HTZ Options History — November 2009

In November 2009, HTZ traded between $38.62 and $44.83. ATM implied volatility averaged 56.2%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 2.3% (HV 20d: 58.5%). Max pain ranged from $43.44 to $43.44. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 13.23.

Notable Days

  • 2009-11-12: Highest Volume — 514 contracts
  • 2009-11-04: Largest IV drop — 16.1% change
  • 2009-11-02: Highest IV Rank — 8.6%
  • 2009-11-06: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.27$38.62$44.83$39.75$42.57
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV56.2%47.6%63.4%63.4%52.6%
Expected Move16.5%13.7%19.4%18.2%15.1%
HV 20d58.5%44.3%64.6%58.0%44.3%
HV 60d56.7%54.3%59.0%58.8%54.9%
IV Rank5.1%1.1%8.6%8.6%3.4%
IV Percentile4.7%0.4%11.5%11.1%2.4%
Term Structure4.9%-1.3%11.8%2.6%3.6%
VWIV60.8%47.6%76.1%69.9%52.6%
Skew 25d23.4%-1.6%70.4%18.4%70.4%
Skew 10d37.8%0.8%106.3%32.2%106.3%
Call IV 25d54.8%37.6%66.0%59.4%45.2%
Put IV 25d78.2%42.3%115.6%77.8%115.6%
Bid-Ask Spread %19.798.3641.8633.848.74
Gamma HHI0.370.300.480.440.30
Net GEX-7.1K-51.5K26.5K-43.5K12.7K
Net DEX334.3K-1.7M2.2M1.7M125.6K
Net VEX-14.2K-18.7K-9.2K-18.7K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.230.01222.602.3015.41
Total Volume92.31451461154
Total OI6,6185,9007,2936,7825,944

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$39.75$43.4463.4%18.2%58.0%8.6%69.9%18.4%2.6%-43.5K1.7M-18.7K2.3033.84N/AN/A18431,7155,067
2009-11-03$39.57$43.4459.3%17.0%58.0%6.6%65.0%14.4%4.4%-50.3K1.9M-17.8K0.6734.51N/AN/A24161,7165,063
2009-11-04$38.62$43.4449.8%14.3%58.4%2.1%60.1%11.5%6.4%-51.5K2.2M-17.8K0.2041.86N/AN/A3671,7255,057
2009-11-05$40.36$43.4456.2%16.1%60.9%5.1%56.5%24.2%7.6%-39.4K1.5M-18.0K0.1725.09N/AN/A4881,7365,060
2009-11-06$41.31$43.4454.3%19.4%57.7%4.2%67.1%15.8%-1.3%-31.7K1.1M-17.8K0.0113.85N/AN/A12011,7615,063
2009-11-09$42.79$43.4460.4%18.0%59.0%7.2%57.2%16.2%1.6%-11.7K126.6K-16.7K0.419.79N/AN/A38151,8225,064
2009-11-10$42.40$43.4454.1%17.6%58.7%4.2%75.7%16.6%3.4%-14.6K451.2K-16.2K2.7922.38N/AN/A7181,8225,053
2009-11-11$44.27$43.4457.0%18.1%60.6%5.5%67.8%17.7%2.3%332-650.5K-16.9K4.2623.96N/AN/A10461,8155,057
2009-11-12$42.14$43.4462.4%17.9%62.3%8.1%74.6%12.9%1.9%-10.8K373.1K-15.4K222.6018.56N/AN/A25121,8125,029
2009-11-13$42.53$43.4461.3%17.6%61.9%7.6%61.5%9.6%3.8%-11.5K279.4K-15.8K0.3219.61N/AN/A3091,8135,480
2009-11-16$43.92$43.4461.1%17.5%63.2%7.5%61.1%14.7%4.8%5.4K-609.8K-13.5K1.9221.91N/AN/A6121,7885,024
2009-11-17$44.01$43.4462.0%17.8%63.2%7.9%76.1%17.0%4.4%17.6K-794.6K-13.8K3.7723.49N/AN/A7261,7905,003
2009-11-18$44.83$43.4459.6%17.1%62.8%6.8%60.6%13.1%4.6%26.5K-1.7M-12.8K0.2626.34N/AN/A3591,7924,995
2009-11-19$42.96$43.4460.1%17.2%64.6%7.0%60.0%11.5%5.3%11.8K7.8K-12.3K3.1513.73N/AN/A8241,7924,996
2009-11-20$42.48$43.4455.5%15.9%64.2%4.8%55.4%10.7%7.7%15.4K1.0M-11.2K1.8511.69N/AN/A711311,7975,016
2009-11-23$42.18$43.4448.1%13.8%62.5%1.3%48.1%57.6%11.8%8.8K48.3K-9.6K0.1418.56N/AN/A205291,2454,655
2009-11-24$43.35$43.4447.9%13.7%60.1%1.2%47.8%58.4%8.6%13.2K-286.8K-10.0K0.018.78N/AN/A5911,2684,679
2009-11-25$43.44$43.4447.6%13.7%45.2%1.1%47.6%59.1%9.6%15.0K-343.3K-9.8K0.948.36N/AN/A771,2454,678
2009-11-27$41.83$43.4451.4%14.7%44.9%2.8%51.4%-1.6%5.8%-4.1K218.7K-10.1K3.5010.81N/AN/A10371,2414,682
2009-11-30$42.57$43.4452.6%15.1%44.3%3.4%52.6%70.4%3.6%12.7K125.6K-9.2K15.418.74N/AN/A91451,2424,702