HUN Options History — December 2011

In December 2011, HUN traded between $0.94 and $1.11. ATM implied volatility averaged 49.3%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 7.3% (HV 20d: 56.6%). Max pain ranged from $1.00 to $1.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2011-12-09: Highest Volume — 99,340 contracts
  • 2011-12-14: Largest IV spike — 14.8% change
  • 2011-12-08: Highest IV Rank — 34.8%
  • 2011-12-08: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.00$0.94$1.11$1.11$1.00
Max Pain$1.15$1.00$1.25$1.00$1.10
ATM IV49.3%40.6%59.6%50.0%40.8%
Expected Move14.2%11.6%16.6%14.3%11.7%
HV 20d56.6%45.2%59.7%56.4%45.8%
HV 60d71.4%67.2%74.1%74.1%67.3%
IV Rank23.9%14.6%34.8%24.6%14.9%
IV Percentile64.3%52.8%77.4%67.1%52.8%
Term Structure5.8%0.2%11.8%0.2%8.7%
VWIV50.0%40.8%57.3%50.9%40.8%
Skew 25d4.4%-3.8%9.6%5.9%3.3%
Skew 10d10.4%-10.3%29.8%7.2%7.4%
Call IV 25d48.4%39.4%56.5%48.6%40.6%
Put IV 25d52.8%42.2%61.0%54.5%44.0%
Bid-Ask Spread %10.666.5319.5815.9913.78
Gamma HHI0.290.170.440.400.24
Net GEX241.2K68.6K515.7K480.7K202.7K
Net DEX4.7M-5.7M10.3M-5.6M4.3M
Net VEX-61.9K-78.3K-52.7K-78.3K-58.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.082.070.390.37
Total Volume23,352.8574,17099,34013,2808,010
Total OI685,246.667623,840769,600647,140670,800

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$1.11$1.0050.0%14.3%56.4%24.6%50.9%5.9%0.2%480.7K-5.6M-78.3K0.3915.99N/AN/A9,5403,740435,760211,380
2011-12-02$1.11$1.0050.2%14.4%56.4%24.9%52.0%7.6%0.7%502.2K-5.7M-76.1K1.0819.58N/AN/A10,53011,410438,200212,680
2011-12-05$1.10$1.1051.4%14.6%56.4%26.1%49.6%9.6%3.9%515.7K-4.2M-74.7K0.707.78N/AN/A10,4507,290440,970216,130
2011-12-06$1.06$1.1054.0%15.5%57.0%28.9%54.1%7.8%3.6%450.6K-403.6K-71.5K2.079.72N/AN/A13,98028,880446,830221,630
2011-12-07$1.07$1.2553.5%15.1%57.3%28.3%54.1%7.3%4.3%469.2K-300.8K-73.8K0.628.98N/AN/A7,1504,410453,060237,660
2011-12-08$1.00$1.2559.6%16.6%57.9%34.8%56.3%5.4%2.9%267.8K5.9M-64.4K0.729.51N/AN/A31,15022,300455,690240,260
2011-12-09$1.02$1.2551.4%16.1%58.9%26.1%57.0%4.2%3.3%349.5K5.3M-68.6K0.7111.79N/AN/A58,04041,300467,780252,490
2011-12-12$0.99$1.2554.4%15.8%58.9%29.3%57.3%3.6%3.7%248.7K7.6M-63.0K0.2512.35N/AN/A10,3802,610505,920253,020
2011-12-13$0.97$1.2551.7%15.2%59.1%26.4%54.9%5.5%5.5%204.8K8.5M-59.7K0.2312.90N/AN/A10,3902,360509,980254,780
2011-12-14$0.95$1.2559.3%16.2%59.2%34.5%56.3%4.5%4.7%97.9K10.3M-54.7K0.1012.47N/AN/A32,4103,280509,990255,100
2011-12-15$0.97$1.2551.1%14.7%59.7%25.8%51.9%3.3%5.9%142.8K9.9M-55.8K0.688.73N/AN/A2,4801,690510,540256,730
2011-12-16$0.97$1.2551.9%14.9%58.9%26.6%53.0%3.9%5.3%120.9K9.9M-55.7K0.148.26N/AN/A44,9706,170512,460257,140
2011-12-19$0.94$1.1052.6%15.1%59.7%27.4%51.1%4.0%6.3%68.6K7.8M-54.0K0.438.70N/AN/A14,7506,310402,670221,170
2011-12-20$0.96$1.1048.1%13.8%59.5%22.6%48.5%0.1%6.9%103.9K6.6M-58.0K0.129.86N/AN/A7,030870412,770224,310
2011-12-21$0.95$1.1045.1%12.9%58.8%19.3%46.9%0.4%7.5%95.3K7.7M-54.3K0.758.04N/AN/A10,4107,790416,410222,670
2011-12-22$0.98$1.1043.4%12.4%56.9%17.5%45.0%6.1%9.0%126.3K6.4M-56.4K0.0811.22N/AN/A7,800600420,280221,170
2011-12-23$0.98$1.1041.1%11.8%56.7%15.2%42.2%6.3%8.0%146.9K6.0M-57.0K0.6611.17N/AN/A5,5403,630424,140221,700
2011-12-27$1.00$1.1040.6%11.6%53.1%14.6%41.2%4.9%10.3%170.6K4.6M-57.7K0.429.69N/AN/A16,6607,070425,810222,010
2011-12-28$0.95$1.1044.5%12.8%56.9%18.7%45.0%-3.8%11.8%125.9K7.5M-52.7K0.436.53N/AN/A6,2802,680435,620227,020
2011-12-29$0.98$1.1040.9%11.7%45.2%14.9%40.9%2.7%9.7%174.4K5.7M-55.1K0.156.73N/AN/A6,9901,080439,950225,500
2011-12-30$1.00$1.1040.8%11.7%45.8%14.9%40.8%3.3%8.7%202.7K4.3M-58.0K0.3713.78N/AN/A5,8302,180444,530226,270