HTZ Options History — June 2007

In June 2007, HTZ traded between $97.52 and $116.33. ATM implied volatility averaged 34.9%. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 8.9% (HV 20d: 43.8%). Max pain ranged from $86.88 to $108.60. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-06-12: Highest Volume — 690 contracts
  • 2007-06-06: Largest IV spike — 61.8% change
  • 2007-06-12: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.09$97.52$116.33$97.70$115.42
Max Pain$97.74$86.88$108.60$86.88$97.74
ATM IV34.9%25.9%58.4%30.7%32.4%
Expected Move9.5%8.4%11.4%8.8%9.3%
HV 20d43.8%38.0%48.7%38.0%40.9%
HV 60d39.0%35.9%40.7%35.9%40.6%
Term Structure1.4%-3.3%5.7%-0.4%2.8%
VWIV33.1%19.6%39.5%30.5%32.1%
Skew 25d7.2%0.6%26.5%4.1%8.9%
Skew 10d11.9%2.0%56.3%5.9%6.5%
Call IV 25d28.9%22.5%36.1%24.6%23.4%
Put IV 25d36.1%28.7%52.8%28.7%32.4%
Bid-Ask Spread %36.4517.0970.3418.5725.55
Gamma HHI0.640.410.870.470.74
Net GEX53.7K-23.4K153.7K153.7K26.2K
Net DEX-6.2M-12.7M-2.1M-7.9M-3.0M
Net VEX-6.4K-7.6K-4.2K-6.1K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.097.650.095.25
Total Volume104.47636901711
Total OI1,492.2385382,8871,988673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$97.70$86.8830.7%8.8%38.0%0.0%30.5%4.1%-0.4%153.7K-7.9M-6.1K0.0918.57N/AN/A1611,049939
2007-06-04$100.13$86.8834.9%9.1%38.9%0.0%31.5%26.5%-0.9%85.1K-8.8M-4.5K0.7954.25N/AN/A74581,050940
2007-06-05$103.65$97.7425.9%8.4%39.5%0.0%32.1%6.2%2.2%57.4K-10.1M-4.6K1.3850.90N/AN/A351,099998
2007-06-06$101.35$97.7441.9%9.5%40.7%0.0%33.3%13.9%-0.6%95.6K-9.2M-5.8K3.2742.31N/AN/A5161,0981,004
2007-06-07$99.04$97.7434.9%9.1%41.7%0.0%19.6%1.7%0.7%107.3K-8.6M-6.1K7.5042.15N/AN/A031,1031,014
2007-06-08$100.00$108.6037.9%9.7%39.4%0.0%33.9%9.0%-0.6%86.2K-8.9M-5.6K0.0037.12N/AN/A0241,1031,017
2007-06-11$98.09$108.6043.8%10.4%40.1%0.0%36.1%3.4%-2.7%133.6K-8.0M-5.6K7.6536.03N/AN/A332561,1031,022
2007-06-12$97.52$97.7458.4%11.4%40.2%0.0%39.5%0.6%-3.3%62.1K-7.1M-6.6K2.6530.53N/AN/A1895011,1211,173
2007-06-13$105.86$97.7430.3%10.0%48.7%0.0%35.6%5.8%-1.9%-23.4K-11.5M-4.2K0.4870.34N/AN/A3271551,1681,530
2007-06-14$105.65$97.7433.5%9.6%47.9%0.0%36.4%4.9%0.9%47.1K-12.7M-6.7K0.8147.14N/AN/A56461,3701,470
2007-06-15$104.91$97.7432.9%9.4%48.1%0.0%32.6%4.2%0.3%32.1K-12.4M-7.6K0.6142.22N/AN/A1481,3841,503
2007-06-18$108.73$97.7434.6%9.9%47.1%0.0%36.1%2.9%3.0%19.7K-2.1M-7.1K0.4245.05N/AN/A3514319219
2007-06-19$109.17$97.7434.6%9.9%46.5%0.0%37.8%1.3%3.4%21.3K-2.2M-7.0K0.6519.85N/AN/A1812323222
2007-06-20$110.86$97.7431.8%9.1%46.4%0.0%32.8%12.3%4.7%19.5K-2.4M-6.7K0.3117.09N/AN/A4815325235
2007-06-21$111.29$97.7432.2%9.2%45.8%0.0%31.5%9.3%3.4%22.7K-2.5M-6.9K0.1425.01N/AN/A598340239
2007-06-22$110.95$97.7431.3%9.0%45.8%0.0%32.8%8.3%3.8%37.9K-2.7M-7.4K0.9440.12N/AN/A77374243
2007-06-25$108.64$97.7431.0%8.9%46.7%0.0%31.1%4.5%3.7%42.5K-2.5M-7.3K1.1351.21N/AN/A3640375238
2007-06-26$110.51$97.7432.7%9.4%46.3%0.0%32.7%8.5%2.5%39.6K-2.5M-7.5K7.1330.67N/AN/A213381258
2007-06-27$112.16$97.7434.0%9.8%46.3%0.0%34.0%5.3%3.7%35.3K-2.7M-7.3K1.5917.81N/AN/A1830383267
2007-06-28$116.33$97.7433.0%9.5%44.3%0.0%32.8%10.0%5.7%26.4K-3.1M-6.5K0.8021.59N/AN/A1714380285
2007-06-29$115.42$97.7432.4%9.3%40.9%0.0%32.1%8.9%2.8%26.2K-3.0M-6.6K5.2525.55N/AN/A29379294