HTZ Options History — October 2009

In October 2009, HTZ traded between $39.62 and $49.00. ATM implied volatility averaged 64.7%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 11.2% (HV 20d: 53.5%). Max pain ranged from $43.44 to $43.44. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 15.38.

Notable Days

  • 2009-10-09: Highest Volume — 1,751 contracts
  • 2009-10-15: Largest IV spike — 56.4% change
  • 2009-10-12: Highest IV Rank — 15.4%
  • 2009-10-05: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.61$39.62$49.00$43.96$40.44
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV64.7%45.4%84.7%66.7%60.8%
Expected Move19.3%16.8%21.0%19.1%17.4%
HV 20d53.5%44.9%61.5%60.1%60.0%
HV 60d55.2%54.0%59.7%54.6%59.7%
IV Rank7.7%0.0%15.4%6.5%7.3%
IV Percentile13.6%0.0%35.3%14.3%5.2%
Term Structure0.0%-4.5%11.3%5.7%3.6%
VWIV67.0%58.6%80.5%66.7%60.7%
Skew 25d16.3%4.4%30.5%24.0%16.9%
Skew 10d36.3%7.5%60.8%60.8%28.2%
Call IV 25d59.7%51.4%66.2%62.3%55.4%
Put IV 25d76.0%57.5%86.3%86.3%72.3%
Bid-Ask Spread %24.5213.3136.3313.3126.72
Gamma HHI0.290.250.400.320.40
Net GEX-26.2K-53.3K-1.4K-1.4K-38.3K
Net DEX104.8K-1.3M1.8M-135.4K1.3M
Net VEX-18.3K-21.6K-13.3K-13.7K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.380.18219.9013.630.30
Total Volume296.227271,75127258
Total OI5,456.1363,4536,7633,4536,763

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$43.96$43.4466.7%19.1%60.1%6.5%66.7%24.0%5.7%-1.4K-135.4K-13.7K13.6313.31N/AN/A2259402,513
2009-10-02$42.83$43.4460.4%17.3%61.1%3.3%60.3%4.4%11.3%-4.6K-50.1K-13.3K42.3114.55N/AN/A83419402,529
2009-10-05$44.57$43.4463.6%21.0%61.3%5.0%0.0%19.9%-2.0%-19.6K-121.8K-14.1K0.0029.00N/AN/A0479462,758
2009-10-06$44.31$43.4466.9%21.0%61.2%6.6%80.5%12.2%-2.5%-18.2K-122.6K-14.1K11.8426.14N/AN/A101239462,770
2009-10-07$43.83$43.4463.7%20.4%51.5%5.0%69.0%16.7%-2.4%-22.4K121.3K-14.2K0.0019.29N/AN/A01029502,812
2009-10-08$44.14$43.4462.5%20.5%47.7%4.4%76.5%19.1%-0.7%-24.2K11.1K-14.0K219.9020.43N/AN/A51,0649502,815
2009-10-09$46.66$43.4462.4%20.0%51.4%4.3%69.0%16.0%-0.8%-29.3K-369.9K-16.5K2.6615.38N/AN/A4781,2739503,797
2009-10-12$47.48$43.4484.7%20.3%51.6%15.4%70.7%15.6%1.3%-21.4K-710.8K-20.3K2.4817.88N/AN/A511251,2064,691
2009-10-13$47.96$43.4454.8%20.2%51.3%0.5%69.7%19.8%0.2%-24.8K-817.0K-21.0K1.4821.14N/AN/A821211,2434,785
2009-10-14$49.00$43.4445.4%16.8%51.3%0.0%58.6%20.8%1.2%-13.3K-1.3M-20.0K0.6830.34N/AN/A1571071,2964,808
2009-10-15$47.91$43.4471.1%20.4%51.8%12.2%65.8%17.3%-0.8%-19.5K-784.1K-21.3K0.1826.09N/AN/A2551,2994,862
2009-10-16$46.48$43.4469.0%19.8%52.2%11.2%68.8%16.7%-1.5%-23.0K-372.8K-21.0K0.6425.11N/AN/A49321,2894,865
2009-10-19$46.22$43.4468.0%19.5%52.2%10.8%64.3%16.4%-0.8%-13.4K-560.5K-18.3K0.5725.99N/AN/A130751,1604,696
2009-10-20$45.87$43.4463.3%18.1%50.9%8.5%63.4%12.1%1.4%-17.2K-71.1K-20.3K1.6932.05N/AN/A1061781,2764,744
2009-10-21$44.57$43.4464.1%18.4%51.4%8.9%64.0%10.1%-0.4%-32.1K416.1K-20.6K1.5036.33N/AN/A59871,3474,851
2009-10-22$44.61$43.4463.1%18.1%44.9%8.5%63.2%13.6%-0.4%-40.9K535.9K-20.0K2.1333.65N/AN/A811711,3524,881
2009-10-23$43.57$43.4464.4%18.5%45.5%9.1%64.4%6.8%-0.5%-42.0K759.7K-20.6K2.1327.07N/AN/A13281,4014,865
2009-10-26$41.79$43.4466.7%19.1%47.2%10.2%66.3%15.4%-3.0%-51.5K1.4M-20.0K1.4125.31N/AN/A41591,4004,865
2009-10-27$44.09$43.4465.2%18.7%50.8%9.5%65.1%12.1%-3.5%-30.5K182.5K-18.8K0.7233.59N/AN/A1481071,4054,904
2009-10-28$39.62$43.4470.3%20.2%61.5%11.9%71.9%22.4%-4.5%-53.3K1.8M-19.6K0.8918.55N/AN/A2832511,4924,938
2009-10-29$41.44$43.4466.9%19.2%60.1%10.2%67.8%30.5%-0.1%-35.8K1.2M-21.6K0.3621.50N/AN/A154561,7055,030
2009-10-30$40.44$43.4460.8%17.4%60.0%7.3%60.7%16.9%3.6%-38.3K1.3M-19.6K0.3026.72N/AN/A198601,7225,041