HUN Options History — January 2012

In January 2012, HUN traded between $0.98 and $1.27. ATM implied volatility averaged 47.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 6.8% (HV 20d: 41.0%). Max pain ranged from $1.00 to $1.10. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2012-01-19: Highest Volume — 370,890 contracts
  • 2012-01-12: Largest IV spike — 47.3% change
  • 2012-01-13: Highest IV Rank — 35.2%
  • 2012-01-13: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.12$0.98$1.27$0.99$1.27
Max Pain$1.05$1.00$1.10$1.10$1.10
ATM IV47.8%37.6%60.0%42.3%52.9%
Expected Move14.3%11.6%17.2%12.1%15.2%
HV 20d41.0%37.9%45.8%45.8%39.1%
HV 60d63.5%48.7%67.3%67.0%48.7%
IV Rank22.2%11.4%35.2%16.4%27.7%
IV Percentile59.1%28.6%77.4%56.7%64.7%
Term Structure-0.8%-7.0%9.2%9.2%-2.0%
VWIV50.7%41.3%58.8%44.6%54.8%
Skew 25d6.4%1.1%20.4%8.6%1.1%
Skew 10d20.6%-2.9%35.7%9.3%-2.9%
Call IV 25d47.5%30.1%57.3%42.3%54.1%
Put IV 25d53.9%46.0%61.5%51.0%55.2%
Bid-Ask Spread %9.857.5914.147.8514.14
Gamma HHI0.260.180.440.250.19
Net GEX593.0K201.5K963.0K201.5K963.0K
Net DEX-20.3M-55.2M5.4M4.8M-55.2M
Net VEX-95.5K-147.5K-54.8K-55.0K-145.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.071.010.290.07
Total Volume73,6617,180370,89023,29042,770
Total OI861,582.5671,6201,262,250671,6201,006,420

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$0.99$1.1042.3%12.1%45.8%16.4%44.6%8.6%9.2%201.5K4.8M-55.0K0.297.85N/AN/A18,1205,170445,860225,760
2012-01-04$0.99$1.1040.5%11.6%45.8%14.5%41.3%6.8%8.0%206.6K5.1M-54.8K0.199.09N/AN/A34,4306,470448,410227,120
2012-01-05$0.98$1.1041.5%11.9%44.7%15.6%44.7%20.4%7.5%231.7K5.3M-56.1K0.127.59N/AN/A27,3903,310477,700231,000
2012-01-06$0.99$1.1040.1%13.9%44.7%14.0%50.1%5.9%0.4%304.7K4.5M-58.4K1.0112.86N/AN/A3,5803,600503,710231,750
2012-01-09$0.98$1.1038.8%13.9%37.9%12.6%48.3%4.7%0.5%308.9K5.4M-55.0K0.308.40N/AN/A7,5702,270505,960233,590
2012-01-10$1.02$1.1041.1%14.6%39.3%15.1%53.3%6.6%-1.8%374.4K1.5M-60.2K0.139.11N/AN/A56,1907,450509,830235,130
2012-01-11$1.06$1.0037.6%14.6%39.7%11.4%51.9%8.9%-3.8%463.8K-6.4M-67.4K0.1110.77N/AN/A49,5505,210553,420239,060
2012-01-12$1.10$1.0055.4%15.9%40.7%30.4%56.6%7.7%-4.6%516.9K-12.9M-76.8K0.158.04N/AN/A113,77017,470577,020241,450
2012-01-13$1.12$1.0060.0%17.2%39.4%35.2%58.8%6.1%-6.1%645.6K-18.4M-87.2K0.4211.68N/AN/A62,82026,700632,170244,870
2012-01-17$1.08$1.0058.0%16.6%41.7%33.2%58.3%5.6%-7.0%703.7K-13.0M-87.3K0.429.32N/AN/A16,7507,100666,060262,980
2012-01-18$1.12$1.0057.8%16.6%42.7%32.9%57.8%5.0%-4.5%694.9K-19.2M-86.6K0.289.23N/AN/A34,9609,870668,660267,510
2012-01-19$1.13$1.0054.9%15.7%39.9%29.8%53.9%6.3%-2.9%639.0K-22.1M-85.7K0.7910.57N/AN/A207,450163,440671,010272,930
2012-01-20$1.15$1.0050.4%14.4%39.5%25.0%50.6%5.1%-0.6%686.8K-34.4M-138.6K0.538.37N/AN/A27,51014,660834,260427,990
2012-01-23$1.19$1.0043.1%12.4%39.9%17.2%44.0%6.3%2.1%754.2K-37.3M-128.1K0.408.45N/AN/A51,64020,480562,740291,490
2012-01-24$1.20$1.0042.9%12.3%39.6%17.0%43.3%7.0%0.9%769.0K-37.5M-128.3K0.179.94N/AN/A54,9209,560564,930296,470
2012-01-25$1.21$1.0043.5%12.5%39.6%17.7%44.9%6.7%0.3%800.1K-39.0M-128.8K0.098.21N/AN/A92,5408,320574,430296,340
2012-01-26$1.18$1.0045.6%13.1%41.1%19.9%46.9%5.3%-2.6%902.4K-36.0M-133.1K0.2611.33N/AN/A38,4109,860598,230298,760
2012-01-27$1.27$1.1052.8%15.1%38.9%27.6%52.3%1.5%-4.5%766.1K-49.6M-129.5K0.0811.36N/AN/A158,44012,630606,960303,540
2012-01-30$1.25$1.1055.9%16.0%39.3%30.9%57.8%1.6%-5.2%926.3K-51.0M-147.5K0.2110.64N/AN/A33,8906,950685,440310,690
2012-01-31$1.27$1.1052.9%15.2%39.1%27.7%54.8%1.1%-2.0%963.0K-55.2M-145.9K0.0714.14N/AN/A40,0002,770695,380311,040