HTZ Options History — October 2007

In October 2007, HTZ traded between $92.96 and $108.51. ATM implied volatility averaged 44.6%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 0.1% (HV 20d: 44.7%). Max pain ranged from $97.74 to $108.60. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 8.98.

Notable Days

  • 2007-10-12: Highest Volume — 678 contracts
  • 2007-10-04: Largest IV drop — 14.4% change
  • 2007-10-19: Highest IV Rank — 71.1%
  • 2007-10-19: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.19$92.96$108.51$101.43$94.18
Max Pain$102.94$97.74$108.60$97.74$97.74
ATM IV44.6%34.3%52.5%38.4%46.7%
Expected Move13.0%9.8%15.1%11.0%13.4%
HV 20d44.7%39.2%55.5%40.0%55.5%
HV 60d40.2%36.5%46.0%36.6%46.0%
IV Rank54.8%33.6%71.1%42.0%59.1%
IV Percentile86.0%52.1%99.0%75.4%91.9%
Term Structure-2.9%-8.1%6.4%2.6%-3.0%
VWIV45.6%35.7%51.6%35.7%47.7%
Skew 25d7.7%2.8%14.6%12.5%10.1%
Skew 10d12.5%-4.3%26.6%26.6%15.5%
Call IV 25d40.8%30.0%52.8%30.0%37.7%
Put IV 25d48.5%41.7%55.6%42.5%47.8%
Bid-Ask Spread %21.8610.4257.4957.4918.18
Gamma HHI0.490.240.810.270.50
Net GEX60.8K-5.8K140.8K-5.6K128.6K
Net DEX-1.2M-2.7M-367.2K-367.2K-1.1M
Net VEX-11.4K-16.8K-6.4K-6.4K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.980.00173.000.071.52
Total Volume78.17406781814
Total OI804.2173931,2243931,224

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$101.43$97.7438.4%11.0%40.0%42.0%35.7%12.5%2.6%-5.6K-367.2K-6.4K0.0757.49N/AN/A171189204
2007-10-02$103.87$97.7435.4%10.2%40.5%36.0%40.1%6.8%6.4%722-625.0K-6.6K1.0520.66N/AN/A3637198203
2007-10-03$103.08$97.7440.1%11.5%39.7%45.5%36.4%5.0%4.5%-2.5K-624.5K-7.2K0.1521.67N/AN/A51218224
2007-10-04$103.56$97.7434.3%9.8%39.6%33.6%0.0%4.3%5.8%-3.5K-641.5K-7.2K0.5031.85N/AN/A52219224
2007-10-05$108.47$97.7434.6%11.6%41.6%34.3%40.6%8.7%-0.7%4.4K-1.0M-7.0K5.5018.32N/AN/A213219227
2007-10-08$107.86$97.7436.5%11.7%40.0%38.2%47.0%3.8%-1.3%1.7K-989.7K-6.9K0.6819.50N/AN/A53221235
2007-10-09$108.51$97.7436.8%12.3%39.9%38.6%0.0%6.3%-2.5%2.1K-1.1M-6.8K0.0037.41N/AN/A00223237
2007-10-10$104.56$97.7438.5%12.4%40.3%42.2%43.6%13.6%-2.8%-5.8K-677.9K-7.1K0.3116.86N/AN/A72223237
2007-10-11$106.30$97.7442.6%12.2%39.5%50.6%0.0%14.6%-2.5%-1.2K-838.0K-7.0K0.0042.73N/AN/A50230239
2007-10-12$106.21$97.7443.6%12.5%39.2%52.7%43.6%14.6%-3.5%695-831.4K-7.0K0.1715.01N/AN/A58197235239
2007-10-15$103.08$108.6049.0%14.0%41.4%63.9%44.4%12.4%-7.2%72.0K-2.0M-15.0K0.0012.31N/AN/A200676298
2007-10-16$98.18$108.6049.7%14.3%45.3%65.4%48.6%5.0%-8.1%61.5K-838.0K-14.2K0.2010.42N/AN/A122695326
2007-10-17$100.87$108.6048.9%14.0%43.6%63.7%47.6%7.9%-6.4%105.8K-1.9M-16.5K2.3813.19N/AN/A512825323
2007-10-18$101.48$108.6050.7%14.5%43.6%67.5%47.8%9.9%-4.6%111.9K-2.1M-16.8K1.5411.49N/AN/A68829335
2007-10-19$95.57$108.6052.5%15.1%49.2%71.1%0.0%2.8%-7.6%71.8K-449.7K-14.4K173.0024.89N/AN/A040833330
2007-10-22$97.96$108.6051.1%14.6%49.8%68.2%50.9%4.3%-6.6%118.4K-2.0M-15.4K0.3412.93N/AN/A93799211
2007-10-23$97.65$108.6049.5%14.2%48.2%64.9%48.3%4.8%-5.1%122.3K-1.9M-14.9K0.0018.22N/AN/A50805213
2007-10-24$95.92$108.6048.3%13.9%48.8%62.5%48.0%2.8%-3.2%111.9K-1.6M-14.1K0.0014.03N/AN/A20808213
2007-10-25$94.31$108.6048.0%13.8%46.1%61.8%0.0%5.4%-4.1%103.8K-1.2M-13.2K0.0031.80N/AN/A017808213
2007-10-26$101.48$108.6051.5%14.8%50.8%69.1%51.6%6.9%-5.3%137.0K-2.7M-15.8K0.2616.89N/AN/A34689808230
2007-10-29$99.83$108.6048.6%13.9%50.2%63.1%48.4%6.0%-5.4%140.8K-2.1M-14.9K0.0522.26N/AN/A33616808230
2007-10-30$92.96$97.7450.2%14.4%55.1%66.3%50.2%8.5%-6.9%121.0K-964.3K-13.8K0.8614.79N/AN/A2017937276
2007-10-31$94.18$97.7446.7%13.4%55.5%59.1%47.7%10.1%-3.0%128.6K-1.1M-13.8K1.5218.18N/AN/A68936288