HUN Options History — September 2016

In September 2016, HUN traded between $14.30 and $17.62. ATM implied volatility averaged 41.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 7.4% (HV 20d: 48.7%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-09-13: Highest Volume — 18,602 contracts
  • 2016-09-14: Largest IV drop — 30.9% change
  • 2016-09-13: Highest IV Rank — 38.2%
  • 2016-09-15: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.73$14.30$17.62$17.13$16.33
Max Pain$15.76$15.00$17.00$17.00$15.00
ATM IV41.3%32.1%62.6%36.1%39.6%
Expected Move11.4%9.2%13.3%10.4%11.4%
HV 20d48.7%33.6%57.5%34.9%56.9%
HV 60d50.3%45.0%56.1%50.8%45.0%
IV Rank11.4%0.0%38.2%3.2%9.4%
IV Percentile21.5%0.0%79.4%4.8%19.0%
Term Structure2.9%-0.9%5.3%1.6%5.2%
VWIV39.3%30.4%45.2%30.4%39.8%
Skew 25d5.7%1.3%8.6%2.5%7.0%
Skew 10d9.9%-8.7%22.4%4.5%21.8%
Call IV 25d37.6%32.7%43.3%34.6%35.6%
Put IV 25d43.3%36.1%49.8%37.1%42.6%
Bid-Ask Spread %30.6520.4981.1944.0637.82
Gamma HHI0.130.090.210.190.13
Net GEX624.3K283.1K1.1M960.7K849.1K
Net DEX-31.0M-49.0M-10.4M-42.6M-42.6M
Net VEX-184.7K-215.5K-139.5K-177.8K-215.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.161.240.440.90
Total Volume8,331.4294,37018,6024,4036,181
Total OI83,345.28677,26290,43277,26289,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$17.13$17.0036.1%10.4%34.9%3.2%30.4%2.5%1.6%960.7K-42.6M-177.8K0.4444.06N/AN/A3,0581,34559,19018,072
2016-09-02$17.62$17.0032.1%9.2%35.8%0.0%31.9%3.4%1.8%1.1M-49.0M-186.5K0.4821.94N/AN/A3,0091,43659,20918,131
2016-09-06$17.41$17.0040.0%10.6%33.6%9.9%36.2%5.4%3.9%1.1M-45.7M-181.5K0.4825.31N/AN/A3,1531,51359,26018,180
2016-09-07$17.25$17.0034.3%10.3%33.6%2.8%36.1%5.1%3.2%1.0M-43.4M-172.5K0.5024.86N/AN/A2,9201,45059,40118,315
2016-09-08$16.51$17.0038.6%10.3%37.4%8.2%37.4%6.9%2.9%755.9K-34.5M-161.6K0.7322.43N/AN/A3,0182,21259,43218,348
2016-09-09$15.45$17.0043.8%12.0%43.8%14.6%39.7%8.2%2.3%493.8K-23.7M-153.1K0.6326.33N/AN/A4,8123,03759,71018,928
2016-09-12$15.62$16.0047.9%10.6%44.0%19.7%38.6%6.2%3.8%432.1K-22.7M-153.9K0.3920.49N/AN/A3,8201,49759,73820,470
2016-09-13$14.30$16.0062.6%12.8%50.3%38.2%44.5%6.2%3.0%290.6K-10.4M-139.5K0.3527.96N/AN/A13,7344,86857,41420,749
2016-09-14$14.72$16.0043.3%12.4%51.8%14.0%44.7%4.8%2.6%384.2K-20.5M-186.2K0.1622.75N/AN/A12,0391,91364,50622,418
2016-09-15$14.46$16.0046.5%13.3%51.9%18.0%45.2%6.5%-0.9%361.7K-19.0M-181.4K0.3326.98N/AN/A11,4323,78664,93522,511
2016-09-16$14.62$15.0042.2%12.1%51.4%12.6%41.9%8.6%1.8%283.1K-16.9M-186.5K0.3424.60N/AN/A12,2354,14565,38225,050
2016-09-19$14.68$15.0041.4%11.9%51.5%11.6%40.9%6.9%2.1%314.0K-21.3M-183.4K0.2528.85N/AN/A6,5071,63459,38722,685
2016-09-20$14.59$15.0041.9%12.0%51.5%12.2%42.7%4.7%1.6%343.8K-22.6M-188.6K0.2820.69N/AN/A5,9631,64761,11422,810
2016-09-21$15.66$15.0039.3%11.3%57.5%9.0%40.3%8.2%4.5%530.6K-32.6M-200.2K0.4246.03N/AN/A8,2593,44361,31222,882
2016-09-22$15.83$15.0038.8%11.1%56.3%8.4%38.5%6.3%2.3%679.5K-36.4M-199.2K0.4630.05N/AN/A6,2242,86162,75922,057
2016-09-23$15.42$15.0040.0%11.5%56.2%9.9%40.3%5.8%3.3%598.5K-31.8M-201.6K0.7730.61N/AN/A3,6952,84863,15723,626
2016-09-26$15.30$15.0041.9%12.0%56.2%12.3%39.7%1.3%1.7%530.3K-29.6M-196.5K1.2434.95N/AN/A2,3032,86462,26123,650
2016-09-27$15.52$15.0038.8%11.1%55.4%8.4%37.3%8.0%4.7%567.0K-30.7M-193.8K0.5121.72N/AN/A4,9522,50262,31523,656
2016-09-28$15.98$15.0038.1%10.9%56.2%7.5%39.7%3.3%5.3%732.5K-37.8M-209.1K0.7524.06N/AN/A3,3282,48065,03223,825
2016-09-29$15.84$15.0039.9%11.4%55.6%9.7%39.8%4.4%4.9%721.6K-37.6M-210.8K0.5281.19N/AN/A4,5112,32665,32923,835
2016-09-30$16.33$15.0039.6%11.4%56.9%9.4%39.8%7.0%5.2%849.1K-42.6M-215.5K0.9037.82N/AN/A3,2612,92065,38123,829