HTZ Options History — May 2010

In May 2010, HTZ traded between $44.09 and $59.08. ATM implied volatility averaged 70.5%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 0.2% (HV 20d: 70.3%). Max pain ranged from $54.30 to $54.30. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2010-05-03: Highest Volume — 1,705 contracts
  • 2010-05-19: Largest IV spike — 23.6% change
  • 2010-05-21: Highest IV Rank — 89.5%
  • 2010-05-21: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.66$44.09$59.08$59.08$49.35
Max Pain$54.30$54.30$54.30$54.30$54.30
ATM IV70.5%57.4%89.5%58.1%63.9%
Expected Move20.1%16.5%25.6%16.6%18.3%
HV 20d70.3%58.5%78.9%71.5%64.6%
HV 60d57.3%54.3%59.1%54.3%58.4%
IV Rank58.0%36.5%89.5%37.3%53.4%
IV Percentile73.3%42.5%97.6%45.2%64.3%
Term Structure-4.2%-16.0%3.7%-0.9%-3.9%
VWIV69.0%51.8%86.1%51.8%69.1%
Skew 25d10.5%-0.4%16.8%9.9%15.2%
Skew 10d13.6%-4.9%45.5%7.1%16.4%
Call IV 25d64.9%48.5%85.9%48.5%58.9%
Put IV 25d75.5%57.4%96.7%58.4%74.1%
Bid-Ask Spread %22.2611.6955.0223.2614.01
Gamma HHI0.420.300.540.520.33
Net GEX137.0K32.3K239.2K146.6K114.0K
Net DEX-9.0M-18.6M1.5M-18.2M-6.6M
Net VEX-121.1K-133.4K-110.3K-117.5K-117.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.0210.130.460.02
Total Volume424.5251,7051,705628
Total OI15,253.2514,00116,25814,00114,711

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$59.08$54.3058.1%16.6%71.5%37.3%51.8%9.9%-0.9%146.6K-18.2M-117.5K0.4623.26N/AN/A1,1645417,1046,897
2010-05-04$57.99$54.3057.4%16.5%65.2%36.5%55.8%4.0%3.7%239.2K-18.6M-119.4K0.3419.14N/AN/A173607,8656,607
2010-05-05$56.99$54.3061.9%17.7%65.2%41.7%55.2%2.9%0.0%199.4K-16.5M-125.7K0.0722.48N/AN/A787528,0116,854
2010-05-06$53.78$54.3064.8%18.6%68.3%45.1%63.4%8.5%-0.6%170.2K-12.3M-131.7K0.4737.98N/AN/A106498,5526,863
2010-05-07$52.17$54.3076.6%20.3%69.2%58.8%79.8%16.8%-7.5%144.7K-9.8M-131.9K1.2819.30N/AN/A1501908,6226,876
2010-05-10$56.13$54.3071.3%20.0%73.6%52.6%73.1%12.7%-6.9%201.7K-15.0M-133.4K0.0717.18N/AN/A413288,5436,960
2010-05-11$56.99$54.3070.3%20.0%73.7%51.5%66.8%12.1%-4.5%236.2K-18.0M-132.8K0.3221.15N/AN/A227738,7896,941
2010-05-12$56.47$54.3063.8%18.5%73.3%44.0%59.2%12.2%-3.4%231.5K-17.1M-127.4K0.3223.21N/AN/A73238,9096,955
2010-05-13$56.17$54.3063.4%18.2%73.3%47.0%60.8%11.3%-1.7%218.2K-16.5M-124.4K0.3817.88N/AN/A1878,9066,953
2010-05-14$53.17$54.3062.5%17.9%75.3%45.9%62.5%10.0%-0.2%163.9K-10.8M-127.1K10.1314.54N/AN/A131238,9146,953
2010-05-17$51.56$54.3066.8%19.1%76.1%53.1%66.6%13.6%-4.7%130.7K-7.5M-120.8K2.5123.13N/AN/A1022588,9106,924
2010-05-18$49.96$54.3063.0%18.0%76.6%52.1%67.5%11.6%-1.9%74.0K-3.9M-120.4K0.0319.48N/AN/A9638,8777,143
2010-05-19$48.65$54.3077.8%22.3%77.1%73.1%71.8%15.3%-8.3%47.7K-2.8M-116.4K0.2111.69N/AN/A297628,8196,874
2010-05-20$44.44$54.3087.3%25.0%78.4%86.5%86.1%13.8%-12.9%82.1K1.5M-111.0K0.6155.02N/AN/A5703488,8526,921
2010-05-21$45.40$54.3089.5%25.6%78.9%89.5%86.1%10.5%-16.0%86.4K-131.0K-112.3K0.0538.36N/AN/A962469,1117,147
2010-05-24$44.09$54.3086.1%24.7%58.5%84.8%78.7%11.0%-5.9%32.3K334.9K-110.3K0.1815.76N/AN/A142257,6756,494
2010-05-25$44.70$54.3079.5%22.8%59.2%75.4%80.6%6.2%-1.0%50.0K212.5K-110.4K0.2224.30N/AN/A209467,9596,503
2010-05-26$46.87$54.3080.7%23.1%63.0%77.1%77.2%-0.4%-5.5%64.3K-2.2M-113.6K0.7115.31N/AN/A1981407,8646,525
2010-05-27$49.22$54.3064.9%18.6%64.4%54.8%67.2%13.3%-1.7%107.1K-6.1M-117.7K0.2012.09N/AN/A73158,0346,648
2010-05-28$49.35$54.3063.9%18.3%64.6%53.4%69.1%15.2%-3.9%114.0K-6.6M-117.1K0.0214.01N/AN/A61998,0636,648