HTZ Options History — March 2008

In March 2008, HTZ traded between $43.70 and $54.95. ATM implied volatility averaged 70.3%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 11.5% (HV 20d: 58.8%). Max pain ranged from $54.30 to $65.16. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 20.35.

Notable Days

  • 2008-03-04: Highest Volume — 562 contracts
  • 2008-03-06: Largest IV spike — 32.4% change
  • 2008-03-06: Highest IV Rank — 100.0%
  • 2008-03-06: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.54$43.70$54.95$50.83$52.39
Max Pain$55.93$54.30$65.16$65.16$54.30
ATM IV70.3%58.4%96.4%59.4%59.0%
Expected Move19.0%16.7%24.0%17.0%16.9%
HV 20d58.8%53.5%65.3%53.5%59.0%
HV 60d56.5%53.5%59.7%53.5%59.2%
IV Rank71.7%51.5%100.0%73.1%52.4%
IV Percentile92.4%80.6%100.0%88.9%81.3%
Term Structure-2.2%-12.4%3.7%-1.4%3.0%
VWIV62.4%15.0%85.6%59.4%15.0%
Skew 25d5.0%-14.8%25.6%9.0%8.2%
Skew 10d13.3%-25.4%34.2%24.1%16.6%
Call IV 25d68.1%53.9%103.1%53.9%58.4%
Put IV 25d73.1%62.9%88.5%62.9%66.6%
Bid-Ask Spread %38.3217.6166.9548.4436.84
Gamma HHI0.510.290.850.460.30
Net GEX-30.0K-79.8K9.7K6.7K5.8K
Net DEX1.5M-263.7K3.2M642.0K-83.0K
Net VEX-4.4K-5.9K-2.4K-2.9K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.350.00222.000.000.00
Total Volume107056210
Total OI1,340.556251,921835660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$50.83$65.1659.4%17.0%53.5%73.1%59.4%9.0%-1.4%6.7K642.0K-2.9K0.0048.44N/AN/A10569266
2008-03-04$47.96$65.1673.7%21.1%55.4%98.3%75.8%-0.5%-10.2%3.3K762.0K-2.4K6.9254.17N/AN/A71491569266
2008-03-05$47.48$65.1663.1%18.1%55.4%79.6%76.0%-10.3%1.7%-34.0K2.6M-3.5K0.6917.61N/AN/A9062632733
2008-03-06$46.48$54.3083.5%24.0%55.2%100.0%85.6%-8.0%-12.4%-27.8K2.5M-5.1K15.8528.17N/AN/A25402733808
2008-03-07$46.18$54.3085.7%19.3%54.7%100.0%65.5%-0.4%-4.2%-50.1K2.8M-5.9K0.6336.08N/AN/A1387341,057
2008-03-10$43.70$54.3096.4%19.2%56.4%100.0%0.0%-14.8%-2.4%-41.4K3.0M-4.9K103.9043.50N/AN/A22397351,053
2008-03-11$45.57$54.3080.9%19.1%59.5%80.3%0.0%-5.4%-4.6%-64.0K3.2M-4.9K222.0033.16N/AN/A12567381,137
2008-03-12$45.96$54.3087.2%19.3%59.6%88.3%64.8%25.6%-1.6%-72.0K2.8M-5.4K0.1537.66N/AN/A2957381,183
2008-03-13$46.87$54.3067.2%19.3%60.6%62.7%46.5%0.5%-1.5%-65.3K2.3M-5.6K0.2031.65N/AN/A2557631,110
2008-03-14$46.22$54.3068.6%19.7%55.7%64.5%0.0%21.1%-7.2%-70.7K2.5M-5.2K0.7235.46N/AN/A1087851,106
2008-03-17$43.92$54.3071.5%20.5%57.2%68.2%71.5%6.5%-6.4%-76.5K2.9M-4.3K0.0065.02N/AN/A007921,111
2008-03-18$46.05$54.3068.7%19.7%60.9%64.6%0.0%7.0%-4.7%-79.8K2.6M-4.1K14.8631.74N/AN/A162397921,106
2008-03-19$46.31$54.3070.0%20.1%59.7%66.4%61.4%8.8%-3.1%-69.2K1.5M-3.9K2.9027.68N/AN/A514805946
2008-03-20$48.48$54.3068.2%19.6%55.4%64.1%70.1%10.1%0.5%-6.4K963.9K-3.8K5.0030.35N/AN/A629807879
2008-03-24$51.22$54.3059.8%17.1%59.7%53.3%57.3%7.3%2.0%5.3K-7.5K-4.3K0.1532.26N/AN/A203390249
2008-03-25$54.95$54.3060.7%17.4%65.3%54.4%62.6%12.5%3.7%9.7K-235.0K-4.5K1.3937.62N/AN/A913383249
2008-03-26$53.43$54.3060.8%17.4%64.4%54.7%0.0%5.0%1.5%7.6K-139.2K-4.4K0.1066.95N/AN/A242381244
2008-03-27$53.13$54.3063.2%18.1%64.3%57.7%0.0%9.9%-0.3%9.3K-263.7K-4.4K1.6737.53N/AN/A12404246
2008-03-28$53.65$54.3058.4%16.7%64.0%51.5%15.0%8.0%3.1%8.4K-248.0K-4.5K9.5034.43N/AN/A113403249
2008-03-31$52.39$54.3059.0%16.9%59.0%52.4%0.0%8.2%3.0%5.8K-83.0K-4.2K0.0036.84N/AN/A00404256