HTZ Options History — July 2009

In July 2009, HTZ traded between $34.62 and $41.57. ATM implied volatility averaged 72.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 4.1% (HV 20d: 68.1%). Max pain ranged from $21.72 to $32.58. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.25.

Notable Days

  • 2009-07-28: Highest Volume — 905 contracts
  • 2009-07-13: Largest IV drop — 42.2% change
  • 2009-07-10: Highest IV Rank — 24.6%
  • 2009-07-10: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.54$34.62$41.57$36.66$41.01
Max Pain$31.59$21.72$32.58$21.72$32.58
ATM IV72.2%53.6%96.9%72.6%56.6%
Expected Move21.4%16.2%25.0%20.8%16.2%
HV 20d68.1%33.7%87.2%84.4%33.7%
HV 60d99.7%81.6%117.8%117.8%81.6%
IV Rank12.8%4.0%24.6%13.0%5.4%
IV Percentile13.3%0.8%37.7%13.5%1.6%
Term Structure4.3%-5.3%12.8%12.8%4.6%
VWIV83.0%58.5%110.1%71.0%58.5%
Skew 25d20.8%14.5%27.8%23.5%14.5%
Skew 10d55.1%37.7%71.7%48.5%37.7%
Call IV 25d71.6%44.3%79.5%74.8%58.5%
Put IV 25d92.4%72.1%104.5%98.3%73.0%
Bid-Ask Spread %27.6612.0244.9444.9433.39
Gamma HHI0.310.230.460.240.34
Net GEX6.8K1.5K14.1K3.7K9.6K
Net DEX-1.9M-2.9M-1.3M-1.9M-2.1M
Net VEX-11.9K-14.4K-10.6K-12.3K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.1722.0710.2922.07
Total Volume187.36420905727589
Total OI3,858.53,4294,4694,1644,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$36.66$21.7272.6%20.8%84.4%13.0%71.0%23.5%12.8%3.7K-1.9M-12.3K10.2944.94N/AN/A646631,1812,983
2009-07-02$34.93$21.7274.3%21.3%87.2%13.8%59.1%24.0%12.3%3.9K-1.5M-12.4K1.0823.54N/AN/A85921,2332,594
2009-07-06$34.67$32.5877.9%24.6%86.7%15.6%110.1%24.8%7.2%3.4K-1.4M-11.8K0.7026.11N/AN/A23161,2432,613
2009-07-07$34.62$32.5876.4%23.8%86.6%14.8%98.9%24.3%8.2%3.3K-1.5M-12.5K2.8632.79N/AN/A7181,2662,623
2009-07-08$34.75$32.5879.7%24.6%84.4%16.4%85.8%26.5%5.8%2.9K-1.4M-12.6K0.7835.90N/AN/A36281,2572,642
2009-07-09$36.19$32.5884.8%24.4%85.0%18.8%85.1%22.0%4.8%5.7K-2.2M-11.3K1.8937.07N/AN/A15291,2882,643
2009-07-10$36.92$32.5896.9%25.0%85.0%24.6%86.1%24.3%3.6%7.0K-2.1M-12.2K5.2137.17N/AN/A10561,2952,646
2009-07-13$38.71$32.5856.0%21.1%86.1%5.1%86.4%20.7%6.8%9.8K-2.6M-10.6K1.6529.74N/AN/A58941,2832,613
2009-07-14$39.10$32.5853.6%21.2%72.6%4.0%85.9%17.4%6.7%9.3K-2.9M-11.1K2.4218.81N/AN/A14331,3262,616
2009-07-15$38.49$32.5869.1%20.9%73.5%11.3%88.0%22.0%8.6%4.5K-2.4M-12.3K5.4133.14N/AN/A14761,2972,642
2009-07-16$38.88$32.5874.1%21.2%73.4%13.7%0.0%20.4%5.9%2.9K-2.5M-12.5K0.1731.41N/AN/A2451,2952,677
2009-07-17$38.14$32.5874.6%21.4%73.9%13.9%0.0%20.7%8.1%5.6K-2.4M-11.1K1.4432.78N/AN/A14201,2652,644
2009-07-20$39.88$32.5873.4%21.0%74.7%13.4%86.0%17.2%0.0%4.7K-1.3M-11.7K1.8120.02N/AN/A32599122,517
2009-07-21$39.88$32.5874.3%21.3%65.7%13.8%82.5%16.7%2.2%7.6K-1.4M-10.9K0.5919.09N/AN/A31189202,539
2009-07-22$39.23$32.5873.0%20.9%66.7%13.2%80.2%15.2%2.9%8.9K-1.4M-11.0K1.9619.56N/AN/A18379422,530
2009-07-23$41.01$32.5869.6%19.9%65.9%11.6%88.4%19.6%2.9%6.7K-1.5M-11.9K0.3723.25N/AN/A68259582,538
2009-07-24$41.57$32.5870.9%20.3%43.1%12.2%82.1%20.2%-1.2%12.5K-1.9M-11.4K2.6525.04N/AN/A6141,0242,563
2009-07-27$41.05$32.5873.8%21.1%43.5%13.6%79.9%19.8%-1.8%12.6K-1.8M-11.3K0.8720.85N/AN/A16141,0292,564
2009-07-28$40.79$32.5881.2%23.3%43.8%17.1%99.4%19.2%-5.3%14.1K-1.8M-10.8K4.3212.02N/AN/A1707351,0232,546
2009-07-29$40.57$32.5863.8%18.3%43.0%8.8%81.9%16.6%0.6%1.5K-1.8M-12.5K2.5824.91N/AN/A1864811,1513,092
2009-07-30$40.79$32.5862.0%17.8%39.2%7.9%65.3%27.8%-0.5%9.5K-2.0M-14.1K0.4026.99N/AN/A92371,2933,112
2009-07-31$41.01$32.5856.6%16.2%33.7%5.4%58.5%14.5%4.6%9.6K-2.1M-14.4K22.0733.39N/AN/A255641,3133,156