HTZ Options History — August 2007

In August 2007, HTZ traded between $92.09 and $102.52. ATM implied volatility averaged 39.7%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.6% (HV 20d: 39.1%). Max pain ranged from $86.88 to $97.74. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.93.

Notable Days

  • 2007-08-02: Highest Volume — 91 contracts
  • 2007-08-15: Largest IV spike — 24.9% change
  • 2007-08-15: Highest IV Rank — 67.7%
  • 2007-08-17: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.18$92.09$102.52$94.92$96.05
Max Pain$91.60$86.88$97.74$97.74$86.88
ATM IV39.7%34.7%50.8%46.7%35.4%
Expected Move10.9%10.0%13.5%13.4%10.2%
HV 20d39.1%19.2%47.2%19.7%43.3%
HV 60d38.4%35.5%40.9%35.5%36.2%
IV Rank44.7%34.5%67.7%59.1%36.0%
IV Percentile82.2%62.0%98.7%97.9%65.3%
Term Structure1.6%-5.5%4.7%-5.5%1.1%
VWIV37.3%30.4%48.5%48.5%32.7%
Skew 25d7.6%2.2%14.5%5.3%11.0%
Skew 10d10.2%-1.6%24.8%-1.4%17.6%
Call IV 25d33.9%27.4%39.0%39.0%28.9%
Put IV 25d41.5%38.3%47.6%44.3%39.9%
Bid-Ask Spread %54.6232.9679.2676.2179.26
Gamma HHI0.330.250.490.260.35
Net GEX20.1K9.4K31.8K21.0K21.3K
Net DEX-498.0K-1.3M35.5K-472.5K-514.3K
Net VEX-6.9K-7.7K-5.3K-5.5K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.003.570.750.00
Total Volume20.30409150
Total OI569.739473620473580

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$94.92$97.7446.7%13.4%19.7%59.1%48.5%5.3%-5.5%21.0K-472.5K-5.5K0.7576.21N/AN/A32295178
2007-08-02$95.09$97.7437.2%10.7%19.7%39.6%33.0%2.2%-0.6%22.2K-492.0K-5.3K0.7662.05N/AN/A5239296181
2007-08-03$93.40$97.7437.4%10.7%19.2%40.0%39.9%6.7%-2.0%21.9K-318.9K-5.8K3.5752.06N/AN/A935319193
2007-08-06$96.39$86.8841.0%10.8%24.3%47.5%0.0%7.3%1.3%22.7K-566.9K-6.4K2.8949.70N/AN/A1853320222
2007-08-07$95.57$86.8836.0%10.8%24.2%37.1%37.5%5.7%1.2%18.9K-411.3K-7.5K0.3243.88N/AN/A72327259
2007-08-08$102.52$86.8841.4%10.9%36.3%48.2%34.2%6.7%0.9%31.8K-1.3M-7.7K1.1078.34N/AN/A77333250
2007-08-09$97.26$86.8842.4%10.7%40.2%50.2%37.0%3.5%2.7%23.1K-666.4K-7.5K1.1446.38N/AN/A89330249
2007-08-10$96.39$86.8843.6%10.8%40.1%52.7%36.2%4.3%4.6%21.6K-599.1K-7.6K0.8147.01N/AN/A4032334253
2007-08-13$100.35$97.7440.0%10.7%43.2%45.3%35.7%6.0%4.7%24.8K-889.6K-7.6K0.0043.85N/AN/A120329270
2007-08-14$99.30$97.7440.7%10.4%43.3%46.8%35.7%2.9%4.6%23.9K-750.2K-7.5K0.6048.25N/AN/A127328270
2007-08-15$95.31$86.8850.8%10.5%45.1%67.7%30.4%5.8%4.4%19.1K-288.4K-7.3K0.7845.39N/AN/A129340269
2007-08-16$93.09$97.7439.6%11.4%45.5%44.5%39.6%14.5%4.3%13.3K-65.2K-7.3K1.9563.05N/AN/A1529350270
2007-08-17$92.09$97.7447.2%13.5%45.3%60.3%0.0%13.2%-2.8%9.4K35.5K-7.0K0.0053.77N/AN/A00350266
2007-08-20$94.22$97.7439.9%11.4%46.5%45.1%41.1%5.0%0.1%10.8K-215.7K-7.0K0.0051.42N/AN/A90299256
2007-08-21$94.66$97.7438.5%11.0%46.6%42.2%38.6%6.8%0.8%14.2K-303.3K-7.0K0.0049.00N/AN/A60307256
2007-08-22$96.70$97.7438.8%11.1%47.2%42.8%38.9%9.6%0.4%18.1K-490.3K-7.0K0.0050.83N/AN/A10310256
2007-08-23$96.87$86.8836.0%10.3%46.4%37.1%0.0%7.6%2.6%20.0K-529.4K-6.8K1.1632.96N/AN/A1416310249
2007-08-24$97.13$86.8836.6%10.5%46.2%38.4%0.0%5.5%2.2%21.4K-604.4K-7.3K0.0038.83N/AN/A00323256
2007-08-27$97.48$86.8836.5%10.5%44.6%38.2%32.7%7.7%2.8%22.8K-649.9K-7.1K0.0068.78N/AN/A20323256
2007-08-28$96.18$86.8836.0%10.3%44.7%37.1%0.0%14.2%3.3%21.0K-517.5K-6.9K0.0077.41N/AN/A00326256
2007-08-29$95.57$86.8835.9%10.3%43.9%36.9%0.0%10.8%2.6%19.4K-439.7K-6.7K0.0048.09N/AN/A00326254
2007-08-30$95.57$86.8834.7%10.0%43.9%34.5%0.0%12.2%3.5%18.8K-399.4K-6.6K0.0049.72N/AN/A00326254
2007-08-31$96.05$86.8835.4%10.2%43.3%36.0%0.0%11.0%1.1%21.3K-514.3K-6.6K0.0079.26N/AN/A00326254