HTZ Options History — May 2009

In May 2009, HTZ traded between $27.19 and $39.10. ATM implied volatility averaged 92.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded below realized volatility by 42.9% (HV 20d: 134.8%). Max pain ranged from $21.72 to $32.58. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2009-05-20: Highest Volume — 2,397 contracts
  • 2009-05-12: Largest IV spike — 25.8% change
  • 2009-05-01: Highest IV Rank — 33.1%
  • 2009-05-12: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.05$27.19$39.10$28.02$29.76
Max Pain$27.15$21.72$32.58$21.72$21.72
ATM IV92.0%71.7%111.9%106.5%77.8%
Expected Move26.7%20.6%31.2%30.5%22.3%
HV 20d134.8%118.2%147.7%140.2%128.7%
HV 60d166.7%163.1%169.5%163.1%166.4%
IV Rank24.5%13.9%33.1%33.1%16.7%
IV Percentile35.0%19.8%55.2%48.4%23.0%
Term Structure2.3%-6.3%14.9%-2.9%9.2%
VWIV91.0%50.9%131.8%117.5%76.9%
Skew 25d13.8%-15.7%26.7%25.8%-15.7%
Skew 10d30.7%-15.4%68.4%36.1%-15.4%
Call IV 25d86.0%69.6%102.8%94.3%71.2%
Put IV 25d99.8%55.6%123.6%120.1%55.6%
Bid-Ask Spread %28.3615.1841.5935.6015.18
Gamma HHI0.450.330.570.370.44
Net GEX16.9K2.7K47.2K3.6K47.1K
Net DEX-1.2M-3.8M-181.7K-283.8K-3.8M
Net VEX-3.9K-5.9K-2.8K-3.0K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.0013.000.450.13
Total Volume176.5532,397792
Total OI1,355.657152,5468312,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$28.02$21.72106.5%30.5%140.2%33.1%117.5%25.8%-2.9%3.6K-283.8K-3.0K0.4535.60N/AN/A52412419
2009-05-04$32.71$21.72105.8%29.5%147.7%32.8%105.6%24.0%-4.0%5.7K-607.9K-3.1K0.5021.29N/AN/A63417420
2009-05-05$36.71$21.7299.3%28.7%147.7%29.8%102.4%18.9%-2.5%6.4K-933.6K-3.2K0.5436.06N/AN/A4424420422
2009-05-06$39.10$21.7296.6%26.3%145.2%28.7%96.7%12.8%-1.6%7.2K-1.2M-3.4K4.1130.01N/AN/A1043455447
2009-05-07$38.40$32.5892.6%26.6%146.4%26.8%93.5%14.4%-0.7%6.5K-1.1M-3.5K5.0041.59N/AN/A525460471
2009-05-08$38.27$32.5891.2%26.3%132.1%26.2%92.0%22.2%0.6%5.2K-995.0K-3.5K10.6035.01N/AN/A113459494
2009-05-11$36.40$32.5888.9%30.4%132.2%25.2%98.8%16.7%-4.7%6.4K-906.5K-3.4K1.4329.57N/AN/A35460495
2009-05-12$33.36$32.58111.9%31.2%136.7%32.8%131.8%26.7%-4.6%8.3K-605.8K-3.3K0.3523.77N/AN/A145464495
2009-05-13$29.80$32.5891.7%31.1%143.4%23.3%77.0%20.8%-6.3%2.7K-181.7K-2.9K3.3623.46N/AN/A517457496
2009-05-14$31.36$32.58105.5%30.2%136.2%29.7%111.8%22.1%-3.2%8.7K-382.4K-3.1K1.3326.86N/AN/A23462496
2009-05-15$30.45$32.58102.6%29.4%131.7%28.4%0.0%13.8%-0.9%3.0K-210.9K-2.8K13.0027.03N/AN/A03460497
2009-05-18$33.45$32.5896.2%27.6%118.2%25.4%95.4%19.0%3.6%3.8K-343.8K-3.0K0.0032.29N/AN/A320328387
2009-05-19$35.36$32.5892.4%26.5%119.1%23.6%86.8%7.1%4.4%5.5K-496.3K-3.1K0.9938.55N/AN/A3635356387
2009-05-20$29.37$32.5889.5%25.7%135.3%22.3%71.7%20.2%7.8%4.8K-222.2K-2.8K0.2723.06N/AN/A1,886511390373
2009-05-21$27.45$21.7286.6%24.8%137.2%20.9%90.8%12.8%9.5%36.9K-1.5M-5.7K5.0123.33N/AN/A351731,732814
2009-05-22$27.19$21.7278.2%22.4%135.4%16.9%78.1%3.1%11.7%38.9K-2.2M-5.4K0.0425.11N/AN/A310121,718523
2009-05-26$27.58$21.7275.7%21.7%127.5%15.8%79.0%11.7%9.7%45.3K-2.8M-5.8K3.0029.40N/AN/A6161,958535
2009-05-27$27.58$21.7271.7%20.6%127.3%13.9%50.9%11.5%14.9%47.2K-2.8M-5.5K0.0032.74N/AN/A2501,959538
2009-05-28$28.76$21.7278.3%22.4%128.3%17.0%71.6%-11.1%5.8%44.5K-3.3M-5.8K0.2717.36N/AN/A98261,982509
2009-05-29$29.76$21.7277.8%22.3%128.7%16.7%76.9%-15.7%9.2%47.1K-3.8M-5.9K0.1315.18N/AN/A82102,051495