%17.5%63.7%44.4%60.6%10.0%2.6%233.7K1.8M-69.6K0.1019.96N/AN/A9,470900483,770177,050
2011-09-14$1.21$1.2062.5%17.8%63.0%38.0%59.2%11.7%0.2%241.6K1.9M-68.0K0.5126.46N/AN/A4,0102,040489,210177,230
2011-09-15$1.25$1.2060.0%17.2%64.2%35.3%58.2%12.7%-1.8%321.5K-1.9M-70.6K0.2326.32N/AN/A8,8502,080491,200175,240
2011-09-16$1.26$1.2055.8%16.0%57.6%30.7%56.0%9.6%1.2%266.2K-3.0M-70.5K0.0619.98N/AN/A56,8503,360495,430176,590
2011-09-19$1.25$1.2053.8%15.4%52.8%28.7%55.3%9.2%3.0%242.7K-989.4K-73.9K0.2021.91N/AN/A10,1902,050349,790133,690
2011-09-20$1.20$1.2056.4%16.2%54.6%31.5%54.1%10.3%2.7%205.8K828.4K-66.6K0.4722.74N/AN/A3,4501,630354,120135,010
2011-09-21$1.12$1.2062.8%18.0%58.8%38.2%60.9%9.2%-1.9%121.3K3.6M-55.4K0.7731.98N/AN/A3,6602,800355,740135,490
2011-09-22$1.02$1.2072.2%20.7%65.5%48.2%70.2%6.9%-3.8%64.0K5.7M-46.9K0.5630.28N/AN/A13,3707,520356,190136,420
2011-09-23$1.03$1.2071.9%20.6%65.7%47.9%70.3%8.7%-0.3%74.7K5.1M-49.6K0.1323.88N/AN/A19,2702,580360,360138,430
2011-09-26$1.07$1.2068.2%19.6%67.4%44.0%70.8%8.8%1.2%111.8K3.9M-55.0K1.1423.05N/AN/A29,64033,820376,710139,820
2011-09-27$1.04$1.2078.3%22.4%60.7%54.7%70.3%7.4%-3.1%105.0K4.0M-59.8K0.1025.03N/AN/A68,4407,050401,330158,090
2011-09-28$0.99$1.2076.2%21.8%61.9%52.5%73.9%11.2%1.1%137.1K3.9M-60.3K0.4024.49N/AN/A11,9504,750458,720161,790
2011-09-29$0.99$1.1073.9%21.2%62.1%50.1%73.6%8.4%2.7%134.2K4.3M-60.3K0.2420.61N/AN/A9,3302,200462,690164,530
2011-09-30$0.97$1.1079.5%22.8%61.9%56.0%81.5%6.0%1.0%136.9K3.8M-61.4K0.3520.62N/AN/A17,3906,110469,560165,930