HTZ Options History — September 2009

In September 2009, HTZ traded between $39.88 and $50.83. ATM implied volatility averaged 65.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 5.6% (HV 20d: 59.7%). Max pain ranged from $32.58 to $54.30. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 8.89.

Notable Days

  • 2009-09-15: Highest Volume — 604 contracts
  • 2009-09-17: Largest IV spike — 19.0% change
  • 2009-09-17: Highest IV Rank — 9.7%
  • 2009-09-17: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.10$39.88$50.83$40.36$47.05
Max Pain$45.51$32.58$54.30$32.58$43.44
ATM IV65.3%58.7%73.2%65.9%71.0%
Expected Move18.9%16.9%21.0%18.9%20.3%
HV 20d59.7%54.1%67.8%59.8%54.1%
HV 60d58.7%51.4%65.1%65.1%52.5%
IV Rank5.8%2.5%9.7%6.1%8.6%
IV Percentile10.3%2.4%20.2%9.9%20.2%
Term Structure1.8%-2.3%6.6%3.9%1.0%
VWIV65.9%58.2%72.2%65.9%71.2%
Skew 25d15.1%-3.9%34.0%23.0%26.7%
Skew 10d31.9%-10.6%51.1%46.5%51.1%
Call IV 25d57.8%44.3%70.7%61.2%46.3%
Put IV 25d73.0%64.1%84.2%84.2%73.0%
Bid-Ask Spread %22.8014.7040.7417.9140.74
Gamma HHI0.450.360.530.400.38
Net GEX28.9K6.2K59.9K34.7K8.9K
Net DEX-2.3M-4.3M-673.0K-1.6M-747.4K
Net VEX-12.5K-14.1K-10.6K-12.3K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.890.0074.030.2316.00
Total Volume116.667660420935
Total OI4,198.6193,0655,1844,5793,424

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$40.36$32.5865.9%18.9%59.8%6.1%65.9%23.0%3.9%34.7K-1.6M-12.3K0.2317.91N/AN/A170391,4793,100
2009-09-02$39.88$32.5866.2%19.0%59.8%6.2%0.0%10.6%2.5%31.3K-1.3M-12.9K12.6915.52N/AN/A283511,4643,112
2009-09-03$40.23$32.5861.9%17.7%60.1%4.1%0.0%14.2%5.5%32.6K-1.3M-12.8K0.0014.70N/AN/A0241,4773,125
2009-09-04$41.75$54.3058.7%18.4%58.7%2.5%65.9%32.9%3.2%40.4K-1.8M-12.7K0.9315.51N/AN/A331,4773,140
2009-09-08$41.36$54.3059.2%19.2%56.3%2.8%0.0%34.0%0.3%41.7K-1.7M-11.8K0.0015.19N/AN/A0231,4793,141
2009-09-09$45.35$54.3064.6%19.0%64.6%5.5%61.4%13.8%1.8%52.3K-3.1M-12.7K0.0024.76N/AN/A2901,4793,141
2009-09-10$47.74$54.3066.6%19.1%67.2%6.5%64.0%12.8%0.6%51.4K-4.2M-11.1K0.2425.21N/AN/A84201,5043,141
2009-09-11$46.57$43.4467.8%19.5%67.6%7.1%68.2%14.2%0.7%59.9K-3.8M-11.6K0.3325.02N/AN/A86281,5553,161
2009-09-14$47.13$43.4467.5%19.4%67.8%6.9%59.2%16.9%-0.3%40.4K-4.0M-10.6K0.0233.08N/AN/A5911,5063,170
2009-09-15$48.05$54.3072.2%20.7%59.9%9.2%58.2%17.9%-2.0%46.2K-3.7M-12.5K74.0330.08N/AN/A85961,4703,170
2009-09-16$49.09$54.3061.5%17.6%60.1%3.9%63.2%16.6%-0.3%22.6K-4.2M-11.2K0.3827.14N/AN/A64241,4573,649
2009-09-17$48.57$54.3073.2%21.0%59.8%9.7%66.8%19.0%-2.3%13.2K-3.8M-13.7K0.8929.02N/AN/A36311,5113,673
2009-09-18$49.52$43.4463.9%18.3%56.0%5.1%72.2%15.5%-1.7%18.9K-4.3M-11.3K0.2624.19N/AN/A145371,4863,662
2009-09-21$49.44$43.4460.2%17.3%56.0%3.3%68.1%13.1%1.8%19.5K-1.5M-12.8K0.7118.07N/AN/A47338472,218
2009-09-22$50.83$43.4458.8%16.9%55.0%2.6%63.9%18.8%4.4%25.0K-1.8M-12.1K3.7917.13N/AN/A321238922,248
2009-09-23$49.91$43.4461.5%17.6%54.3%3.9%69.6%14.0%1.3%24.0K-1.8M-12.5K9.5918.55N/AN/A9919202,346
2009-09-24$46.39$43.4466.3%19.0%59.9%6.3%65.7%0.2%6.6%14.7K-1.1M-12.4K7.9520.55N/AN/A141089242,411
2009-09-25$46.44$43.4465.8%18.9%59.3%6.0%64.9%0.8%5.9%10.2K-896.4K-14.1K16.0018.25N/AN/A2339362,446
2009-09-28$46.87$43.4468.9%19.7%58.8%7.6%70.5%7.2%3.2%12.5K-1.0M-12.6K13.5729.45N/AN/A1229382,470
2009-09-29$45.57$43.4469.6%20.0%59.2%7.9%67.9%-3.9%2.5%6.2K-673.0K-13.5K11.2518.68N/AN/A1109392,483
2009-09-30$47.05$43.4471.0%20.3%54.1%8.6%71.2%26.7%1.0%8.9K-747.4K-13.9K16.0040.74N/AN/A2339392,485