HUN Options History — February 2012

In February 2012, HUN traded between $1.30 and $1.42. ATM implied volatility averaged 54.5%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 12.1% (HV 20d: 42.4%). Max pain ranged from $1.10 to $1.30. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2012-02-01: Highest Volume — 357,920 contracts
  • 2012-02-16: Largest IV drop — 15.1% change
  • 2012-02-02: Highest IV Rank — 42.2%
  • 2012-02-02: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.36$1.30$1.42$1.34$1.37
Max Pain$1.22$1.10$1.30$1.10$1.30
ATM IV54.5%41.9%66.6%63.2%43.9%
Expected Move15.4%12.0%19.1%18.1%12.6%
HV 20d42.4%38.8%46.9%41.0%42.5%
HV 60d48.1%42.4%50.4%49.9%43.3%
IV Rank29.4%16.0%42.2%38.7%18.1%
IV Percentile65.2%45.2%83.3%81.3%48.0%
Term Structure-4.0%-9.2%1.6%-9.2%-0.9%
VWIV54.0%43.6%66.0%63.2%44.5%
Skew 25d0.4%-3.6%3.6%-3.4%-2.3%
Skew 10d6.0%-10.3%25.5%7.2%-6.6%
Call IV 25d54.4%43.7%68.3%65.9%47.9%
Put IV 25d54.8%45.1%66.7%62.6%45.7%
Bid-Ask Spread %16.5110.2957.9210.2913.32
Gamma HHI0.250.160.450.170.29
Net GEX1.7M834.8K2.8M834.8K2.1M
Net DEX-74.4M-98.9M-58.6M-63.8M-68.6M
Net VEX-223.7K-267.0K-140.4K-140.4K-244.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.111.420.290.21
Total Volume119,75524,510357,920357,92063,870
Total OI1,502,414998,1901,975,150998,1901,585,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$1.34$1.1063.2%18.1%41.0%38.7%63.2%-3.4%-9.2%834.8K-63.8M-140.4K0.2910.29N/AN/A278,16079,760685,650312,540
2012-02-02$1.34$1.1066.6%19.1%40.6%42.2%65.4%-3.6%-7.9%1.0M-66.4M-173.8K0.1510.79N/AN/A126,59019,500811,230353,440
2012-02-03$1.39$1.2059.6%16.1%40.3%34.8%55.5%3.4%-5.1%1.1M-78.9M-184.5K0.2514.69N/AN/A189,89048,060881,190363,630
2012-02-06$1.37$1.2062.3%16.3%41.6%37.7%55.8%3.6%-6.0%1.4M-79.0M-203.3K0.1211.70N/AN/A58,9406,880990,330394,550
2012-02-07$1.35$1.2060.9%16.4%42.1%36.2%56.4%1.8%-6.3%1.4M-76.1M-201.1K0.2213.10N/AN/A119,43026,5901,002,560397,760
2012-02-08$1.36$1.2058.9%16.0%41.5%34.1%57.7%1.7%-6.4%1.6M-80.5M-219.3K0.2911.52N/AN/A31,0209,1301,088,270420,020
2012-02-09$1.34$1.2055.2%15.8%41.8%30.2%55.2%-0.1%-4.2%1.6M-75.6M-219.3K0.1514.38N/AN/A25,2803,6901,098,010428,170
2012-02-10$1.34$1.2056.9%16.3%40.5%31.9%55.9%1.1%-5.6%1.7M-75.2M-217.0K0.1115.64N/AN/A41,3304,5201,105,330427,260
2012-02-13$1.34$1.2059.0%16.9%40.5%34.2%57.2%1.4%-6.4%1.7M-77.2M-209.7K0.6617.28N/AN/A67,61044,7301,122,050428,630
2012-02-14$1.32$1.2059.5%17.1%38.8%34.7%58.6%-0.1%-5.7%1.6M-70.2M-217.0K0.6015.91N/AN/A42,10025,1601,164,700463,340
2012-02-15$1.30$1.2066.0%18.9%38.9%41.7%66.0%0.7%-6.3%1.5M-66.4M-224.4K1.4224.72N/AN/A136,090193,5901,178,070475,510
2012-02-16$1.40$1.2056.0%16.1%45.6%31.0%57.3%1.3%0.0%2.4M-97.4M-238.0K0.2317.57N/AN/A246,65056,2101,224,710579,890
2012-02-17$1.38$1.2053.7%15.4%46.4%28.6%56.1%0.8%-2.8%2.8M-98.9M-267.0K1.0616.50N/AN/A66,03070,2301,365,160609,990
2012-02-21$1.35$1.2049.0%14.0%46.4%23.5%48.0%1.7%-4.1%1.7M-62.1M-260.2K0.4316.97N/AN/A57,13024,3501,014,200456,670
2012-02-22$1.33$1.2044.5%12.8%46.8%18.7%44.9%-0.2%-0.2%1.6M-58.6M-258.1K0.1714.12N/AN/A20,9703,5401,029,680475,170
2012-02-23$1.35$1.3046.3%13.3%46.9%20.7%45.8%-1.9%-1.8%1.7M-64.2M-251.7K0.2411.46N/AN/A41,29010,0301,033,460476,620
2012-02-24$1.37$1.3042.0%12.0%45.9%16.1%43.6%3.0%0.0%2.0M-68.7M-251.2K0.2957.92N/AN/A21,3906,1601,050,300477,370
2012-02-27$1.41$1.3041.9%12.0%40.0%16.0%46.1%0.2%1.6%2.1M-77.5M-245.4K0.6311.99N/AN/A32,53020,4601,051,870478,210
2012-02-28$1.42$1.3044.6%12.8%39.6%18.9%46.9%-1.4%-1.7%2.2M-82.2M-248.7K0.1910.36N/AN/A63,99012,2201,060,030487,040
2012-02-29$1.37$1.3043.9%12.6%42.5%18.1%44.5%-2.3%-0.9%2.1M-68.6M-244.5K0.2113.32N/AN/A52,84011,0301,095,400490,270