HTZ Options History — September 2007 In September 2007, HTZ traded between $85.93 and $98.70. ATM implied volatility averaged 39.5%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.0% (HV 20d: 30.5%). Max pain ranged from $86.88 to $108.60. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.18.
Notable Days 2007-09-11 : Highest Volume — 40 contracts2007-09-10 : Largest IV spike — 14.9% change2007-09-10 : Highest IV Rank — 52.5%2007-09-18 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $91.98 $85.93 $98.70 $97.57 $98.70 Max Pain $100.60 $86.88 $108.60 $86.88 $97.74 ATM IV 39.5% 35.4% 43.5% 36.8% 37.7% Expected Move 11.3% 10.2% 12.1% 10.6% 10.8% HV 20d 30.5% 23.3% 42.8% 42.2% 39.0% HV 60d 33.6% 31.9% 36.3% 36.3% 36.1% IV Rank 44.3% 35.9% 52.5% 38.8% 40.6% IV Percentile 80.9% 64.1% 93.6% 73.8% 71.0% Term Structure 1.4% -1.1% 5.4% 2.7% 1.3% VWIV 35.8% 24.6% 40.6% 36.8% 38.6% Skew 25d 6.9% 2.6% 15.6% 15.6% 12.8% Skew 10d 12.7% 4.6% 24.6% 24.6% 22.7% Call IV 25d 36.0% 26.5% 41.3% 26.5% 32.2% Put IV 25d 42.9% 39.2% 45.9% 42.0% 44.9% Bid-Ask Spread % 51.93 20.07 79.06 20.07 61.82 Gamma HHI 0.29 0.23 0.43 0.37 0.26 Net GEX 6.0K -10.4K 24.6K 24.6K -7.0K Net DEX 29.8K -663.9K 410.4K -663.9K -173.7K Net VEX -6.0K -6.5K -5.4K -6.3K -6.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.00 7.00 0.00 0.27 Total Volume 12.421 0 40 2 22 Total OI 554.316 362 674 580 384
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-09-04 $97.57 $86.88 36.8% 10.6% 42.2% 38.8% 36.8% 15.6% 2.7% 24.6K -663.9K -6.3K 0.00 20.07 N/A N/A 2 0 326 254 2007-09-05 $95.57 $86.88 35.5% 10.2% 42.8% 36.2% 35.7% 9.9% 4.4% 21.0K -418.3K -6.1K 0.00 44.72 N/A N/A 0 3 328 254 2007-09-06 $95.18 $86.88 35.4% 10.2% 33.8% 35.9% 31.4% 10.2% 4.3% 19.6K -346.7K -6.0K 0.00 26.75 N/A N/A 2 0 328 254 2007-09-07 $93.83 $86.88 37.8% 11.4% 28.8% 40.9% 24.6% 5.1% 2.5% 17.5K -269.3K -5.9K 2.19 33.82 N/A N/A 3 8 328 254 2007-09-10 $91.36 $108.60 43.5% 11.9% 30.1% 52.5% 0.0% 4.0% 0.6% 11.6K 6.3K -5.4K 0.00 47.45 N/A N/A 30 0 327 257 2007-09-11 $91.40 $108.60 42.5% 11.0% 25.5% 50.5% 0.0% 2.6% 5.4% 14.3K -69.5K -5.9K 1.33 45.96 N/A N/A 17 23 352 257 2007-09-12 $88.31 $108.60 40.2% 11.6% 27.6% 45.7% 40.6% 6.0% 1.7% 9.0K 237.4K -6.2K 0.48 57.63 N/A N/A 5 2 364 268 2007-09-13 $87.10 $108.60 40.3% 11.6% 24.5% 46.0% 38.1% 3.0% 1.4% 7.2K 353.7K -5.8K 0.00 59.62 N/A N/A 7 0 361 266 2007-09-14 $86.45 $97.74 40.9% 11.7% 23.5% 47.3% 0.0% 4.3% -0.0% 7.5K 410.4K -5.6K 0.00 44.60 N/A N/A 0 0 361 266 2007-09-17 $85.93 $97.74 41.3% 11.8% 23.3% 47.9% 25.9% 4.9% 0.0% 7.6K 340.4K -5.5K 0.00 44.14 N/A N/A 0 39 361 251 2007-09-18 $88.58 $108.60 42.2% 12.1% 24.6% 49.9% 0.0% 5.6% -0.3% 4.4K 326.2K -5.9K 5.00 74.18 N/A N/A 0 2 361 285 2007-09-19 $92.70 $108.60 42.1% 12.1% 30.0% 49.6% 35.7% 9.8% -1.1% 4.1K -18.2K -6.0K 0.41 70.52 N/A N/A 21 8 361 288 2007-09-20 $93.44 $108.60 39.2% 11.2% 29.0% 43.8% 39.4% 7.3% 0.3% 4.6K -66.5K -6.2K 1.00 74.13 N/A N/A 3 3 374 297 2007-09-21 $93.44 $108.60 37.7% 10.8% 29.0% 40.6% 38.0% 6.4% 1.2% 3.0K -37.4K -6.3K 7.00 70.70 N/A N/A 0 3 374 300 2007-09-24 $93.27 $108.60 38.9% 11.2% 28.9% 43.1% 39.9% 6.2% -0.1% -10.4K 175.1K -6.1K 0.73 71.40 N/A N/A 9 7 167 195 2007-09-25 $90.31 $97.74 39.5% 11.3% 30.7% 44.4% 40.1% 4.4% 0.3% -9.2K 318.3K -6.1K 0.43 79.06 N/A N/A 5 2 174 201 2007-09-26 $89.97 $97.74 40.8% 11.7% 30.5% 46.9% 38.6% 5.6% 0.1% -7.5K 400.9K -5.9K 0.00 29.71 N/A N/A 3 0 176 199 2007-09-27 $94.48 $97.74 37.5% 10.7% 35.7% 40.1% 0.0% 8.2% 1.4% -8.3K 61.5K -6.3K 0.00 30.33 N/A N/A 7 0 180 199 2007-09-28 $98.70 $97.74 37.7% 10.8% 39.0% 40.6% 0.0% 12.8% 1.3% -7.0K -173.7K -6.5K 0.27 61.82 N/A N/A 17 5 185 199
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