HTZ Options History — April 2007

In April 2007, HTZ traded between $86.45 and $105.08. ATM implied volatility averaged 28.4%. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.3% (HV 20d: 25.2%). Max pain ranged from $97.74 to $97.74. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2007-04-26: Highest Volume — 120 contracts
  • 2007-04-12: Largest IV spike — 56.6% change
  • 2007-04-25: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.77$86.45$105.08$101.74$86.45
Max Pain$97.74$97.74$97.74$97.74$97.74
ATM IV28.4%18.0%40.5%27.8%38.2%
Expected Move8.4%6.3%11.6%8.0%11.0%
HV 20d25.2%22.3%36.5%23.3%36.5%
HV 60d27.3%25.4%31.9%27.4%31.9%
Term Structure-0.0%-9.7%9.5%4.2%-6.3%
VWIV29.5%21.9%44.9%21.9%31.2%
Skew 25d1.4%-2.1%4.2%2.2%1.6%
Skew 10d-1.5%-8.4%18.1%3.1%5.2%
Call IV 25d27.7%25.9%30.4%27.8%30.0%
Put IV 25d29.1%25.9%32.7%30.0%31.5%
Bid-Ask Spread %37.9921.2264.9264.9260.32
Gamma HHI0.610.530.700.590.53
Net GEX126.3K100.8K191.4K127.8K166.7K
Net DEX-10.8M-12.5M-3.6M-11.4M-3.6M
Net VEX-13.7K-25.6K-10.3K-14.5K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.004.620.000.92
Total Volume20.450120522
Total OI2,656.652,5792,7632,6492,763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$101.74$97.7427.8%8.0%23.3%0.0%0.0%2.2%4.2%127.8K-11.4M-14.5K0.0064.92N/AN/A501,3211,328
2007-04-03$104.91$97.7422.5%6.5%24.9%0.0%21.9%2.1%4.6%105.9K-12.1M-13.6K0.5929.78N/AN/A851,3211,328
2007-04-04$103.04$97.7422.0%6.3%25.2%0.0%0.0%0.5%9.5%106.3K-11.9M-12.2K0.6747.45N/AN/A101,3201,333
2007-04-05$104.17$97.7425.0%7.2%25.3%0.0%0.0%2.6%1.2%113.5K-11.8M-13.3K0.0054.23N/AN/A021,3201,333
2007-04-09$105.00$97.7423.2%7.7%24.9%0.0%0.0%2.4%0.4%106.3K-12.2M-11.8K0.0028.15N/AN/A001,3201,333
2007-04-10$105.08$97.7421.0%7.5%25.0%0.0%26.6%0.9%1.4%100.8K-12.5M-10.6K0.8621.22N/AN/A871,3201,333
2007-04-11$103.56$97.7418.0%7.5%26.1%0.0%22.0%-0.6%-0.0%112.9K-12.1M-11.3K0.2926.56N/AN/A821,3241,333
2007-04-12$103.08$97.7428.2%8.1%23.5%0.0%0.0%-0.4%0.7%114.6K-11.9M-12.4K0.0033.89N/AN/A001,3251,333
2007-04-13$103.13$97.7428.3%8.1%23.0%0.0%0.0%0.8%1.7%112.5K-11.9M-11.0K0.0025.63N/AN/A701,3251,333
2007-04-16$102.95$97.7429.9%8.6%23.1%0.0%0.0%1.1%-0.1%116.7K-12.0M-10.5K0.0024.45N/AN/A201,3211,333
2007-04-17$101.61$97.7427.8%8.0%23.2%0.0%27.6%2.9%1.8%127.1K-11.5M-11.7K0.0927.60N/AN/A2621,3241,333
2007-04-18$100.17$97.7426.4%7.6%24.0%0.0%26.4%0.5%2.0%139.9K-10.9M-13.0K4.6245.62N/AN/A3141,3111,335
2007-04-19$98.61$97.7428.0%8.0%22.3%0.0%0.0%0.8%1.5%170.7K-10.1M-16.0K0.0049.62N/AN/A001,3121,344
2007-04-20$100.87$97.7427.8%8.0%22.9%0.0%27.3%4.2%1.8%121.9K-11.4M-11.4K1.4627.18N/AN/A351,3121,344
2007-04-23$101.91$97.7427.1%7.8%23.1%0.0%26.7%-0.4%1.8%111.2K-11.2M-10.3K2.8637.50N/AN/A151,2651,314
2007-04-24$100.26$97.7433.1%9.5%23.9%0.0%32.2%-2.1%-2.6%121.7K-10.9M-11.8K4.3033.19N/AN/A7301,2661,314
2007-04-25$101.04$97.7440.5%11.6%22.4%0.0%44.9%1.9%-8.2%113.2K-10.5M-13.4K1.1845.87N/AN/A45531,2731,342
2007-04-26$96.13$97.7437.0%10.6%28.4%0.0%32.8%3.2%-6.2%144.4K-8.8M-17.9K0.6932.36N/AN/A71491,3031,390
2007-04-27$91.66$97.7437.0%10.6%32.6%0.0%35.1%3.6%-9.7%191.4K-7.0M-21.1K0.3844.27N/AN/A1351,3321,419
2007-04-30$86.45$97.7438.2%11.0%36.5%0.0%31.2%1.6%-6.3%166.7K-3.6M-25.6K0.9260.32N/AN/A12101,3401,423