HUN Options History — September 2015

In September 2015, HUN traded between $9.32 and $16.25. ATM implied volatility averaged 46.2%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 0.7% (HV 20d: 45.5%). Max pain ranged from $11.00 to $18.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2015-09-28: Highest Volume — 71,655 contracts
  • 2015-09-28: Largest IV spike — 68.6% change
  • 2015-09-28: Highest IV Rank — 100.0%
  • 2015-09-29: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.24$9.32$16.25$16.25$9.69
Max Pain$15.29$11.00$18.00$18.00$11.00
ATM IV46.2%35.9%75.3%50.2%66.4%
Expected Move13.1%10.3%21.6%14.4%19.0%
HV 20d45.5%28.6%123.1%33.8%123.1%
HV 60d39.8%32.5%77.3%32.5%77.3%
IV Rank61.3%40.6%100.0%76.0%84.0%
IV Percentile87.3%69.8%100.0%95.2%99.2%
Term Structure2.1%-4.5%5.0%-4.5%0.7%
VWIV44.0%33.9%74.1%45.4%58.7%
Skew 25d9.1%6.3%13.4%12.6%6.6%
Skew 10d18.0%-2.7%35.5%35.5%30.0%
Call IV 25d43.2%33.2%70.5%44.0%68.2%
Put IV 25d52.2%41.2%83.9%56.6%74.8%
Bid-Ask Spread %58.5220.1284.1778.8559.88
Gamma HHI0.240.130.280.220.15
Net GEX106.9K-416.9K818.1K818.1K-416.9K
Net DEX35.4M-911.6K82.8M-911.6K82.8M
Net VEX-392.7K-557.9K-100.8K-557.9K-170.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.302.651.331.64
Total Volume10,818.3331,11871,6555,63727,922
Total OI209,636.333198,998266,653201,851266,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$16.25$18.0050.2%14.4%33.8%76.0%45.4%12.6%-4.5%818.1K-911.6K-557.9K1.3378.85N/AN/A2,4193,218128,42973,422
2015-09-02$15.62$18.0045.8%13.1%35.8%65.2%44.5%10.8%0.0%561.8K13.0M-528.3K1.4379.25N/AN/A2,3783,406129,11173,592
2015-09-03$15.67$17.0045.6%12.3%35.9%64.6%34.7%6.5%2.8%558.8K13.7M-519.2K1.4174.63N/AN/A2,4953,520129,93274,082
2015-09-04$15.19$17.0048.4%13.4%35.4%71.7%33.9%10.2%1.4%408.3K20.1M-501.1K1.7073.21N/AN/A1,9483,309130,13074,212
2015-09-08$15.59$17.0043.9%11.8%33.2%60.3%43.4%11.1%1.7%459.3K19.4M-484.3K0.3067.40N/AN/A857261130,17474,574
2015-09-09$15.35$16.0043.8%12.6%31.6%60.2%42.2%8.3%2.4%388.9K20.3M-481.1K1.7772.13N/AN/A1,8133,205130,75474,807
2015-09-10$15.30$16.0041.5%11.9%30.6%54.4%39.9%8.6%3.0%300.1K25.2M-469.1K1.1270.27N/AN/A3,2573,656131,00974,900
2015-09-11$14.96$15.0041.2%11.8%30.9%53.6%40.0%7.4%4.5%216.0K28.5M-451.9K1.1871.75N/AN/A2,9773,516132,47475,259
2015-09-14$14.76$15.0042.4%12.1%30.8%56.6%42.0%9.8%2.6%82.5K33.7M-424.2K1.8562.68N/AN/A1,8193,368132,34975,227
2015-09-15$14.79$15.0040.8%11.7%30.7%52.7%39.9%7.8%3.2%53.2K33.2M-435.1K0.4270.39N/AN/A1,336559132,61374,961
2015-09-16$15.20$15.0039.6%11.4%32.9%49.7%38.2%6.3%2.7%156.0K28.0M-437.3K0.9869.52N/AN/A2,4452,394133,66174,706
2015-09-17$14.92$15.0037.8%10.8%33.3%45.3%39.6%9.8%4.5%52.9K30.2M-423.6K1.3484.17N/AN/A1,5162,027133,89174,903
2015-09-18$14.81$15.0038.4%11.0%33.2%46.8%39.4%9.4%2.2%2.0K38.8M-397.4K1.4370.59N/AN/A1,5002,150133,97975,076
2015-09-21$15.00$15.0035.9%10.3%32.8%40.6%34.3%8.0%5.0%47.9K30.2M-400.0K1.0126.63N/AN/A1,8451,872127,95371,045
2015-09-22$14.56$15.0037.2%10.7%34.1%43.7%36.3%7.6%4.1%-150.9K38.9M-370.4K0.7826.48N/AN/A1,9061,487128,52171,558
2015-09-23$14.14$15.0040.5%11.6%34.1%52.0%40.9%8.5%2.7%-367.3K48.1M-327.1K1.4530.20N/AN/A1,2751,843128,95871,559
2015-09-24$14.04$15.0041.8%12.0%32.1%55.2%42.9%9.1%3.8%-352.6K50.2M-314.3K1.6220.12N/AN/A1,2432,012129,16171,745
2015-09-25$13.90$15.0042.0%12.0%28.6%55.7%44.0%8.0%2.5%-351.2K51.3M-311.4K0.4524.54N/AN/A9,9884,463129,35372,181
2015-09-28$9.90$15.0070.8%20.3%120.7%100.0%70.0%13.4%-0.3%-37.1K64.6M-100.8K2.3764.54N/AN/A21,24250,413134,43874,834
2015-09-29$9.32$11.0075.3%21.6%120.8%100.0%74.1%10.3%-0.8%-185.4K73.4M-142.0K2.6531.76N/AN/A10,49827,827146,96099,217
2015-09-30$9.69$11.0066.4%19.0%123.1%84.0%58.7%6.6%0.7%-416.9K82.8M-170.9K1.6459.88N/AN/A10,58517,337149,746116,907