HTZ Options History — December 2007

In December 2007, HTZ traded between $64.94 and $80.15. ATM implied volatility averaged 54.5%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 4.8% (HV 20d: 49.7%). Max pain ranged from $76.02 to $86.88. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 4.30.

Notable Days

  • 2007-12-07: Highest Volume — 72 contracts
  • 2007-12-12: Largest IV spike — 32.1% change
  • 2007-12-12: Highest IV Rank — 75.5%
  • 2007-12-17: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.13$64.94$80.15$80.15$69.03
Max Pain$78.19$76.02$86.88$86.88$76.02
ATM IV54.5%45.5%60.2%54.8%54.5%
Expected Move15.7%14.7%17.1%15.7%15.6%
HV 20d49.7%38.9%68.3%68.3%38.9%
HV 60d55.1%54.3%55.8%55.5%54.5%
IV Rank65.4%49.3%75.5%65.9%65.4%
IV Percentile92.5%80.2%97.5%96.5%92.4%
Term Structure-0.0%-4.1%3.1%-1.1%-4.1%
VWIV52.7%38.6%59.8%53.9%38.6%
Skew 25d4.8%-8.4%24.8%-5.3%6.0%
Skew 10d8.7%-18.0%26.5%-18.0%5.3%
Call IV 25d51.9%35.5%61.1%57.2%47.0%
Put IV 25d56.7%46.4%62.0%51.9%53.0%
Bid-Ask Spread %25.7915.5232.5122.7924.64
Gamma HHI0.510.230.820.660.29
Net GEX-50.1K-117.9K-11.1K-64.3K-12.6K
Net DEX2.2M552.0K3.5M1.3M670.1K
Net VEX-5.8K-8.7K-4.3K-8.7K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.0021.500.0012.33
Total Volume19.617229
Total OI1,198.25281,5021,359544

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$80.15$86.8854.8%15.7%68.3%65.9%0.0%-5.3%-1.1%-64.3K1.3M-8.7K0.0022.79N/AN/A20734625
2007-12-04$78.24$86.8854.8%15.7%65.5%65.9%53.9%-7.5%-1.4%-79.2K1.6M-8.2K8.8816.42N/AN/A216734625
2007-12-05$78.06$86.8854.4%15.6%65.4%65.2%0.0%-8.4%0.3%-83.8K1.7M-8.1K1.1015.52N/AN/A22734620
2007-12-06$76.93$86.8853.2%15.3%59.6%63.1%0.0%7.1%-0.9%-88.8K1.8M-7.8K0.0028.85N/AN/A120737618
2007-12-07$76.06$76.0251.0%14.8%50.7%59.1%51.2%6.2%0.2%-97.9K1.8M-7.6K21.5020.24N/AN/A369748615
2007-12-10$73.85$76.0250.7%15.0%44.8%58.6%0.0%10.6%0.4%-117.9K2.6M-7.3K4.0026.91N/AN/A314750678
2007-12-11$71.50$76.0245.5%14.7%45.5%49.3%51.8%13.7%1.7%-103.4K3.0M-6.6K18.0032.51N/AN/A241754677
2007-12-12$68.98$76.0260.2%16.1%46.5%75.5%53.1%24.8%0.7%-71.8K3.2M-5.5K5.0028.28N/AN/A315753649
2007-12-13$69.98$76.0256.6%16.2%45.6%69.1%0.0%3.8%-0.9%-83.7K3.2M-5.6K0.0025.12N/AN/A01755656
2007-12-14$67.42$76.0254.4%15.6%46.8%65.3%54.5%1.3%3.1%-50.4K3.4M-4.7K1.1330.18N/AN/A2630755655
2007-12-17$66.16$76.0259.7%17.1%46.2%74.7%59.8%0.8%-0.2%-34.1K3.4M-4.6K1.9423.98N/AN/A1632780681
2007-12-18$64.94$76.0258.7%16.8%46.3%72.8%58.6%3.1%-0.2%-24.4K3.5M-4.5K0.0124.28N/AN/A330796699
2007-12-19$65.81$76.0255.9%16.0%45.1%67.9%0.0%-1.4%1.5%-14.6K3.4M-4.7K0.0026.48N/AN/A021813689
2007-12-20$68.29$76.0255.8%16.0%47.6%67.7%55.4%1.4%1.2%-11.5K3.2M-4.9K0.4429.52N/AN/A105813674
2007-12-21$71.55$76.0252.5%15.1%51.0%61.8%0.0%2.3%2.6%-12.7K3.2M-5.2K0.7025.96N/AN/A21802674
2007-12-24$71.20$76.0251.5%14.8%50.5%60.1%0.0%4.9%1.0%-13.4K552.0K-5.0K0.0030.37N/AN/A10243285
2007-12-26$68.72$76.0257.9%16.6%51.8%71.5%47.9%12.3%-1.9%-13.3K725.8K-4.5K1.0028.66N/AN/A22244285
2007-12-27$67.98$76.0255.6%16.0%39.1%67.4%55.4%11.2%-2.2%-12.5K755.6K-4.3K0.0025.19N/AN/A100246285
2007-12-28$67.77$76.0252.2%15.0%39.1%61.2%52.2%9.4%0.4%-11.1K737.4K-4.3K1.3629.81N/AN/A23254285
2007-12-31$69.03$76.0254.5%15.6%38.9%65.4%38.6%6.0%-4.1%-12.6K670.1K-4.3K12.3324.64N/AN/A18257287