HUN Options History — October 2011

In October 2011, HUN traded between $0.88 and $1.29. ATM implied volatility averaged 76.5%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 8.5% (HV 20d: 68.0%). Max pain ranged from $1.00 to $1.10. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-10-27: Highest Volume — 131,090 contracts
  • 2011-10-31: Largest IV spike — 14.8% change
  • 2011-10-03: Highest IV Rank — 69.7%
  • 2011-10-03: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.03$0.88$1.29$0.88$1.17
Max Pain$1.10$1.00$1.10$1.10$1.10
ATM IV76.5%59.0%92.3%92.3%67.8%
Expected Move22.3%16.9%26.5%26.5%19.4%
HV 20d68.0%61.8%72.9%68.4%72.9%
HV 60d102.2%79.7%108.6%102.1%82.1%
IV Rank52.8%34.2%69.7%69.7%43.5%
IV Percentile92.4%79.4%98.0%98.0%84.5%
Term Structure-4.7%-9.8%4.3%-2.9%-6.4%
VWIV77.5%59.4%90.2%90.2%67.1%
Skew 25d8.8%0.0%11.6%0.0%9.7%
Skew 10d14.2%-25.8%47.0%-25.8%7.3%
Call IV 25d73.5%56.4%87.3%87.3%66.0%
Put IV 25d82.3%62.2%95.8%87.3%75.7%
Bid-Ask Spread %15.609.3629.6429.6415.76
Gamma HHI0.180.130.280.140.19
Net GEX373.1K81.7K676.8K81.7K627.7K
Net DEX-4.0M-24.5M6.0M6.0M-12.9M
Net VEX-77.6K-96.6K-49.2K-49.2K-91.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.041.560.240.47
Total Volume40,575.2387,450131,09079,19024,660
Total OI793,140.952648,720871,900648,720817,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$0.88$1.1092.3%26.5%68.4%69.7%90.2%0.0%-2.9%81.7K6.0M-49.2K0.2429.64N/AN/A64,00015,190480,310168,410
2011-10-04$0.92$1.1088.3%25.3%71.6%65.4%87.8%11.2%-2.5%129.6K4.5M-62.2K0.4327.41N/AN/A9,3404,060521,550178,600
2011-10-05$0.92$1.1086.9%24.9%66.9%63.9%82.5%11.6%-2.5%138.7K4.2M-63.0K0.0426.01N/AN/A63,8102,860527,370179,400
2011-10-06$0.96$1.0076.0%21.8%69.0%52.3%78.5%10.1%4.3%237.9K2.1M-67.5K0.7418.59N/AN/A8,2306,050570,770181,270
2011-10-07$0.97$1.1083.1%25.5%69.1%59.8%89.8%9.0%-9.8%246.9K440.7K-74.0K0.3512.07N/AN/A51,80017,920574,860186,520
2011-10-10$0.99$1.1079.6%24.1%69.4%56.2%83.6%11.3%-8.5%294.0K-848.8K-78.0K0.0813.86N/AN/A27,1502,300607,670201,950
2011-10-11$0.99$1.1075.9%23.8%65.7%52.2%82.0%7.6%-6.4%314.0K-1.9M-80.2K0.4611.34N/AN/A5,1902,400614,310202,530
2011-10-12$1.01$1.1070.8%22.7%66.6%46.8%78.6%9.2%-6.0%341.7K-2.6M-79.7K0.3113.93N/AN/A10,0403,140618,110203,390
2011-10-13$1.01$1.1078.4%22.5%64.9%54.8%81.8%9.9%-5.6%350.6K-2.3M-79.0K1.2714.28N/AN/A13,97017,690621,650203,090
2011-10-14$1.04$1.1078.7%22.6%65.8%55.2%74.5%9.5%-8.6%373.5K-4.1M-81.7K0.1612.25N/AN/A40,4906,340626,610214,260
2011-10-17$0.97$1.1079.0%22.6%68.2%55.4%80.1%6.8%-7.7%364.5K-759.4K-74.9K1.4910.20N/AN/A8,59012,780652,990215,940
2011-10-18$1.03$1.1078.8%22.6%71.2%55.3%77.9%10.1%-7.1%423.8K-3.7M-81.3K0.4917.04N/AN/A7,7003,790646,140225,760
2011-10-19$0.98$1.1079.1%22.7%68.5%55.6%81.2%8.0%-7.1%405.8K-43.6K-72.9K0.6511.69N/AN/A4,5202,930647,070218,550
2011-10-20$1.01$1.1076.3%21.9%61.8%52.7%74.4%8.8%-5.4%504.4K-1.6M-73.7K0.3615.52N/AN/A8,9903,220648,300219,380
2011-10-21$1.03$1.1078.2%22.4%62.5%54.6%77.1%6.2%-6.4%403.1K-5.0M-74.8K0.239.36N/AN/A83,88018,950649,230220,300
2011-10-24$1.11$1.1071.0%20.4%66.8%47.0%71.1%11.2%0.4%445.2K-8.5M-86.7K0.1419.28N/AN/A50,4906,850538,500201,290
2011-10-25$1.07$1.1072.3%20.7%67.6%48.3%71.3%10.4%-4.5%421.9K-5.7M-82.6K1.569.93N/AN/A6,3109,830554,000204,400
2011-10-26$1.13$1.1070.8%20.3%66.6%46.8%75.7%11.2%-2.2%479.3K-9.3M-88.6K0.3111.65N/AN/A11,8303,620555,800209,600
2011-10-27$1.23$1.1064.0%18.4%72.4%39.6%62.3%7.5%-1.9%574.5K-18.4M-92.6K0.1013.17N/AN/A118,78012,310553,730209,760
2011-10-28$1.29$1.1059.0%16.9%72.8%34.2%59.4%5.8%-1.2%676.8K-24.5M-96.6K0.0914.66N/AN/A73,5406,540567,700217,010
2011-10-31$1.17$1.1067.8%19.4%72.9%43.5%67.1%9.7%-6.4%627.7K-12.9M-91.2K0.4715.76N/AN/A16,8307,830598,240219,640