HTZ Options History — August 2009

In August 2009, HTZ traded between $43.09 and $49.30. ATM implied volatility averaged 64.5%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 14.8% (HV 20d: 49.6%). Max pain ranged from $32.58 to $43.44. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2009-08-03: Highest Volume — 383 contracts
  • 2009-08-04: Largest IV spike — 12.7% change
  • 2009-08-04: Highest IV Rank — 9.3%
  • 2009-08-25: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.84$43.09$49.30$43.57$43.09
Max Pain$33.61$32.58$43.44$32.58$32.58
ATM IV64.5%55.5%69.5%57.6%61.9%
Expected Move18.6%15.9%19.9%16.5%17.8%
HV 20d49.6%37.9%61.0%37.9%57.7%
HV 60d70.0%62.3%82.8%82.4%63.4%
IV Rank6.5%4.1%9.3%5.8%4.1%
IV Percentile8.0%1.2%16.3%2.0%3.6%
Term Structure2.4%-3.1%7.0%4.1%6.3%
VWIV62.4%39.1%80.8%57.6%61.9%
Skew 25d14.2%2.5%32.0%13.3%2.7%
Skew 10d29.9%0.4%46.6%36.9%4.0%
Call IV 25d55.2%43.4%61.1%59.9%52.6%
Put IV 25d69.4%55.3%77.3%73.2%55.3%
Bid-Ask Spread %19.0210.8628.8917.7610.86
Gamma HHI0.470.370.610.370.42
Net GEX55.1K15.9K100.6K15.9K43.4K
Net DEX-4.1M-5.7M-2.3M-2.9M-2.3M
Net VEX-15.0K-17.5K-12.7K-15.5K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.2016.500.200.67
Total Volume107.28683833838
Total OI5,280.9054,5155,8604,9774,575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$43.57$32.5857.6%16.5%37.9%5.8%57.6%13.3%4.1%15.9K-2.9M-15.5K0.2017.76N/AN/A319641,3593,618
2009-08-04$45.44$32.5864.8%18.6%39.1%9.3%64.8%13.8%-3.1%47.9K-4.0M-16.0K1.3813.32N/AN/A1021431,6033,643
2009-08-05$45.31$43.4460.8%17.4%39.4%7.4%60.8%12.9%5.8%47.2K-4.1M-16.4K0.2420.79N/AN/A239581,6843,733
2009-08-06$45.18$43.4455.5%15.9%38.4%4.9%54.2%9.9%7.0%53.3K-4.2M-17.1K2.6413.89N/AN/A30781,7393,730
2009-08-07$47.48$32.5862.3%18.6%40.7%8.1%61.5%13.6%5.2%45.5K-4.8M-14.8K0.3023.67N/AN/A276831,6263,760
2009-08-10$49.30$32.5858.2%16.6%39.8%6.1%59.5%17.9%3.0%44.2K-5.6M-14.4K0.5021.26N/AN/A199991,7733,819
2009-08-11$46.92$32.5865.0%19.5%45.4%6.3%67.8%17.8%0.5%58.2K-4.6M-17.5K2.5216.01N/AN/A641621,9503,910
2009-08-12$47.26$32.5866.2%19.4%44.5%6.3%56.2%15.5%-0.8%61.2K-5.2M-16.7K1.5323.60N/AN/A571,9183,814
2009-08-13$47.87$32.5867.3%19.3%44.5%6.8%66.3%15.8%1.6%61.5K-5.5M-16.5K3.0422.05N/AN/A13391,9223,816
2009-08-14$47.87$32.5866.8%19.1%43.3%6.5%80.8%14.3%1.0%63.3K-5.6M-15.3K1.8224.26N/AN/A591,9263,787
2009-08-17$43.87$32.5868.5%19.6%53.9%7.4%64.1%12.1%-0.4%79.0K-3.4M-16.5K2.8028.89N/AN/A5131,9223,782
2009-08-18$44.57$32.5868.7%19.7%54.0%7.5%68.1%18.5%-1.1%88.7K-3.9M-15.8K1.7022.06N/AN/A13211,9233,776
2009-08-19$43.79$32.5867.5%19.4%54.1%6.9%59.6%32.0%1.7%100.6K-3.5M-16.0K1.9213.68N/AN/A361,9263,775
2009-08-20$46.66$32.5864.6%18.5%56.2%5.4%61.1%16.2%3.8%62.6K-5.6M-13.5K1.8018.35N/AN/A8151,9263,774
2009-08-21$46.96$32.5868.7%19.7%56.2%7.5%72.7%18.7%0.0%47.3K-5.7M-13.8K1.5821.51N/AN/A14221,9303,783
2009-08-24$45.44$32.5865.8%18.9%57.5%6.1%68.2%12.7%2.8%46.6K-3.2M-13.5K1.3222.91N/AN/A16211,4503,065
2009-08-25$47.18$32.5869.5%19.9%58.5%7.9%58.6%8.5%-0.5%51.0K-3.8M-12.7K16.5017.61N/AN/A1231,4543,071
2009-08-26$45.96$32.5864.3%18.4%59.5%5.3%39.1%2.5%4.7%48.9K-3.4M-13.1K0.0023.03N/AN/A0101,4533,079
2009-08-27$44.96$32.5866.1%18.9%60.4%6.2%64.6%18.5%5.6%45.6K-3.0M-13.4K0.4411.79N/AN/A33151,4533,082
2009-08-28$44.05$32.5863.2%18.1%61.0%4.8%63.0%10.4%3.2%46.1K-2.7M-13.0K0.6312.05N/AN/A751,4773,093
2009-08-31$43.09$32.5861.9%17.8%57.7%4.1%61.9%2.7%6.3%43.4K-2.3M-13.6K0.6710.86N/AN/A531,4783,097