HUN Options History — September 2012

In September 2012, HUN traded between $1.39 and $1.63. ATM implied volatility averaged 36.7%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.7% (HV 20d: 31.0%). Max pain ranged from $1.30 to $1.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.30.

Notable Days

  • 2012-09-11: Highest Volume — 232,470 contracts
  • 2012-09-27: Largest IV drop — 7.5% change
  • 2012-09-04: Highest IV Rank — 30.9%
  • 2012-09-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.52$1.39$1.63$1.40$1.49
Max Pain$1.40$1.30$1.50$1.30$1.50
ATM IV36.7%32.3%41.2%41.2%32.3%
Expected Move10.5%9.3%11.8%11.8%9.3%
HV 20d31.0%26.7%34.5%27.1%34.2%
HV 60d38.7%36.2%43.8%43.8%36.2%
IV Rank24.8%18.8%30.9%30.9%18.9%
IV Percentile6.4%1.6%15.5%15.5%2.0%
Term Structure4.2%1.2%7.4%1.7%7.4%
VWIV36.9%32.5%42.1%42.1%32.5%
Skew 25d0.6%-1.8%2.5%-0.4%1.8%
Skew 10d0.7%-16.9%19.4%-14.0%2.3%
Call IV 25d37.0%31.7%42.9%42.9%31.7%
Put IV 25d37.6%32.7%42.5%42.5%33.5%
Bid-Ask Spread %15.3811.3424.7011.3412.30
Gamma HHI0.230.170.440.180.18
Net GEX2.8M1.6M4.7M1.9M1.7M
Net DEX-81.2M-120.2M-49.1M-53.6M-63.0M
Net VEX-332.4K-369.2K-297.0K-369.2K-299.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.040.870.730.15
Total Volume35,547.3689,090232,47015,8609,090
Total OI1,585,825.2631,334,6301,690,8601,673,4801,373,840

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$1.40$1.3041.2%11.8%27.1%30.9%42.1%-0.4%1.7%1.9M-53.6M-369.2K0.7311.34N/AN/A9,1506,7101,194,240479,240
2012-09-05$1.39$1.3039.9%11.4%27.3%29.2%41.1%0.7%2.0%1.8M-49.1M-364.5K0.6611.81N/AN/A7,4004,9001,198,290482,580
2012-09-06$1.43$1.3037.5%10.8%28.9%26.0%39.5%0.6%1.2%2.1M-58.8M-360.2K0.2615.31N/AN/A13,4903,5601,202,260486,360
2012-09-07$1.46$1.4036.0%10.6%29.9%23.9%37.5%0.7%5.1%2.5M-68.6M-360.5K0.2516.57N/AN/A11,9902,9901,198,220487,360
2012-09-10$1.48$1.4038.3%10.8%30.0%27.0%38.6%0.4%4.0%2.8M-77.1M-360.3K0.1312.47N/AN/A32,5304,2801,203,350487,510
2012-09-11$1.53$1.4040.8%11.4%31.4%30.4%40.2%-0.3%2.6%3.1M-93.0M-355.8K0.0414.37N/AN/A223,7608,7101,200,790488,270
2012-09-12$1.55$1.4040.3%10.8%31.4%29.7%38.4%0.7%3.1%3.5M-96.0M-351.4K0.1213.59N/AN/A34,6604,2901,170,130491,480
2012-09-13$1.57$1.4039.8%11.4%26.7%29.0%37.0%0.1%1.7%3.6M-100.2M-348.7K0.1313.91N/AN/A31,6104,0101,162,390492,200
2012-09-14$1.63$1.4037.2%10.7%28.6%25.5%37.9%2.5%3.8%3.5M-120.2M-336.7K0.2424.70N/AN/A44,85010,6001,159,190493,480
2012-09-17$1.57$1.4037.7%10.8%32.0%26.2%38.1%-0.5%3.6%3.7M-102.3M-328.6K0.3820.63N/AN/A9,1803,5001,158,340496,840
2012-09-18$1.57$1.4036.1%10.4%31.7%24.1%36.5%0.0%3.9%4.0M-100.5M-326.9K0.1317.43N/AN/A25,3803,2101,157,910497,840
2012-09-19$1.58$1.4036.3%10.4%31.5%24.3%36.4%1.6%4.4%4.2M-103.3M-334.8K0.4417.36N/AN/A21,9809,7401,162,860498,970
2012-09-20$1.59$1.4035.5%10.2%31.5%23.3%36.6%0.0%4.9%4.7M-106.1M-314.4K0.2323.11N/AN/A11,9302,7901,161,350502,410
2012-09-21$1.56$1.4033.3%9.6%31.9%20.3%33.2%1.1%4.1%2.9M-90.4M-309.5K0.1517.12N/AN/A30,7104,5401,132,530498,800
2012-09-24$1.54$1.4033.4%9.6%32.5%20.3%33.5%0.8%6.8%1.6M-71.6M-298.6K0.1512.46N/AN/A23,7603,480886,000448,630
2012-09-25$1.49$1.4034.3%9.8%34.0%21.6%34.3%1.4%6.2%1.6M-62.9M-298.7K0.2011.84N/AN/A27,7705,520896,470450,990
2012-09-26$1.48$1.5034.9%10.0%34.1%22.4%33.9%-1.8%6.3%1.6M-60.7M-300.6K0.4011.62N/AN/A9,0503,660908,070454,620
2012-09-27$1.51$1.5032.3%9.3%34.5%18.8%33.8%2.1%7.1%1.7M-66.4M-297.0K0.8714.21N/AN/A5,6904,930910,910455,960
2012-09-28$1.49$1.5032.3%9.3%34.2%18.9%32.5%1.8%7.4%1.7M-63.0M-299.7K0.1512.30N/AN/A7,9001,190914,560459,280