HTZ Options History — May 2007

In May 2007, HTZ traded between $88.31 and $95.44. ATM implied volatility averaged 35.3%. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 6.6% (HV 20d: 41.9%). Max pain ranged from $86.88 to $97.74. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 8.61.

Notable Days

  • 2007-05-09: Highest Volume — 2,305 contracts
  • 2007-05-08: Largest IV drop — 15.0% change
  • 2007-05-01: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.27$88.31$95.44$88.31$92.01
Max Pain$88.36$86.88$97.74$97.74$86.88
ATM IV35.3%30.4%43.1%41.4%32.9%
Expected Move9.8%8.7%11.9%11.9%9.4%
HV 20d41.9%31.4%46.2%38.0%31.4%
HV 60d33.3%32.1%33.9%32.1%33.9%
Term Structure-3.0%-9.9%2.2%-9.4%-2.2%
VWIV34.9%31.3%40.9%38.5%33.7%
Skew 25d3.9%-4.1%11.0%2.8%-0.5%
Skew 10d5.0%-4.5%20.2%8.2%-0.5%
Call IV 25d30.4%23.6%36.1%29.4%33.6%
Put IV 25d34.3%30.3%41.4%32.3%33.1%
Bid-Ask Spread %35.3020.6265.4257.6139.72
Gamma HHI0.540.400.660.540.66
Net GEX129.8K-33.6K188.5K188.5K175.2K
Net DEX-4.8M-8.4M-1.9M-4.2M-4.5M
Net VEX-12.9K-24.9K-6.1K-24.9K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.610.0080.001.150.05
Total Volume134.09102,30513256
Total OI2,156.4091,7292,8642,7671,737

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$88.31$97.7441.4%11.9%38.0%0.0%38.5%2.8%-9.4%188.5K-4.2M-24.9K1.1557.61N/AN/A671,3461,421
2007-05-02$93.31$97.7436.4%10.4%42.0%0.0%40.9%8.7%-0.3%159.0K-7.3M-20.0K10.0065.42N/AN/A1121,3441,420
2007-05-03$94.22$97.7438.5%11.0%42.1%0.0%38.2%9.3%-9.9%177.9K-8.3M-17.7K13.5032.85N/AN/A061,3461,428
2007-05-04$94.70$86.8840.3%8.9%41.8%0.0%0.0%2.3%-1.7%166.7K-8.4M-17.8K0.0030.78N/AN/A01131,3461,426
2007-05-07$92.88$86.8843.1%9.5%41.9%0.0%31.3%2.4%-3.5%157.8K-6.8M-18.6K7.5045.76N/AN/A031,3461,518
2007-05-08$93.35$86.8836.6%9.1%42.0%0.0%31.9%7.2%-1.3%143.4K-6.9M-18.0K0.0020.62N/AN/A021,3461,512
2007-05-09$92.92$86.8834.7%9.1%41.9%0.0%31.6%5.4%-2.8%154.0K-6.7M-17.8K1.0042.95N/AN/A1,1531,1521,3461,515
2007-05-10$89.79$86.8834.9%10.0%43.1%0.0%37.3%3.6%-5.6%135.9K-3.6M-17.1K2.3225.80N/AN/A5101,1061,273
2007-05-11$89.10$86.8835.5%10.2%43.0%0.0%35.4%-4.1%-4.6%100.1K-1.9M-13.6K0.0064.73N/AN/A068721,039
2007-05-14$90.14$86.8835.5%10.2%43.5%0.0%0.0%-0.5%-4.5%124.3K-2.5M-12.0K1.0025.32N/AN/A118721,037
2007-05-15$91.79$86.8835.9%10.3%44.3%0.0%0.0%3.3%-5.8%121.5K-3.0M-10.8K3.0021.76N/AN/A138721,037
2007-05-16$94.70$86.8833.2%9.5%45.9%0.0%33.4%11.0%-3.6%13.6K-4.2M-10.0K0.0438.63N/AN/A608741,041
2007-05-17$95.44$86.8832.5%9.3%45.8%0.0%32.3%7.7%-3.0%-33.6K-4.5M-8.4K80.0048.10N/AN/A21848781,039
2007-05-18$92.31$86.8833.4%9.6%46.2%0.0%33.3%1.5%-3.2%115.0K-3.1M-10.3K10.0023.50N/AN/A028811,089
2007-05-21$91.14$86.8833.2%9.5%46.0%0.0%34.0%4.1%2.2%146.0K-4.1M-9.6K6.0030.35N/AN/A02806923
2007-05-22$91.09$86.8834.3%9.8%45.8%0.0%34.5%-1.0%-1.3%142.2K-3.7M-9.9K0.0027.20N/AN/A50806925
2007-05-23$90.14$86.8834.8%10.0%45.6%0.0%0.0%-3.5%-2.2%153.6K-3.4M-10.1K0.0027.93N/AN/A10810925
2007-05-24$89.88$86.8833.2%9.5%42.5%0.0%33.0%-1.2%0.3%179.4K-3.4M-9.6K10.0031.71N/AN/A02809925
2007-05-25$92.35$86.8830.4%8.7%40.4%0.0%35.3%4.5%-0.3%147.6K-4.4M-8.4K0.0028.24N/AN/A06809923
2007-05-29$94.92$86.8834.3%9.8%34.9%0.0%38.2%11.0%-2.8%102.6K-5.4M-6.6K0.8622.19N/AN/A11809927
2007-05-30$95.35$86.8832.1%9.2%34.4%0.0%0.0%11.0%-0.6%85.7K-5.7M-6.1K0.0025.52N/AN/A00810927
2007-05-31$92.01$86.8832.9%9.4%31.4%0.0%33.7%-0.5%-2.2%175.2K-4.5M-7.1K0.0539.72N/AN/A24313810927