HTZ Options History — May 2008

In May 2008, HTZ traded between $55.34 and $62.95. ATM implied volatility averaged 47.1%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 2.8% (HV 20d: 49.9%). Max pain ranged from $54.30 to $54.30. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2008-05-23: Highest Volume — 57 contracts
  • 2008-05-12: Largest IV spike — 33.2% change
  • 2008-05-05: Highest IV Rank — 38.4%
  • 2008-05-12: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.78$55.34$62.95$57.21$57.43
Max Pain$54.30$54.30$54.30$54.30$54.30
ATM IV47.1%33.1%52.9%51.7%48.9%
Expected Move14.6%13.2%16.2%14.8%14.0%
HV 20d49.9%39.7%56.9%55.8%42.2%
HV 60d54.9%50.9%57.3%56.4%50.9%
IV Rank30.1%10.3%38.4%36.7%32.6%
IV Percentile43.5%6.7%58.3%54.4%44.4%
Term Structure3.5%0.9%7.4%3.9%1.0%
VWIV48.4%29.7%54.4%51.7%48.3%
Skew 25d3.4%-5.7%10.1%6.4%1.8%
Skew 10d4.4%-12.9%19.9%9.9%1.7%
Call IV 25d47.7%36.4%52.7%52.7%46.4%
Put IV 25d51.1%43.3%59.1%59.1%48.2%
Bid-Ask Spread %29.0015.3650.1850.1828.52
Gamma HHI0.330.290.390.330.36
Net GEX16.7K9.6K20.6K16.7K14.9K
Net DEX-654.7K-1.3M-17.2K-688.7K-248.5K
Net VEX-3.8K-4.1K-3.5K-4.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.008.462.361.00
Total Volume18.5240574248
Total OI702.286638748638713

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$57.21$54.3051.7%14.8%55.8%36.7%51.7%6.4%3.9%16.7K-688.7K-4.0K2.3650.18N/AN/A1329405233
2008-05-02$57.69$54.3051.8%14.8%55.4%36.7%50.2%4.2%2.0%15.2K-705.9K-4.1K0.1525.63N/AN/A152413254
2008-05-05$56.73$54.3052.9%15.4%54.5%38.4%51.3%5.6%2.0%17.4K-646.2K-3.9K0.0041.13N/AN/A70426257
2008-05-06$59.34$54.3045.8%15.5%56.9%28.3%52.5%-0.0%1.7%19.2K-906.5K-4.0K2.5625.02N/AN/A1026432257
2008-05-07$57.47$54.3049.2%15.1%55.1%33.1%54.2%-3.4%5.0%18.4K-735.1K-4.1K0.6948.02N/AN/A86440272
2008-05-08$59.21$54.3035.6%15.2%55.8%13.8%54.4%-0.6%4.4%19.2K-963.1K-4.0K0.0027.92N/AN/A037442267
2008-05-09$58.12$54.3033.1%15.4%54.8%10.3%0.0%3.3%2.8%17.2K-845.6K-4.1K0.0016.79N/AN/A00442287
2008-05-12$59.64$54.3044.1%16.2%55.1%25.9%29.7%10.1%0.9%16.6K-961.8K-3.8K0.0015.36N/AN/A50442287
2008-05-13$60.77$54.3043.6%14.6%52.9%25.2%51.9%5.0%2.5%18.6K-1.1M-3.8K0.3224.60N/AN/A51441287
2008-05-14$61.21$54.3044.2%14.4%52.6%26.1%0.0%3.4%1.8%19.6K-1.2M-3.7K5.3040.20N/AN/A213443287
2008-05-15$62.95$54.3050.0%14.3%53.1%34.3%49.9%5.2%3.2%20.6K-1.3M-3.8K0.0042.62N/AN/A70445299
2008-05-16$61.42$54.3046.6%13.4%51.6%29.4%0.0%4.1%7.1%20.0K-1.2M-3.9K0.2022.34N/AN/A20449299
2008-05-19$60.99$54.3045.9%13.2%50.7%28.5%46.3%8.7%2.8%20.6K-671.0K-3.7K2.3820.34N/AN/A923373266
2008-05-20$61.38$54.3047.4%13.6%44.3%30.5%47.4%10.0%3.5%19.1K-632.4K-3.9K4.0616.37N/AN/A315380289
2008-05-21$58.30$54.3050.2%14.4%44.1%34.6%46.5%2.0%2.6%15.3K-310.1K-3.9K8.4620.95N/AN/A325381299
2008-05-22$58.38$54.3050.3%14.4%39.7%34.7%0.0%0.9%6.2%14.8K-307.3K-3.9K0.8333.33N/AN/A22382322
2008-05-23$55.34$54.3050.3%14.4%44.5%34.7%44.1%-5.7%4.2%9.9K-33.7K-3.8K0.8724.83N/AN/A3126384325
2008-05-27$55.86$54.3048.2%13.8%42.9%31.7%0.0%7.4%7.4%9.6K-17.2K-3.5K0.3031.09N/AN/A21374335
2008-05-28$57.17$54.3051.0%14.6%43.0%35.6%48.0%5.5%3.0%14.7K-147.3K-3.6K3.8025.74N/AN/A15376335
2008-05-29$57.69$54.3048.4%13.9%42.9%31.9%48.3%-2.0%5.8%13.8K-207.5K-3.5K0.0027.98N/AN/A50374334
2008-05-30$57.43$54.3048.9%14.0%42.2%32.6%0.0%1.8%1.0%14.9K-248.5K-3.6K1.0028.52N/AN/A2424379334