HTZ Options History — December 2009

In December 2009, HTZ traded between $44.44 and $53.78. ATM implied volatility averaged 48.9%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 9.4% (HV 20d: 39.5%). Max pain ranged from $43.44 to $43.44. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.32.

Notable Days

  • 2009-12-22: Highest Volume — 227 contracts
  • 2009-12-08: Largest IV spike — 25.7% change
  • 2009-12-09: Highest IV Rank — 10.4%
  • 2009-12-08: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.96$44.44$53.78$44.44$51.78
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV48.9%38.5%62.5%46.5%41.3%
Expected Move14.3%11.0%17.3%13.3%11.9%
HV 20d39.5%33.2%46.3%45.9%33.2%
HV 60d50.7%47.1%55.3%55.1%47.1%
IV Rank4.5%0.0%10.4%0.5%2.0%
IV Percentile4.2%0.0%18.3%0.4%1.6%
Term Structure6.6%3.6%12.6%12.6%6.4%
VWIV47.6%37.9%56.0%46.4%41.5%
Skew 25d12.8%-1.2%57.5%57.5%-0.8%
Skew 10d26.6%1.3%109.2%109.2%1.3%
Call IV 25d42.8%32.4%53.1%37.2%39.4%
Put IV 25d55.7%36.2%94.8%94.8%38.6%
Bid-Ask Spread %21.209.9033.8111.4619.87
Gamma HHI0.360.300.440.330.34
Net GEX18.7K-4.0K53.4K22.9K-2.0K
Net DEX-1.6M-2.8M-371.8K-655.7K-554.5K
Net VEX-8.1K-9.8K-6.6K-9.3K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.320.0016.350.270.00
Total Volume63.0451227812
Total OI4,407.9091,2736,0995,9301,773

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$44.44$43.4446.5%13.3%45.9%0.5%46.4%57.5%12.6%22.9K-655.7K-9.3K0.2711.46N/AN/A64171,2424,688
2009-12-02$45.61$43.4452.8%15.1%46.3%3.8%52.9%14.6%4.4%32.5K-1.3M-9.6K0.069.90N/AN/A4421,2804,704
2009-12-03$45.13$43.4449.2%14.1%45.3%2.0%49.2%12.7%8.6%31.5K-1.1M-9.8K0.6311.21N/AN/A23151,3084,706
2009-12-04$47.39$43.4443.6%16.5%45.8%0.0%51.1%15.7%7.3%47.8K-2.0M-9.3K1.1627.79N/AN/A59691,3314,706
2009-12-07$47.61$43.4449.8%16.8%45.5%3.2%0.0%27.6%4.9%53.4K-2.2M-9.1K0.3931.36N/AN/A31121,3574,706
2009-12-08$47.31$43.4462.5%17.3%44.4%9.8%47.1%16.3%3.6%-1.6K-2.5M-6.8K0.0033.00N/AN/A101,3424,713
2009-12-09$46.83$43.4460.1%16.9%44.5%10.4%0.0%16.7%3.8%46.1K-1.9M-8.6K6.1528.94N/AN/A5291,3424,713
2009-12-10$47.39$43.4456.3%16.1%42.3%9.1%0.0%12.0%6.7%46.7K-2.2M-8.0K12.0033.81N/AN/A1141,3424,698
2009-12-11$46.66$43.4455.5%15.9%38.2%8.5%0.0%5.7%8.5%43.6K-1.9M-7.9K0.3319.50N/AN/A721,3424,686
2009-12-14$47.18$43.4456.8%16.3%38.2%9.4%53.5%6.3%5.5%39.4K-2.1M-7.2K0.5920.95N/AN/A1061,3404,696
2009-12-15$46.66$43.4456.0%16.0%37.2%9.0%56.0%16.6%6.7%15.4K-2.3M-6.7K1.0026.52N/AN/A26261,3444,698
2009-12-16$48.22$43.4454.5%15.6%38.7%8.0%55.0%9.0%7.8%9.7K-2.6M-6.6K0.1122.18N/AN/A3031,3574,723
2009-12-17$47.57$43.4454.0%15.5%38.9%7.6%49.0%15.5%9.8%9.5K-2.6M-6.7K0.6229.51N/AN/A17101,3604,720
2009-12-18$48.65$43.4454.0%15.5%35.5%7.6%54.3%11.3%8.1%937-2.8M-6.7K8.2033.61N/AN/A201621,3724,727
2009-12-21$49.87$43.4441.5%11.9%35.4%0.0%54.5%11.2%5.3%-4.0K-371.8K-7.3K10.6323.68N/AN/A339389884
2009-12-22$52.43$43.4438.9%11.1%37.9%0.0%37.9%2.0%6.8%451-704.5K-6.7K1.1711.48N/AN/A105122390916
2009-12-23$53.48$43.4438.5%11.0%37.6%0.0%38.5%13.4%7.8%6.9K-962.4K-7.7K4.2911.57N/AN/A281174661,037
2009-12-24$53.78$43.4440.0%11.5%37.5%1.0%40.0%4.7%6.8%6.5K-949.5K-9.1K5.6414.42N/AN/A15854831,111
2009-12-28$53.56$43.4441.4%11.9%33.4%2.0%41.4%3.5%4.2%4.7K-915.2K-8.5K3.3616.96N/AN/A9324981,149
2009-12-29$53.30$43.4441.3%11.8%33.9%2.0%40.5%12.0%4.9%2.4K-823.6K-8.7K0.0013.16N/AN/A204981,168
2009-12-30$52.26$43.4442.3%12.1%33.4%2.7%41.5%-1.2%4.0%-365-659.2K-8.6K16.3515.53N/AN/A71165011,168
2009-12-31$51.78$43.4441.3%11.9%33.2%2.0%0.0%-0.8%6.4%-2.0K-554.5K-9.2K0.0019.87N/AN/A205051,268