HTZ Options History — June 2010

In June 2010, HTZ traded between $40.88 and $48.18. ATM implied volatility averaged 69.5%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 7.1% (HV 20d: 62.4%). Max pain ranged from $43.44 to $54.30. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 6.42.

Notable Days

  • 2010-06-17: Highest Volume — 2,335 contracts
  • 2010-06-10: Largest IV drop — 12.6% change
  • 2010-06-07: Highest IV Rank — 82.8%
  • 2010-06-01: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.30$40.88$48.18$46.83$41.09
Max Pain$44.92$43.44$54.30$54.30$43.44
ATM IV69.5%60.1%84.7%81.2%64.3%
Expected Move19.6%17.2%23.3%23.3%18.4%
HV 20d62.4%53.2%69.6%63.8%53.4%
HV 60d63.0%59.2%64.5%59.2%61.1%
IV Rank61.3%48.0%82.8%77.9%54.0%
IV Percentile75.1%50.4%94.4%93.3%66.3%
Term Structure1.8%-4.1%6.7%-4.1%5.8%
VWIV65.9%56.2%72.8%66.8%64.3%
Skew 25d4.5%-15.3%15.7%6.3%-4.9%
Skew 10d11.8%-24.6%36.2%6.3%0.2%
Call IV 25d65.2%56.8%73.4%73.4%56.8%
Put IV 25d69.7%51.3%84.1%79.7%51.9%
Bid-Ask Spread %21.8314.5832.6515.1215.99
Gamma HHI0.330.280.410.360.31
Net GEX74.1K-5.4K128.6K98.1K63.2K
Net DEX-688.1K-4.4M5.6M-3.6M1.6M
Net VEX-112.5K-121.4K-102.7K-112.2K-110.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.420.00115.407.340.07
Total Volume390.636102,3355639
Total OI16,086.77314,83619,45015,09516,305

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$46.83$54.3081.2%23.3%63.8%77.9%66.8%6.3%-4.1%98.1K-3.6M-112.2K7.3415.12N/AN/A7498,4396,656
2010-06-02$46.44$54.3073.9%21.2%63.7%67.5%72.8%4.5%-1.7%78.4K-1.7M-109.7K7.8318.88N/AN/A1108,4406,684
2010-06-03$48.18$54.3075.6%21.7%65.9%69.9%60.9%15.7%-3.9%106.7K-4.4M-111.7K0.0021.58N/AN/A1008,4256,688
2010-06-04$44.40$43.4475.8%20.4%68.7%70.2%71.4%11.9%-2.1%39.4K1.0M-104.7K115.4024.94N/AN/A55328,4266,688
2010-06-07$42.40$43.4484.7%20.8%69.6%82.8%72.6%13.8%-2.7%12.1K4.0M-106.1K1.0723.98N/AN/A31328,4287,202
2010-06-08$41.44$43.4479.4%21.8%62.3%75.3%70.1%11.0%-2.3%-5.4K5.6M-102.7K0.0223.80N/AN/A1,610378,4527,224
2010-06-09$42.83$43.4479.5%20.8%63.7%75.5%72.5%14.7%-0.7%32.1K2.4M-110.9K0.5322.95N/AN/A136739,0047,232
2010-06-10$45.13$43.4469.5%19.9%68.0%61.3%68.6%9.3%2.3%56.1K-82.4K-114.1K0.0519.31N/AN/A544309,1047,286
2010-06-11$44.61$43.4469.6%20.0%67.9%61.5%65.0%11.9%1.3%72.9K615.1K-114.2K1.2623.63N/AN/A1862359,6287,298
2010-06-14$45.83$43.4469.2%19.8%67.2%60.9%66.3%13.5%-2.5%103.7K-1.9M-115.6K2.7929.80N/AN/A10289,7977,410
2010-06-15$47.26$43.4465.3%18.7%67.9%55.3%63.3%2.8%4.4%91.6K-3.8M-114.7K0.7816.87N/AN/A2622059,8077,432
2010-06-16$46.26$43.4464.6%18.5%67.5%54.4%56.2%-3.2%3.9%81.0K-2.8M-116.3K0.4518.78N/AN/A251210,0247,617
2010-06-17$45.53$43.4466.5%19.1%67.1%57.1%68.0%-9.3%4.1%65.2K-1.8M-114.2K0.1322.21N/AN/A2,06127410,0397,612
2010-06-18$44.61$43.4466.0%18.9%59.1%56.3%66.0%6.2%3.6%128.6K-906.1K-121.4K0.7532.65N/AN/A17413011,6677,783
2010-06-21$44.92$43.4468.0%19.5%58.7%59.3%68.1%9.8%4.7%120.5K-3.9M-118.5K1.1223.79N/AN/A62708,4176,419
2010-06-22$43.05$43.4464.8%18.6%59.7%54.7%64.8%7.0%1.8%69.8K-864.9K-113.9K0.6827.48N/AN/A113778,4786,470
2010-06-23$43.79$43.4460.8%17.4%59.8%49.0%60.8%7.8%6.3%77.6K-1.8M-114.8K0.0524.16N/AN/A16688,5856,538
2010-06-24$43.01$43.4462.6%17.9%57.3%51.5%62.6%-15.3%4.6%81.7K-1.4M-113.8K0.1027.98N/AN/A121128,7266,546
2010-06-25$43.35$43.4460.1%17.2%54.0%48.0%60.1%-11.2%6.7%89.9K-1.6M-114.1K0.0015.10N/AN/A49008,8396,555
2010-06-28$42.79$43.4462.0%17.8%53.9%50.7%62.0%5.7%6.2%99.1K-1.7M-113.7K0.0014.58N/AN/A2809,2316,555
2010-06-29$40.88$43.4465.8%18.9%53.2%56.1%65.8%-10.1%4.5%67.5K1.9M-106.5K0.9016.71N/AN/A3683319,2486,505
2010-06-30$41.09$43.4464.3%18.4%53.4%54.0%64.3%-4.9%5.8%63.2K1.6M-110.7K0.0715.99N/AN/A3729,5156,790