HTZ Options History — November 2007

In November 2007, HTZ traded between $74.72 and $93.96. ATM implied volatility averaged 56.3%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 9.1% (HV 20d: 65.3%). Max pain ranged from $86.88 to $97.74. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 8.26.

Notable Days

  • 2007-11-08: Highest Volume — 481 contracts
  • 2007-11-15: Largest IV drop — 21.7% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-09: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.92$74.72$93.96$93.96$82.97
Max Pain$95.67$86.88$97.74$97.74$86.88
ATM IV56.3%46.6%73.8%46.6%53.4%
Expected Move15.1%13.3%16.3%13.4%15.3%
HV 20d65.3%52.6%72.2%55.4%68.0%
HV 60d50.1%42.7%55.1%43.6%55.1%
IV Rank71.9%59.0%100.0%59.0%63.3%
IV Percentile96.4%91.0%100.0%91.0%93.9%
Term Structure-1.0%-3.4%1.7%-3.1%-2.4%
VWIV51.4%43.1%55.7%46.1%54.8%
Skew 25d1.9%-4.5%11.6%11.6%-1.9%
Skew 10d3.1%-15.0%19.1%17.0%-5.7%
Call IV 25d52.1%37.7%57.1%37.7%57.1%
Put IV 25d53.9%46.4%57.8%49.3%55.2%
Bid-Ask Spread %23.5115.9331.2420.4318.39
Gamma HHI0.510.360.730.480.51
Net GEX-6.5K-76.0K125.7K125.7K-42.8K
Net DEX1.1M-1.0M2.3M-1.0M823.6K
Net VEX-8.9K-13.7K-6.3K-13.7K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.260.00134.820.003.17
Total Volume68.4762481238
Total OI1,256.811,1101,4751,2311,366

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$93.96$97.7446.6%13.4%55.4%59.0%46.1%11.6%-3.1%125.7K-1.0M-13.7K0.0020.43N/AN/A20935296
2007-11-02$91.23$97.7449.2%14.1%52.6%64.2%49.2%-0.7%-1.5%100.4K-505.6K-12.5K0.0416.13N/AN/A1305935296
2007-11-05$85.75$97.7453.5%13.3%55.8%73.2%50.0%3.7%1.7%36.8K638.4K-8.3K1.4531.24N/AN/A1420817298
2007-11-06$86.01$97.7450.5%13.7%55.7%67.0%46.2%0.6%1.3%36.5K405.1K-8.6K0.1226.96N/AN/A202829281
2007-11-07$79.54$97.7458.3%14.8%60.0%83.1%49.1%2.7%0.3%11.6K1.0M-6.4K0.3026.43N/AN/A5316884283
2007-11-08$86.36$97.7461.8%15.4%68.3%90.4%52.6%1.8%-0.6%54.8K-89.6K-10.5K0.0528.20N/AN/A45823872292
2007-11-09$80.15$97.7463.8%16.3%71.9%94.4%0.0%4.6%-1.3%20.9K835.9K-8.2K1.0017.04N/AN/A22991311
2007-11-12$81.06$97.7473.8%16.2%72.2%100.0%55.7%0.9%-2.8%13.9K820.8K-7.8K0.0129.52N/AN/A300836313
2007-11-13$81.36$97.7471.2%16.2%71.0%95.3%0.0%2.2%-3.4%14.8K794.8K-7.7K0.0024.72N/AN/A120848313
2007-11-14$78.24$97.7466.5%16.0%70.4%86.9%52.5%2.9%-3.2%7.9K1.1M-6.5K2.9120.08N/AN/A515860311
2007-11-15$78.71$97.7452.0%14.9%70.4%61.0%52.1%2.8%-0.7%8.6K1.1M-6.3K134.8228.23N/AN/A2342862308
2007-11-16$76.32$97.7452.2%15.0%68.5%61.3%0.0%3.4%-0.8%-59.7K2.2M-8.7K11.0022.20N/AN/A05866609
2007-11-19$75.20$97.7453.8%15.4%67.2%64.2%0.0%2.9%-1.0%-56.6K2.1M-8.2K10.6727.38N/AN/A337691576
2007-11-20$77.32$97.7454.3%15.6%68.7%65.0%43.1%-0.4%-0.8%-50.6K1.8M-9.5K0.8419.49N/AN/A65694605
2007-11-21$76.02$97.7452.2%15.0%68.7%61.3%52.8%-0.9%1.0%-55.2K2.0M-9.0K2.6127.35N/AN/A1746699605
2007-11-23$76.41$97.7454.6%15.6%68.9%65.5%53.5%3.2%-0.6%-64.1K2.1M-9.1K1.3029.00N/AN/A79704628
2007-11-26$74.72$97.7454.5%15.6%61.5%65.4%54.9%1.9%-0.3%-69.5K2.3M-8.4K0.2121.36N/AN/A61708635
2007-11-27$74.93$86.8853.6%15.4%61.8%63.7%52.6%4.1%-1.8%-76.0K2.2M-8.1K1.2724.18N/AN/A2633708613
2007-11-28$81.71$86.8852.3%15.0%67.6%61.5%54.4%-2.1%-1.1%-41.7K910.0K-9.9K1.0715.93N/AN/A1314733618
2007-11-29$81.23$86.8853.3%15.3%67.3%63.2%53.7%-4.5%-0.4%-51.2K1.1M-9.7K0.5619.55N/AN/A127737627
2007-11-30$82.97$86.8853.4%15.3%68.0%63.3%54.8%-1.9%-2.4%-42.8K823.6K-9.8K3.1718.39N/AN/A929734632