HTZ Options History — July 2007

In July 2007, HTZ traded between $96.09 and $116.07. ATM implied volatility averaged 38.6%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 11.2% (HV 20d: 27.4%). Max pain ranged from $97.74 to $108.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2007-07-24: Highest Volume — 88 contracts
  • 2007-07-10: Largest IV spike — 24.3% change
  • 2007-07-30: Highest IV Rank — 59.6%
  • 2007-07-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.38$96.09$116.07$114.60$97.26
Max Pain$107.05$97.74$108.60$97.74$108.60
ATM IV38.6%28.1%46.9%31.9%45.8%
Expected Move11.4%9.1%13.4%9.1%13.1%
HV 20d27.4%15.9%40.8%40.8%19.8%
HV 60d39.2%34.6%40.9%40.6%35.4%
IV Rank43.5%20.9%59.6%31.2%57.2%
IV Percentile88.9%46.1%98.6%70.6%97.9%
Term Structure-1.6%-7.7%6.4%5.8%-6.7%
VWIV37.3%26.8%44.3%35.1%44.3%
Skew 25d4.5%-5.1%13.1%-5.1%4.0%
Skew 10d8.0%-10.8%22.3%-10.8%16.1%
Call IV 25d33.3%20.8%39.5%37.3%37.8%
Put IV 25d37.8%31.9%43.5%32.2%41.8%
Bid-Ask Spread %49.4725.3671.2028.5065.94
Gamma HHI0.530.260.760.750.26
Net GEX39.8K20.3K90.6K27.7K20.7K
Net DEX-2.3M-3.6M-535.1K-2.9M-556.5K
Net VEX-6.6K-7.4K-5.8K-6.7K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.004.000.400.00
Total Volume19188442
Total OI657.238483761679487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$114.60$97.7431.9%9.1%40.8%0.0%35.1%-5.1%5.8%27.7K-2.9M-6.7K0.4028.50N/AN/A3113379300
2007-07-03$115.51$97.7435.9%10.3%39.5%0.0%32.2%10.2%4.4%27.2K-3.1M-7.1K0.0025.36N/AN/A450404310
2007-07-05$115.68$97.7433.1%9.5%38.1%31.2%33.8%9.3%6.4%33.9K-3.5M-6.9K4.0025.59N/AN/A15434310
2007-07-06$116.07$108.6033.5%11.5%36.5%31.9%0.0%7.0%-3.1%30.9K-3.5M-6.8K0.0030.20N/AN/A01433312
2007-07-09$115.86$108.6028.1%11.2%36.7%20.9%26.8%13.1%-1.8%30.8K-3.6M-6.3K0.5937.32N/AN/A148433313
2007-07-10$114.07$108.6035.0%10.8%36.3%35.0%32.0%9.6%-0.2%36.2K-3.4M-6.9K1.4349.93N/AN/A12441318
2007-07-11$111.21$108.6035.9%11.0%37.9%36.9%0.0%4.2%-1.5%41.9K-2.9M-7.4K0.0064.64N/AN/A10441320
2007-07-12$111.03$108.6037.8%10.8%25.4%40.8%0.0%2.9%-0.7%43.9K-2.9M-7.2K2.9050.86N/AN/A514440320
2007-07-13$109.86$108.6038.2%11.0%25.8%41.7%38.2%-1.4%-0.8%53.1K-2.7M-7.3K0.1751.39N/AN/A10437315
2007-07-16$110.60$108.6038.4%11.0%25.6%42.1%38.4%4.3%-0.4%53.4K-2.9M-6.9K0.0050.16N/AN/A50439315
2007-07-17$109.82$108.6038.3%11.0%22.6%41.9%27.5%4.1%0.5%64.1K-2.8M-6.8K0.5657.74N/AN/A85442315
2007-07-18$108.64$108.6038.8%11.1%22.9%42.8%39.6%2.8%-2.8%74.1K-2.5M-6.6K1.3071.20N/AN/A1621435311
2007-07-19$108.34$108.6038.8%11.1%22.1%43.0%39.0%1.7%-2.2%90.6K-2.6M-6.5K0.4255.26N/AN/A83434298
2007-07-20$106.21$108.6041.2%11.8%23.0%47.8%40.7%0.2%-2.4%66.1K-2.0M-6.5K0.2729.82N/AN/A298436299
2007-07-23$105.86$108.6042.4%12.2%23.0%50.4%42.3%3.2%-4.8%26.3K-1.6M-6.2K0.6970.84N/AN/A107303180
2007-07-24$105.60$108.6040.5%11.6%21.9%46.5%42.2%5.2%0.0%29.2K-1.6M-6.4K0.5264.04N/AN/A5830312177
2007-07-25$103.43$108.6043.7%12.5%21.8%52.9%43.4%1.3%-5.7%21.1K-1.3M-6.5K1.0965.71N/AN/A66298195
2007-07-26$100.74$108.6041.8%12.0%22.2%49.1%41.9%8.2%-2.9%21.6K-888.2K-6.3K0.8752.73N/AN/A1210298191
2007-07-27$99.39$108.6044.5%12.8%15.9%54.6%44.3%7.9%-6.3%22.1K-837.0K-6.3K3.3340.29N/AN/A12299189
2007-07-30$96.09$108.6046.9%13.4%18.3%59.6%0.0%2.7%-7.7%20.3K-535.1K-5.8K0.0051.34N/AN/A100299190
2007-07-31$97.26$108.6045.8%13.1%19.8%57.2%0.0%4.0%-6.7%20.7K-556.5K-5.9K0.0065.94N/AN/A20297190