HTZ Options History — March 2007

In March 2007, HTZ traded between $88.97 and $102.95. ATM implied volatility averaged 30.6%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.4% (HV 20d: 28.2%). Max pain ranged from $65.16 to $97.74. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 4.59.

Notable Days

  • 2007-03-12: Highest Volume — 133 contracts
  • 2007-03-12: Largest IV spike — 76.4% change
  • 2007-03-12: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.42$88.97$102.95$88.97$102.95
Max Pain$94.78$65.16$97.74$65.16$97.74
ATM IV30.6%23.2%66.5%27.8%30.0%
Expected Move8.2%6.7%10.8%8.0%8.6%
HV 20d28.2%22.7%30.8%29.6%22.7%
HV 60d27.9%27.2%28.5%28.4%27.2%
Term Structure-0.4%-6.7%4.6%-2.2%-0.1%
VWIV27.3%19.8%35.2%27.8%23.4%
Skew 25d3.2%0.4%10.8%3.7%2.3%
Skew 10d8.1%-0.2%57.7%9.4%1.6%
Call IV 25d27.2%22.9%30.1%26.1%27.9%
Put IV 25d30.4%24.1%39.0%29.8%30.2%
Bid-Ask Spread %58.5931.1893.9593.9555.58
Gamma HHI0.560.490.640.540.60
Net GEX124.2K101.2K156.7K107.9K122.1K
Net DEX-8.8M-11.7M-6.2M-6.2M-11.7M
Net VEX-26.1K-34.9K-13.7K-34.9K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.590.0062.750.150.00
Total Volume28.4550133173
Total OI2,663.5912,5572,8122,6092,647

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$88.97$65.1627.8%8.0%29.6%0.0%27.8%3.7%-2.2%107.9K-6.2M-34.9K0.1593.95N/AN/A1521,3291,280
2007-03-02$91.70$65.1631.2%8.9%30.7%0.0%19.8%1.8%-3.5%130.7K-7.9M-31.0K5.3291.15N/AN/A6311,3421,280
2007-03-05$91.23$97.7430.8%8.0%30.8%0.0%27.5%5.0%-0.8%117.2K-7.4M-31.1K1.1360.92N/AN/A9101,3421,306
2007-03-06$92.22$97.7423.4%8.5%29.7%0.0%0.0%1.1%-0.7%109.1K-7.5M-31.6K7.8861.90N/AN/A3291,3421,308
2007-03-07$90.83$97.7439.3%8.4%30.3%0.0%29.8%8.9%-1.2%111.6K-7.1M-31.3K0.0062.97N/AN/A061,3441,332
2007-03-08$91.23$97.7435.7%8.6%30.1%0.0%27.4%2.5%-1.1%106.3K-6.9M-32.2K1.4361.33N/AN/A121,3441,337
2007-03-09$90.79$97.7437.7%9.7%29.4%0.0%33.4%10.8%-4.6%101.2K-6.8M-33.2K1.2050.47N/AN/A35411,3461,340
2007-03-12$91.75$97.7466.5%10.8%29.1%0.0%35.2%2.5%-6.7%107.9K-7.2M-31.8K0.9052.23N/AN/A70631,3791,336
2007-03-13$92.57$97.7428.4%8.3%28.2%0.0%29.1%1.5%-1.6%142.5K-8.4M-29.2K0.1768.55N/AN/A5181,4421,370
2007-03-14$96.05$97.7423.2%8.1%30.7%0.0%28.2%1.9%0.7%156.7K-9.6M-27.1K0.2532.66N/AN/A921,4231,365
2007-03-15$95.09$97.7428.6%8.2%27.7%0.0%0.0%0.7%-0.1%149.6K-9.2M-27.6K0.0052.47N/AN/A601,4201,365
2007-03-16$95.70$97.7428.0%8.0%27.0%0.0%28.0%0.5%0.5%145.6K-9.0M-28.3K0.3056.61N/AN/A621,4201,365
2007-03-19$94.61$97.7428.7%8.2%27.0%0.0%28.4%0.4%0.7%137.5K-7.9M-27.6K0.3761.20N/AN/A1451,2831,274
2007-03-20$94.53$97.7426.7%7.7%26.3%0.0%29.5%2.4%2.2%137.2K-8.1M-26.6K62.7558.47N/AN/A1581,2881,279
2007-03-21$97.61$97.7427.2%7.8%27.5%0.0%27.2%4.9%1.1%124.9K-9.2M-23.9K0.2471.69N/AN/A921,2881,326
2007-03-22$99.30$97.7425.3%7.2%28.0%0.0%25.3%5.6%2.8%117.1K-9.8M-22.1K2.3155.12N/AN/A371,2851,328
2007-03-23$98.96$97.7423.2%6.7%27.9%0.0%23.2%3.9%4.6%125.2K-9.9M-21.0K7.5056.53N/AN/A2171,2871,335
2007-03-26$98.96$97.7424.4%7.0%27.5%0.0%24.4%3.2%2.5%130.3K-10.0M-19.4K0.0049.12N/AN/A1801,2871,328
2007-03-27$101.43$97.7429.5%8.5%28.4%0.0%23.8%1.9%-3.2%105.8K-10.8M-18.5K0.0139.58N/AN/A6411,2931,328
2007-03-28$101.69$97.7430.1%8.6%28.3%0.0%23.4%2.7%0.3%122.2K-11.4M-14.6K0.0065.24N/AN/A1501,3111,328
2007-03-29$101.09$97.7426.7%7.7%24.0%0.0%0.0%2.5%1.9%124.1K-11.0M-16.9K0.0031.18N/AN/A001,3191,328
2007-03-30$102.95$97.7430.0%8.6%22.7%0.0%0.0%2.3%-0.1%122.1K-11.7M-13.7K0.0055.58N/AN/A301,3191,328