HTZ Options History — February 2010

In February 2010, HTZ traded between $39.62 and $48.26. ATM implied volatility averaged 55.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 13.7% (HV 20d: 41.4%). Max pain ranged from $43.44 to $54.30. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 4.15.

Notable Days

  • 2010-02-24: Highest Volume — 2,175 contracts
  • 2010-02-24: Largest IV drop — 22.1% change
  • 2010-02-23: Highest IV Rank — 18.0%
  • 2010-02-23: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.06$39.62$48.26$46.66$40.83
Max Pain$45.73$43.44$54.30$54.30$43.44
ATM IV55.0%47.0%60.4%53.3%47.7%
Expected Move16.0%13.5%17.3%15.3%13.7%
HV 20d41.4%35.1%52.8%38.0%52.8%
HV 60d39.0%37.2%42.8%39.9%42.8%
IV Rank14.3%8.9%18.0%13.2%9.3%
IV Percentile20.6%9.5%32.5%15.5%10.3%
Term Structure-2.6%-7.7%9.5%6.9%-0.9%
VWIV54.9%31.7%86.0%53.5%47.9%
Skew 25d15.3%-9.0%34.3%17.4%-4.2%
Skew 10d28.1%-10.6%51.1%47.5%-3.8%
Call IV 25d44.7%32.8%54.0%36.3%46.8%
Put IV 25d60.0%38.9%72.4%53.7%42.6%
Bid-Ask Spread %18.7810.8626.3120.4310.86
Gamma HHI0.360.330.420.330.39
Net GEX-12.5K-37.0K10.5K-13.6K9.6K
Net DEX137.4K-791.1K1.2M228.2K-542.1K
Net VEX-12.6K-22.1K-9.0K-12.8K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0720.0016.110.09
Total Volume175.68432,175111155
Total OI2,845.1582,6374,0482,6374,045

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$46.66$54.3053.3%15.3%38.0%13.2%53.5%17.4%6.9%-13.6K228.2K-12.8K16.1120.43N/AN/A71048431,794
2010-02-02$46.26$54.3057.6%16.5%38.0%16.1%31.7%23.3%0.2%-17.2K313.8K-12.9K0.2418.17N/AN/A518481,813
2010-02-03$45.92$54.3051.2%14.7%38.0%11.7%0.0%13.3%9.5%-20.0K424.2K-13.3K1.8320.09N/AN/A258521,813
2010-02-04$44.01$54.3053.1%15.2%40.2%13.0%0.0%10.5%5.7%-29.2K875.7K-12.5K1.4216.41N/AN/A568531,813
2010-02-05$43.53$43.4454.0%17.0%40.0%13.6%58.9%18.4%-7.4%-32.6K1.1M-11.9K10.2623.01N/AN/A9928551,817
2010-02-08$42.79$43.4458.7%17.2%35.1%16.8%80.2%31.3%-7.7%-35.3K1.2M-11.6K0.6019.65N/AN/A218471,837
2010-02-09$44.61$43.4452.8%16.7%39.7%12.8%57.5%18.4%-5.8%-29.5K610.5K-11.9K0.2626.31N/AN/A87228491,801
2010-02-10$45.00$43.4457.8%16.8%39.2%16.2%39.8%33.8%-6.1%-22.3K354.3K-11.6K0.8616.41N/AN/A769291,809
2010-02-11$46.09$43.4458.7%16.8%40.6%16.8%86.0%20.1%-6.9%-16.6K-67.2K-11.8K20.0022.33N/AN/A059331,814
2010-02-12$45.18$43.4457.7%16.5%37.9%16.1%49.5%34.3%-5.1%-23.2K145.7K-11.7K0.4122.50N/AN/A2399331,812
2010-02-16$46.57$43.4459.4%17.0%40.2%17.3%59.9%17.4%-5.8%-4.4K-363.6K-11.1K3.7020.96N/AN/A7259481,811
2010-02-17$47.91$43.4457.7%16.5%42.0%16.1%57.4%10.7%-6.4%7.7K-742.3K-11.4K1.0717.71N/AN/A21229481,806
2010-02-18$48.26$43.4457.9%16.6%41.6%16.2%57.4%9.4%-5.5%10.5K-791.1K-11.3K8.0022.14N/AN/A169461,805
2010-02-19$47.61$43.4456.6%16.2%41.4%15.4%51.1%7.4%-5.3%7.9K-640.2K-10.8K0.0717.80N/AN/A1719451,806
2010-02-22$47.48$43.4456.6%16.2%38.8%15.4%51.6%9.8%-1.9%7.5K-520.0K-10.4K0.7623.93N/AN/A28218861,754
2010-02-23$45.70$43.4460.4%17.3%40.8%18.0%59.6%5.2%-6.1%-2.2K-67.1K-10.5K7.5511.29N/AN/A181439041,768
2010-02-24$42.09$43.4447.0%13.5%49.8%8.9%46.5%23.8%1.2%-37.0K1.0M-9.0K0.1411.64N/AN/A1,9072689101,863
2010-02-25$39.62$43.4447.7%13.7%52.2%9.4%43.9%-9.0%-2.4%2.1K37.0K-21.8K5.4115.10N/AN/A472532,0591,989
2010-02-26$40.83$43.4447.7%13.7%52.8%9.3%47.9%-4.2%-0.9%9.6K-542.1K-22.1K0.0910.86N/AN/A142132,0791,966