HUN Options History — November 2011

In November 2011, HUN traded between $0.94 and $1.26. ATM implied volatility averaged 58.0%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 27.6% (HV 20d: 85.6%). Max pain ranged from $1.00 to $1.20. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-11-18: Highest Volume — 93,790 contracts
  • 2011-11-02: Largest IV drop — 26.3% change
  • 2011-11-01: Highest IV Rank — 53.4%
  • 2011-11-01: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.12$0.94$1.26$1.10$1.09
Max Pain$1.11$1.00$1.20$1.10$1.00
ATM IV58.0%48.3%77.1%77.1%48.3%
Expected Move16.7%13.8%22.1%22.1%13.8%
HV 20d85.6%69.5%93.5%77.3%75.6%
HV 60d73.7%70.9%79.2%79.2%75.0%
IV Rank33.1%22.8%53.4%53.4%22.8%
IV Percentile77.2%67.1%92.9%92.9%67.1%
Term Structure0.4%-6.3%3.8%-6.3%3.0%
VWIV59.0%49.7%75.3%75.3%49.7%
Skew 25d8.2%2.1%12.1%12.1%5.7%
Skew 10d16.1%-15.6%40.1%2.1%4.2%
Call IV 25d55.7%47.1%72.3%72.3%47.1%
Put IV 25d63.9%52.8%84.4%84.4%52.8%
Bid-Ask Spread %19.8512.8238.2234.4816.18
Gamma HHI0.310.180.660.180.41
Net GEX559.4K149.1K866.8K464.4K455.3K
Net DEX-6.9M-21.4M5.7M-5.5M-3.7M
Net VEX-77.5K-95.9K-57.9K-83.1K-75.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.072.530.200.21
Total Volume30,474.7628,10093,79037,42027,020
Total OI796,510.952549,750972,790814,880643,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$1.10$1.1077.1%22.1%77.3%53.4%75.3%12.1%-6.3%464.4K-5.5M-83.1K0.2034.48N/AN/A31,2906,130593,680221,200
2011-11-02$1.26$1.1056.8%16.3%89.4%31.9%61.0%10.4%1.9%794.9K-21.4M-93.9K0.3812.82N/AN/A55,87021,370601,680223,890
2011-11-03$1.26$1.1055.0%15.8%89.2%30.0%57.7%10.7%2.5%810.9K-20.9M-95.9K0.4638.22N/AN/A27,05012,540608,070236,410
2011-11-04$1.25$1.2051.9%16.1%89.5%26.6%58.4%8.5%1.2%817.8K-19.9M-95.0K0.2719.03N/AN/A17,3804,670613,770243,300
2011-11-07$1.25$1.2055.5%16.3%89.6%30.5%59.2%10.6%0.6%833.4K-20.2M-93.4K1.4421.60N/AN/A7,65011,010623,650246,170
2011-11-08$1.25$1.2057.0%17.0%89.7%32.1%56.0%8.3%-2.8%866.8K-20.0M-92.4K1.1221.51N/AN/A10,27011,510624,160249,540
2011-11-09$1.17$1.2060.6%17.3%93.3%35.9%61.9%10.0%1.9%688.5K-10.8M-86.5K0.9920.36N/AN/A10,89010,800628,040256,430
2011-11-10$1.16$1.2059.3%17.0%93.5%34.5%60.1%8.2%3.8%647.1K-8.3M-85.1K0.4317.54N/AN/A5,6802,420631,820262,090
2011-11-11$1.18$1.2057.2%16.4%93.3%32.3%56.3%11.4%-0.7%697.7K-10.1M-83.1K0.4122.34N/AN/A6,4702,680630,700263,650
2011-11-14$1.17$1.2055.3%15.8%90.0%30.2%59.8%10.4%3.0%699.3K-9.1M-77.3K0.0721.00N/AN/A55,3603,780633,310264,340
2011-11-15$1.15$1.1053.3%15.3%88.8%28.1%56.2%6.6%3.2%770.1K-10.3M-78.1K0.4020.38N/AN/A16,8506,720683,510266,410
2011-11-16$1.12$1.1055.7%16.0%87.6%30.7%55.9%6.5%1.5%684.4K-6.4M-75.3K1.9118.42N/AN/A4,9709,500694,790269,090
2011-11-17$1.09$1.1057.3%16.4%88.5%32.3%55.1%9.6%-0.5%615.6K-379.9K-70.0K0.5721.14N/AN/A8,8304,990695,850272,920
2011-11-18$1.08$1.1056.1%16.1%88.3%31.2%57.0%6.4%-0.6%602.4K2.5M-66.9K0.2015.36N/AN/A77,88015,910698,260274,530
2011-11-21$1.03$1.1063.6%18.2%84.8%39.1%61.5%11.7%-3.8%246.3K291.6K-66.2K0.6417.90N/AN/A17,63011,360379,360170,390
2011-11-22$1.00$1.1059.5%17.0%84.5%34.7%58.2%5.5%-0.2%226.4K2.1M-63.4K0.1115.87N/AN/A24,8902,650389,940178,280
2011-11-23$0.96$1.0061.6%17.7%83.5%36.9%63.9%7.6%-1.5%185.4K4.3M-57.9K2.4616.60N/AN/A12,16029,920405,370179,320
2011-11-25$0.94$1.0062.9%18.0%75.5%38.3%62.5%5.3%0.4%149.1K5.7M-59.1K0.4214.75N/AN/A7,0602,950412,400201,870
2011-11-28$1.00$1.0057.4%16.5%76.3%32.5%58.0%4.6%-0.1%243.7K3.0M-65.6K0.1015.65N/AN/A17,0901,730418,380204,210
2011-11-29$0.99$1.0055.9%16.0%69.5%30.9%55.0%2.1%1.1%246.9K3.5M-64.0K2.5315.76N/AN/A7,09017,950428,290204,160
2011-11-30$1.09$1.0048.3%13.8%75.6%22.8%49.7%5.7%3.0%455.3K-3.7M-75.6K0.2116.18N/AN/A22,2804,740430,740212,760