HUN Options History — December 2012

In December 2012, HUN traded between $1.56 and $1.65. ATM implied volatility averaged 31.8%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.2% (HV 20d: 25.5%). Max pain ranged from $1.25 to $1.60. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-12-11: Highest Volume — 383,270 contracts
  • 2012-12-13: Largest IV spike — 9.8% change
  • 2012-12-18: Highest IV Rank — 31.5%
  • 2012-12-10: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.61$1.56$1.65$1.60$1.59
Max Pain$1.42$1.25$1.60$1.60$1.40
ATM IV31.8%27.9%33.6%32.4%32.6%
Expected Move9.4%8.8%9.8%9.3%9.3%
HV 20d25.5%18.2%35.2%35.2%19.2%
HV 60d32.0%30.6%34.5%34.5%30.9%
IV Rank27.7%19.8%31.5%29.0%29.4%
IV Percentile8.5%0.4%16.3%7.9%12.7%
Term Structure4.1%2.0%7.4%2.3%4.6%
VWIV32.8%31.0%34.4%32.9%32.9%
Skew 25d4.2%1.3%9.4%1.5%1.3%
Skew 10d6.6%-13.2%19.9%-13.2%-6.0%
Call IV 25d30.7%24.1%34.0%33.1%34.0%
Put IV 25d34.9%33.2%36.7%34.6%35.3%
Bid-Ask Spread %18.397.1325.8922.798.10
Gamma HHI0.170.150.210.160.17
Net GEX2.0M1.6M2.3M2.0M2.0M
Net DEX-73.4M-91.2M-60.9M-76.7M-73.9M
Net VEX-250.3K-281.0K-218.5K-277.3K-251.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.013.010.330.26
Total Volume44,115.54,110383,27023,92011,570
Total OI1,490,6091,316,6901,577,7801,561,1301,469,970

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$1.60$1.6032.4%9.3%35.2%29.0%32.9%1.5%2.3%2.0M-76.7M-277.3K0.3322.79N/AN/A18,0505,870994,580566,550
2012-12-04$1.59$1.6032.2%9.2%29.1%28.6%32.5%1.9%3.0%1.9M-74.2M-281.0K0.5820.88N/AN/A2,6001,510999,930566,910
2012-12-05$1.60$1.6031.6%9.1%29.5%27.4%31.0%5.2%2.7%2.0M-78.1M-276.3K0.178.71N/AN/A6,4601,1301,000,650567,940
2012-12-06$1.62$1.6031.5%9.0%29.8%27.1%31.6%8.8%2.0%2.0M-81.3M-275.3K0.309.24N/AN/A3,1909701,002,610568,970
2012-12-07$1.64$1.2528.6%9.7%29.8%21.2%31.8%4.5%3.4%2.1M-87.9M-269.7K0.2622.69N/AN/A10,0102,6001,003,950568,710
2012-12-10$1.65$1.2527.9%9.8%29.9%19.8%33.9%4.9%2.7%2.2M-90.2M-259.1K0.2321.69N/AN/A9,7802,2301,006,320569,080
2012-12-11$1.65$1.2529.2%9.4%29.9%22.5%34.4%3.4%2.9%2.3M-91.2M-253.0K0.0120.93N/AN/A380,3202,9501,007,850569,930
2012-12-12$1.64$1.4029.9%9.4%30.0%24.0%32.8%3.2%5.0%2.0M-71.0M-246.3K0.4722.07N/AN/A6,5303,070894,300571,350
2012-12-13$1.63$1.4032.9%9.4%28.3%30.0%32.9%4.2%4.9%2.0M-69.8M-246.8K3.0111.05N/AN/A1,0603,190895,840572,410
2012-12-14$1.62$1.4033.3%9.5%26.6%30.8%31.9%5.2%4.8%1.9M-66.8M-244.0K0.1614.38N/AN/A8,0101,290896,190574,420
2012-12-17$1.63$1.4032.4%9.3%26.3%29.1%33.2%4.3%4.9%1.9M-69.0M-236.3K1.9023.15N/AN/A2,9305,580899,510574,880
2012-12-18$1.65$1.4033.6%9.6%21.3%31.5%33.0%3.3%4.6%2.1M-73.8M-235.2K0.1921.91N/AN/A13,3302,530899,890578,170
2012-12-19$1.64$1.4030.9%8.8%21.4%25.8%31.6%1.9%7.4%1.7M-70.5M-234.6K0.5016.78N/AN/A4,7702,370896,320580,440
2012-12-20$1.63$1.4033.2%9.5%21.4%30.6%33.2%3.6%4.6%1.6M-69.4M-230.4K0.8720.95N/AN/A3,2402,830893,160578,180
2012-12-21$1.60$1.4032.7%9.4%22.0%29.5%34.3%3.5%5.3%2.2M-61.7M-227.6K0.7025.89N/AN/A9,3906,620893,030579,590
2012-12-24$1.60$1.4031.6%9.0%22.0%27.3%32.4%2.2%4.9%1.7M-63.0M-222.2K0.167.13N/AN/A13,3202,180764,400552,290
2012-12-26$1.58$1.4033.5%9.6%21.3%31.3%33.7%2.8%3.0%1.7M-60.9M-218.5K0.0223.51N/AN/A299,9406,810770,580553,490
2012-12-27$1.58$1.4031.8%9.1%19.7%27.8%32.4%9.0%5.2%2.0M-71.2M-259.2K0.5523.52N/AN/A8,4404,600911,930552,570
2012-12-28$1.56$1.4033.3%9.5%18.2%30.8%34.0%9.4%4.0%2.0M-66.5M-261.0K0.7622.43N/AN/A6,2804,760912,310552,980
2012-12-31$1.59$1.4032.6%9.3%19.2%29.4%32.9%1.3%4.6%2.0M-73.9M-251.5K0.268.10N/AN/A9,1602,410913,650556,320