HTZ Options History — March 2010

In March 2010, HTZ traded between $40.10 and $44.57. ATM implied volatility averaged 40.6%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 6.1% (HV 20d: 46.7%). Max pain ranged from $43.44 to $54.30. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.19.

Notable Days

  • 2010-03-04: Highest Volume — 4,908 contracts
  • 2010-03-10: Largest IV spike — 16.2% change
  • 2010-03-22: Highest IV Rank — 9.3%
  • 2010-03-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.64$40.10$44.57$41.27$43.40
Max Pain$50.05$43.44$54.30$43.44$43.44
ATM IV40.6%33.3%46.9%44.1%33.3%
Expected Move11.8%9.5%13.4%12.6%9.5%
HV 20d46.7%31.6%54.6%52.7%31.6%
HV 60d41.5%40.7%42.2%41.9%40.9%
IV Rank5.4%0.0%9.3%6.9%0.0%
IV Percentile7.1%0.0%13.1%8.7%0.0%
Term Structure4.5%-1.0%10.8%-0.2%10.8%
VWIV40.0%28.7%46.9%44.1%33.9%
Skew 25d9.1%-7.1%84.4%-0.1%8.9%
Skew 10d14.9%-10.2%117.8%-0.6%15.1%
Call IV 25d38.1%32.7%47.1%44.4%33.9%
Put IV 25d47.2%37.1%125.1%44.3%42.8%
Bid-Ask Spread %15.608.6320.4911.9019.98
Gamma HHI0.500.340.660.360.66
Net GEX34.4K-23.0K88.0K14.6K88.0K
Net DEX-2.4M-4.8M404.8K-652.1K-3.5M
Net VEX-69.8K-83.4K-21.6K-21.6K-78.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.005.171.630.20
Total Volume301.304124,9083030
Total OI7,656.3484,0919,2204,0917,627

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$41.27$43.4444.1%12.6%52.7%6.9%44.1%-0.1%-0.2%14.6K-652.1K-21.6K1.6311.90N/AN/A12182,1121,979
2010-03-02$40.83$43.4446.9%13.4%50.5%8.8%46.9%-7.1%-1.0%12.0K-449.4K-21.8K0.3218.17N/AN/A291942,1181,988
2010-03-03$40.10$43.4442.6%12.2%50.7%5.9%42.7%-1.3%3.5%23.9K-367.3K-21.8K2.1119.71N/AN/A40852,4001,976
2010-03-04$42.14$43.4440.9%11.7%54.6%4.8%40.9%84.4%4.0%32.2K-1.2M-24.0K0.9914.34N/AN/A2,4672,4412,4081,969
2010-03-05$43.35$54.3037.0%12.8%53.8%2.1%43.9%6.8%2.1%55.3K-4.3M-77.5K0.298.63N/AN/A61184,8113,812
2010-03-08$43.05$54.3042.7%12.8%53.7%6.0%44.5%3.5%3.0%44.3K-3.6M-75.8K2.8613.89N/AN/A394,5573,911
2010-03-09$43.01$54.3037.3%12.4%53.3%2.3%40.4%3.3%3.9%14.4K-2.7M-81.6K1.4312.01N/AN/A10154,5584,376
2010-03-10$43.22$54.3043.3%12.8%51.1%6.4%44.6%4.0%3.9%19.1K-2.8M-80.9K2.4514.04N/AN/A21514,5594,370
2010-03-11$43.40$54.3041.3%11.8%51.0%5.3%38.8%4.6%5.4%9.4K-3.0M-81.6K0.9414.35N/AN/A1241174,5644,419
2010-03-12$43.40$54.3040.9%11.7%50.1%5.9%28.7%7.0%4.1%-5.9K-2.8M-82.2K1.0712.39N/AN/A69754,5894,485
2010-03-15$43.48$54.3041.6%11.9%49.7%6.4%29.7%26.5%3.6%-23.0K-2.8M-81.7K0.2914.98N/AN/A1234,5894,533
2010-03-16$44.57$54.3042.6%12.2%49.3%7.3%38.2%10.1%3.0%6.6K-4.8M-83.4K0.4615.64N/AN/A31144,6454,552
2010-03-17$43.18$54.3040.8%11.7%48.9%6.0%39.5%11.4%4.9%-21.9K-2.9M-81.8K3.5315.81N/AN/A15544,6414,542
2010-03-18$42.14$54.3044.0%12.6%49.2%8.7%43.9%2.3%3.3%-1.7K-539.5K-79.5K1.0214.17N/AN/A38384,6374,583
2010-03-19$40.83$54.3041.4%11.9%49.9%6.6%41.5%-2.1%6.7%52.6K404.8K-77.0K5.1720.49N/AN/A18934,6274,582
2010-03-22$41.49$54.3042.9%12.3%50.6%9.3%42.9%-1.8%3.4%54.8K-1.3M-76.8K1.7415.16N/AN/A44774,1843,132
2010-03-23$42.48$54.3041.4%11.9%50.2%7.7%41.4%2.2%3.7%52.9K-2.2M-79.2K0.6216.11N/AN/A61384,2223,202
2010-03-24$42.53$54.3041.2%11.8%40.8%7.5%41.2%0.6%4.1%60.0K-2.3M-79.3K0.0317.12N/AN/A3614,2743,231
2010-03-25$42.88$43.4437.4%10.7%33.8%3.6%37.4%0.4%7.7%62.9K-2.9M-79.5K0.0118.88N/AN/A16214,2783,230
2010-03-26$43.48$43.4438.3%11.0%32.6%4.5%38.3%31.6%7.0%72.8K-3.3M-80.3K0.0018.99N/AN/A8204,3443,229
2010-03-29$43.05$43.4437.0%10.6%32.8%3.2%37.1%8.1%7.9%83.3K-2.9M-79.2K0.1616.56N/AN/A3564,3983,229
2010-03-30$43.44$43.4433.9%9.7%32.5%0.0%33.9%5.5%9.8%84.8K-3.4M-79.2K0.0015.43N/AN/A2004,3923,232
2010-03-31$43.40$43.4433.3%9.5%31.6%0.0%0.0%8.9%10.8%88.0K-3.5M-78.9K0.2019.98N/AN/A2554,3953,232