HTZ Options History — September 2008

In September 2008, HTZ traded between $31.80 and $44.83. ATM implied volatility averaged 76.5%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 8.0% (HV 20d: 68.5%). Max pain ranged from $32.58 to $43.44. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2008-09-29: Highest Volume — 93 contracts
  • 2008-09-17: Largest IV spike — 36.0% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.62$31.80$44.83$41.31$32.88
Max Pain$34.13$32.58$43.44$43.44$32.58
ATM IV76.5%59.8%113.1%64.4%95.3%
Expected Move22.1%18.3%32.4%18.5%27.3%
HV 20d68.5%40.6%95.3%50.1%95.3%
HV 60d86.5%81.5%94.5%81.7%84.0%
IV Rank55.1%34.0%100.0%39.8%77.7%
IV Percentile83.1%61.5%100.0%74.6%92.5%
Term Structure3.1%-4.4%8.3%6.7%2.3%
VWIV77.9%64.5%89.9%64.5%88.7%
Skew 25d10.2%-15.7%29.0%-3.1%29.0%
Skew 10d26.1%-26.2%61.8%-0.1%61.8%
Call IV 25d69.3%51.2%93.8%58.0%70.4%
Put IV 25d79.5%54.9%117.7%54.9%99.4%
Bid-Ask Spread %38.3214.6082.3316.4525.99
Gamma HHI0.480.330.620.360.58
Net GEX3.8K-2.4K9.0K6706.0K
Net DEX-148.9K-496.2K216.9K-157.1K-93.7K
Net VEX-4.0K-4.9K-3.2K-4.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.004.540.070.00
Total Volume21.8109377
Total OI793.286514900897707

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$41.31$43.4464.4%18.5%50.1%39.8%64.5%-3.1%6.7%670-157.1K-4.8K0.0716.45N/AN/A70523374
2008-09-03$41.83$43.4465.9%18.9%41.4%41.8%80.4%-15.7%0.3%1.3K-212.9K-4.9K0.3214.60N/AN/A72527373
2008-09-04$41.44$43.4465.8%18.9%40.8%41.7%0.0%-1.4%4.2%884-173.3K-4.8K0.0015.95N/AN/A00525375
2008-09-05$41.36$32.5859.8%19.2%40.6%34.0%0.0%-1.0%5.4%385-171.4K-4.6K0.0040.89N/AN/A10525372
2008-09-08$44.83$32.5863.8%19.4%48.9%39.1%0.0%16.7%4.6%1.0K-496.2K-4.8K0.2736.50N/AN/A257525372
2008-09-09$41.36$32.5871.4%20.9%58.0%48.8%0.0%7.6%0.8%-24-236.8K-4.5K0.2146.31N/AN/A102519369
2008-09-10$42.22$32.5868.9%20.2%57.7%45.6%0.0%6.9%2.9%-214-256.5K-4.6K4.5442.03N/AN/A837521367
2008-09-11$42.27$32.5867.4%19.3%55.4%43.6%0.0%12.5%4.7%-1.4K-260.8K-4.4K0.0042.64N/AN/A07517360
2008-09-12$42.40$32.5868.5%19.6%52.9%45.0%68.5%7.9%4.5%-2.4K-272.1K-4.4K0.0053.24N/AN/A30517367
2008-09-15$38.62$32.5875.8%21.7%63.3%54.3%0.0%11.7%-0.6%8.7K94.7K-3.6K0.0028.09N/AN/A20516358
2008-09-16$40.01$32.5863.8%18.3%64.4%39.1%0.0%11.2%8.3%-340-37.9K-3.9K0.1028.66N/AN/A20516358
2008-09-17$35.71$32.5886.9%24.9%73.0%68.4%0.0%9.6%-2.8%3.9K216.9K-3.3K0.6738.57N/AN/A32518358
2008-09-18$37.53$32.5882.5%23.7%74.8%62.9%83.9%13.6%-4.4%8.7K123.8K-3.5K0.2145.71N/AN/A286519351
2008-09-19$40.96$32.5869.4%19.9%80.6%46.2%69.4%12.5%3.5%9.0K46.4K-3.5K4.1456.33N/AN/A314491353
2008-09-22$38.27$32.5875.9%21.8%83.7%54.5%76.2%18.1%6.1%7.8K-278.8K-3.2K0.0135.92N/AN/A450364150
2008-09-23$34.45$32.5887.3%25.0%91.2%69.0%0.0%6.3%3.9%7.1K-214.9K-3.3K0.8941.24N/AN/A3732409154
2008-09-24$33.45$32.5889.9%25.8%90.9%72.3%89.9%11.7%3.9%6.7K-167.7K-3.4K1.5445.88N/AN/A914430180
2008-09-25$33.84$32.5884.4%24.2%91.2%65.3%84.4%16.7%6.2%7.4K-186.1K-3.5K0.0417.43N/AN/A381439186
2008-09-26$34.40$32.5886.2%24.7%91.2%67.7%73.0%19.0%6.2%7.9K-210.8K-3.6K0.3250.00N/AN/A51451186
2008-09-29$31.80$32.58113.1%32.4%93.9%100.0%0.0%23.9%-1.0%6.1K-182.1K-3.5K1.0982.33N/AN/A4548451186
2008-09-30$32.88$32.5895.3%27.3%95.3%77.7%88.7%29.0%2.3%6.0K-93.7K-3.7K0.0025.99N/AN/A70473234