HTZ Options History — June 2008

In June 2008, HTZ traded between $41.70 and $55.86. ATM implied volatility averaged 52.6%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 12.8% (HV 20d: 39.8%). Max pain ranged from $54.30 to $65.16. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 24.29.

Notable Days

  • 2008-06-18: Highest Volume — 89 contracts
  • 2008-06-12: Largest IV spike — 23.1% change
  • 2008-06-18: Highest IV Rank — 46.8%
  • 2008-06-18: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.47$41.70$55.86$55.17$41.70
Max Pain$63.09$54.30$65.16$54.30$65.16
ATM IV52.6%42.2%60.1%48.6%59.4%
Expected Move15.3%13.5%17.2%13.9%17.0%
HV 20d39.8%35.2%44.4%44.4%37.1%
HV 60d48.4%45.5%51.4%51.4%46.6%
IV Rank36.1%20.6%46.8%32.3%45.8%
IV Percentile56.6%29.4%78.6%44.0%75.8%
Term Structure4.9%-1.1%10.1%3.8%3.6%
VWIV51.8%38.4%59.1%50.3%57.7%
Skew 25d4.5%-10.4%36.0%5.9%-1.0%
Skew 10d11.3%-17.4%39.2%7.3%1.3%
Call IV 25d51.0%39.4%58.6%39.4%52.4%
Put IV 25d55.5%40.8%82.1%45.3%51.5%
Bid-Ask Spread %27.4313.3842.0915.7620.72
Gamma HHI0.420.320.600.380.41
Net GEX1.6K-6.2K12.0K10.6K-3.7K
Net DEX391.3K-16.3K686.2K-5.9K540.5K
Net VEX-3.5K-4.0K-2.8K-3.9K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.290.00383.000.021.42
Total Volume24.4760892314
Total OI724.143468930752567

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$55.17$54.3048.6%13.9%44.4%32.3%0.0%5.9%3.8%10.6K-5.9K-3.9K0.0015.76N/AN/A023403349
2008-06-03$55.39$54.3051.9%14.9%44.1%36.9%0.0%7.5%1.0%8.0K45.2K-4.0K0.0216.08N/AN/A200403372
2008-06-04$55.86$54.3048.6%13.9%40.8%32.3%50.3%-10.4%3.4%10.1K-16.3K-4.0K0.0025.03N/AN/A30406372
2008-06-05$55.82$54.3046.9%13.5%39.3%27.6%0.0%-0.4%6.9%12.0K-5.1K-3.9K0.0026.52N/AN/A20407372
2008-06-06$52.65$65.1650.9%15.8%42.4%33.4%0.0%-5.0%1.8%4.6K267.9K-3.7K0.0033.81N/AN/A30409372
2008-06-09$51.43$65.1651.0%14.9%42.6%33.5%0.0%-6.9%4.0%1.5K458.7K-3.4K0.0028.53N/AN/A05411372
2008-06-10$51.82$65.1644.0%13.9%41.3%23.2%53.1%0.2%5.8%5.5K403.8K-3.3K0.0639.52N/AN/A291409366
2008-06-11$50.52$65.1642.2%14.3%40.6%20.6%0.0%-4.1%5.0%2.2K487.8K-3.2K0.0028.59N/AN/A50429366
2008-06-12$51.48$65.1652.0%14.9%41.4%34.9%0.0%36.0%3.4%8.9K457.3K-3.1K0.0026.55N/AN/A50429366
2008-06-13$51.61$65.1651.0%14.6%39.4%33.4%0.0%3.6%4.2%9.5K420.7K-3.2K0.0028.19N/AN/A00430366
2008-06-16$50.22$65.1654.3%15.6%39.5%38.3%0.0%6.0%2.3%2.7K587.7K-2.8K0.1432.18N/AN/A487430366
2008-06-17$48.35$65.1654.9%15.7%40.7%39.2%52.4%3.1%3.6%-4.9K505.2K-3.1K4.0031.07N/AN/A29480361
2008-06-18$48.05$65.1660.1%17.2%40.2%46.8%47.8%10.2%-1.1%-6.2K566.1K-3.1K383.0035.56N/AN/A089482371
2008-06-19$48.48$65.1656.6%16.2%38.1%41.7%47.1%9.1%9.7%-5.2K625.2K-3.3K2.1142.09N/AN/A2348482401
2008-06-20$47.09$65.1654.9%15.7%38.5%39.3%0.0%6.4%8.3%-3.2K686.2K-3.6K0.7031.33N/AN/A53505425
2008-06-23$47.22$65.1655.4%15.9%35.2%39.9%55.5%7.1%7.0%-3.1K304.3K-3.7K0.8413.38N/AN/A76231237
2008-06-24$45.13$65.1654.1%15.5%36.9%38.0%38.4%4.9%9.1%-2.5K363.4K-3.5K17.3535.40N/AN/A579238243
2008-06-25$45.53$65.1653.5%15.3%35.5%37.2%53.6%6.7%6.9%-4.7K453.0K-3.8K0.0031.48N/AN/A06243284
2008-06-26$42.92$65.1658.9%16.9%38.4%45.0%59.1%9.1%3.5%-4.2K507.8K-3.5K2.5615.81N/AN/A39243283
2008-06-27$42.48$65.1654.9%15.7%38.3%39.3%54.9%6.3%10.1%-4.1K564.1K-3.3K0.7118.42N/AN/A3223243283
2008-06-30$41.70$65.1659.4%17.0%37.1%45.8%57.7%-1.0%3.6%-3.7K540.5K-3.5K1.4220.72N/AN/A68276291