HUN Options History — November 2015

In November 2015, HUN traded between $12.12 and $13.69. ATM implied volatility averaged 50.2%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 0.4% (HV 20d: 50.5%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2015-11-18: Highest Volume — 74,161 contracts
  • 2015-11-24: Largest IV drop — 11.0% change
  • 2015-11-17: Highest IV Rank — 63.5%
  • 2015-11-17: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$12.12$13.69$13.50$12.52
Max Pain$12.45$12.00$15.00$15.00$12.00
ATM IV50.2%46.7%54.9%49.0%48.8%
Expected Move14.2%13.3%15.8%14.0%14.0%
HV 20d50.5%40.2%65.7%65.3%40.3%
HV 60d87.0%86.1%87.9%86.9%87.5%
IV Rank55.0%48.8%63.5%52.8%52.5%
IV Percentile84.6%76.2%90.1%84.5%80.2%
Term Structure-1.4%-3.5%1.6%-3.5%0.3%
VWIV50.3%42.5%61.8%49.5%51.2%
Skew 25d8.1%2.5%11.8%9.1%9.0%
Skew 10d20.1%4.5%36.9%32.0%9.1%
Call IV 25d46.2%42.1%50.7%44.1%47.8%
Put IV 25d54.3%48.8%60.1%53.2%56.8%
Bid-Ask Spread %21.4314.9928.6820.4222.41
Gamma HHI0.310.220.400.240.31
Net GEX630.5K-635.6K1.1M579.6K889.5K
Net DEX1.3M-21.9M34.0M-14.1M-15.9M
Net VEX-331.7K-399.0K-290.8K-396.7K-290.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0518.140.361.20
Total Volume8,058.41,12474,1618,1673,153
Total OI314,284225,007364,488336,568228,421

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$13.50$15.0049.0%14.0%65.3%52.8%49.5%9.1%-3.5%579.6K-14.1M-396.7K0.3620.42N/AN/A6,0052,162207,984128,584
2015-11-03$13.69$15.0046.8%13.4%65.0%48.9%42.5%3.4%-2.2%563.2K-21.9M-399.0K0.5216.18N/AN/A4,0692,101208,268128,694
2015-11-04$13.44$15.0046.8%13.4%65.7%48.9%44.6%2.5%1.4%758.2K-15.9M-380.2K0.8817.59N/AN/A2,3642,072208,492129,115
2015-11-05$13.31$12.0047.0%13.3%48.5%49.2%45.3%6.7%-0.6%755.7K-5.5M-371.6K0.7219.38N/AN/A3,2332,313208,711129,192
2015-11-06$13.41$12.0048.4%13.5%46.4%51.9%46.7%6.7%-2.3%858.3K-9.2M-360.4K1.0527.89N/AN/A684716208,841129,600
2015-11-09$13.20$12.0051.5%13.4%46.0%57.4%43.8%7.6%-2.9%869.6K-2.2M-347.0K4.0922.56N/AN/A221903209,179130,207
2015-11-10$13.16$12.0050.2%13.6%45.2%55.0%49.2%8.9%-1.0%887.3K-266.5K-335.8K1.3821.16N/AN/A2,1102,912209,231130,850
2015-11-11$13.19$12.0047.8%13.7%44.9%50.7%47.9%8.3%-0.9%930.4K-2.6M-332.4K1.4020.18N/AN/A2,0942,922209,364131,262
2015-11-12$12.28$12.0051.4%14.8%51.2%57.3%55.3%6.7%-2.4%-267.1K34.0M-308.3K0.6627.19N/AN/A4,0522,679209,302131,301
2015-11-13$12.42$12.0053.0%15.2%51.1%60.1%51.6%8.0%-3.4%105.3K27.6M-310.9K1.2625.40N/AN/A2,3382,949210,672131,329
2015-11-16$12.78$12.0050.9%14.6%49.2%56.3%49.4%9.7%-1.1%918.6K14.9M-309.9K0.4324.31N/AN/A3,4361,471210,883131,664
2015-11-17$12.37$12.0054.9%15.8%51.0%63.5%61.8%8.2%-1.8%-635.6K25.2M-295.4K1.7016.79N/AN/A2,6084,424212,089132,131
2015-11-18$12.66$12.0053.0%15.2%50.8%60.1%61.4%10.3%-0.5%680.1K16.8M-308.6K18.1422.33N/AN/A3,87470,287212,093133,874
2015-11-19$12.30$12.0053.4%15.3%52.2%60.7%55.4%8.1%-0.7%496.4K30.3M-330.4K1.5617.34N/AN/A2,6954,199211,665152,751
2015-11-20$12.30$12.0054.6%15.6%51.7%62.9%54.9%8.3%-1.4%598.2K28.1M-323.4K1.0618.64N/AN/A2,2092,334212,204152,284
2015-11-23$12.12$12.0052.5%15.1%52.1%59.2%47.1%11.8%-2.5%502.0K-3.4M-304.7K0.0528.40N/AN/A1,57376142,37582,632
2015-11-24$12.68$12.0046.7%13.4%53.9%48.8%46.9%10.0%1.6%1.0M-19.7M-314.1K0.1628.68N/AN/A1,002163143,27982,677
2015-11-25$12.68$12.0047.9%13.7%40.2%50.9%51.5%10.9%-1.3%1.1M-21.0M-310.7K1.3714.99N/AN/A2,1152,890143,67182,762
2015-11-27$12.66$12.0048.5%13.9%40.2%52.0%50.5%8.2%-2.3%1.0M-19.1M-304.6K0.9216.78N/AN/A1,9591,801143,84484,203
2015-11-30$12.52$12.0048.8%14.0%40.3%52.5%51.2%9.0%0.3%889.5K-15.9M-290.8K1.2022.41N/AN/A1,4351,718143,88484,537