HUN Options History — January 2016

In January 2016, HUN traded between $7.93 and $11.10. ATM implied volatility averaged 75.4%, placing in the 90.5% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 16.5% (HV 20d: 58.9%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-01-14: Highest Volume — 16,635 contracts
  • 2016-01-11: Largest IV spike — 23.3% change
  • 2016-01-07: Highest IV Rank — 100.0%
  • 2016-01-21: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.95$7.93$11.10$11.10$8.31
Max Pain$11.21$10.00$13.00$13.00$10.00
ATM IV75.4%61.9%83.1%61.9%81.4%
Expected Move21.0%17.1%23.8%17.7%23.3%
HV 20d58.9%54.7%64.8%55.5%64.8%
HV 60d55.0%51.1%57.9%57.0%56.4%
IV Rank90.5%75.9%100.0%75.9%97.3%
IV Percentile98.0%93.7%100.0%93.7%98.8%
Term Structure-8.1%-13.2%-4.1%-7.5%-9.0%
VWIV72.3%59.0%80.6%62.6%79.1%
Skew 25d13.9%8.9%18.1%12.9%11.7%
Skew 10d29.7%12.1%54.7%28.4%12.1%
Call IV 25d66.2%54.3%76.4%54.3%72.3%
Put IV 25d80.1%67.2%89.3%67.2%84.0%
Bid-Ask Spread %18.7513.0427.9320.3220.67
Gamma HHI0.410.200.810.430.25
Net GEX-368.2K-1.6M52.4K-260.2K52.4K
Net DEX25.8M7.4M52.0M14.6M8.7M
Net VEX-76.5K-133.5K-56.9K-133.5K-64.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.251.510.360.65
Total Volume7,517.0533,19016,6357,0424,966
Total OI141,323.68463,042214,773204,94070,445

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$11.10$13.0061.9%17.7%55.5%75.9%62.6%12.9%-7.5%-260.2K14.6M-133.5K0.3620.32N/AN/A5,1871,855133,76871,172
2016-01-05$10.64$13.0063.5%17.1%57.4%78.8%59.0%11.8%-4.1%-885.1K22.5M-121.7K0.3013.04N/AN/A5,3231,613133,87271,863
2016-01-06$10.13$13.0064.9%18.0%58.7%81.4%60.6%12.1%-5.8%-1.5M32.0M-105.7K0.5017.78N/AN/A3,8441,915134,12371,576
2016-01-07$9.42$13.0075.8%19.9%63.8%100.0%73.4%14.7%-6.2%-1.2M43.2M-87.9K1.0517.24N/AN/A4,1134,311134,24971,832
2016-01-08$9.53$12.0067.4%18.6%58.5%85.0%66.6%16.8%-6.5%-1.6M42.6M-89.8K0.4513.35N/AN/A6,5382,918134,44070,970
2016-01-11$9.00$12.0083.1%20.5%60.5%100.0%71.8%13.5%-9.8%-740.8K50.6M-68.7K0.2520.05N/AN/A12,1573,087137,14971,237
2016-01-12$9.01$11.0080.5%19.8%58.9%95.9%67.3%14.2%-7.7%-524.7K49.7M-71.1K0.3621.33N/AN/A8,1202,955138,53071,092
2016-01-13$8.86$11.0069.3%19.9%56.8%78.4%68.6%13.5%-9.5%-431.4K49.5M-70.4K0.3021.82N/AN/A7,8352,337138,11071,777
2016-01-14$9.15$11.0071.3%20.4%58.2%81.4%75.8%16.7%-8.9%-100.4K50.5M-71.2K0.5717.02N/AN/A10,5906,045138,29871,784
2016-01-15$8.62$11.0076.8%22.0%59.1%90.2%79.6%18.1%-13.2%-2.0K52.0M-68.9K0.4227.93N/AN/A5,4882,304139,11975,654
2016-01-19$8.06$11.0079.1%22.7%61.0%93.8%76.4%15.4%-10.7%-3.4K10.3M-57.0K0.9624.40N/AN/A1,6271,56338,76724,275
2016-01-20$8.16$11.0082.3%23.6%55.5%98.8%79.7%17.7%-7.8%5.8K9.6M-59.6K1.5119.81N/AN/A1,5732,37039,46724,356
2016-01-21$8.35$11.0083.1%23.8%55.4%100.0%75.5%14.1%-10.2%2.1K9.2M-65.7K0.7915.06N/AN/A2,8852,28139,76325,588
2016-01-22$8.49$10.0078.3%22.5%54.7%92.5%72.5%16.3%-7.8%29.6K8.7M-66.3K0.8114.17N/AN/A3,0012,43241,24225,640
2016-01-25$7.93$10.0081.2%23.3%54.9%97.0%80.6%8.9%-9.8%9.3K10.3M-56.9K0.8615.68N/AN/A2,6882,31742,09826,062
2016-01-26$8.13$10.0080.2%23.0%56.6%95.4%75.9%13.7%-7.5%21.8K9.8M-59.3K0.6219.99N/AN/A3,2332,01241,90125,948
2016-01-27$8.72$10.0072.1%20.7%64.5%82.7%73.0%11.2%-5.1%52.1K7.4M-69.0K0.5423.33N/AN/A3,5771,94542,65726,219
2016-01-28$8.36$10.0080.3%23.0%64.8%95.6%76.4%10.4%-6.9%50.5K8.3M-65.9K0.5313.24N/AN/A3,8062,01343,81626,291
2016-01-29$8.31$10.0081.4%23.3%64.8%97.3%79.1%11.7%-9.0%52.4K8.7M-64.5K0.6520.67N/AN/A3,0071,95944,12026,325