HTZ Options History — July 2010

In July 2010, HTZ traded between $37.92 and $51.00. ATM implied volatility averaged 60.8%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 6.0% (HV 20d: 54.8%). Max pain ranged from $32.58 to $43.44. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-07-21: Highest Volume — 1,643 contracts
  • 2010-07-07: Largest IV spike — 28.4% change
  • 2010-07-16: Highest IV Rank — 62.7%
  • 2010-07-06: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.89$37.92$51.00$40.44$51.00
Max Pain$42.92$32.58$43.44$43.44$43.44
ATM IV60.8%48.1%66.5%66.5%64.2%
Expected Move18.4%14.2%21.0%19.1%18.4%
HV 20d54.8%42.9%59.8%51.0%57.6%
HV 60d62.4%58.6%66.4%61.0%59.5%
IV Rank53.0%31.1%62.7%57.0%60.1%
IV Percentile58.3%26.6%75.0%75.0%70.6%
Term Structure-0.1%-4.7%7.1%2.1%-2.0%
VWIV63.4%47.7%76.9%66.4%63.5%
Skew 25d8.0%-16.0%47.1%-7.7%15.0%
Skew 10d19.9%-17.6%72.4%-2.5%43.5%
Call IV 25d59.6%52.6%75.5%60.0%52.9%
Put IV 25d67.6%43.0%104.2%52.4%67.9%
Bid-Ask Spread %25.9813.5638.7917.4323.01
Gamma HHI0.300.260.370.310.32
Net GEX153.4K34.8K326.5K63.6K326.5K
Net DEX-6.4M-21.2M6.2M2.6M-21.2M
Net VEX-103.3K-110.6K-85.6K-103.7K-103.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.003.130.110.04
Total Volume28561,643585270
Total OI15,659.47613,98216,33815,87015,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$40.44$43.4466.5%19.1%51.0%57.0%66.4%-7.7%2.1%63.6K2.6M-103.7K0.1117.43N/AN/A526599,3316,539
2010-07-02$39.40$43.4449.6%14.2%43.8%33.2%47.7%-16.0%7.1%51.7K3.5M-95.7K0.5720.69N/AN/A37219,3156,244
2010-07-06$37.92$32.5848.1%21.0%42.9%31.1%76.9%-1.9%-2.6%34.8K6.2M-85.6K0.5429.22N/AN/A36209,3356,245
2010-07-07$41.75$43.4461.8%19.0%55.5%50.5%70.9%13.3%-0.4%68.4K1.4M-98.7K1.5234.26N/AN/A2724139,3666,257
2010-07-08$43.05$43.4455.7%18.5%55.3%41.8%63.6%47.1%0.7%73.5K-944.3K-105.4K1.3719.01N/AN/A25369,3786,617
2010-07-09$44.48$43.4454.2%18.6%53.2%39.7%65.7%14.1%-1.3%106.0K-3.9M-108.5K0.7727.19N/AN/A78609,6256,625
2010-07-12$43.61$43.4461.3%19.3%53.5%49.7%0.0%12.0%-2.4%91.8K-2.7M-105.6K0.2525.67N/AN/A519,6676,654
2010-07-13$45.05$43.4454.0%17.6%54.0%44.0%0.0%9.0%1.2%105.4K-5.5M-105.9K3.1333.91N/AN/A351099,6656,617
2010-07-14$44.57$43.4456.0%17.7%52.7%47.2%61.8%10.5%3.5%106.3K-5.1M-104.6K1.0333.36N/AN/A899,6896,600
2010-07-15$46.05$43.4462.4%17.9%53.7%57.3%60.1%11.2%1.5%127.0K-8.1M-104.2K1.8128.70N/AN/A32599,6896,609
2010-07-16$43.57$43.4465.8%18.9%56.9%62.7%65.8%6.4%-2.2%79.1K-3.3M-101.5K0.3734.80N/AN/A3041139,7026,636
2010-07-19$44.09$43.4465.1%18.7%56.7%61.6%65.1%10.7%-0.9%126.6K-3.4M-101.0K0.4638.39N/AN/A122567,8216,161
2010-07-20$43.53$43.4464.5%18.5%56.8%60.7%64.5%8.3%0.7%127.6K-2.8M-99.8K3.0338.79N/AN/A8247,8726,204
2010-07-21$44.48$43.4463.9%18.3%55.2%59.6%63.5%-6.4%0.5%137.8K-5.4M-100.4K0.2524.27N/AN/A1,3133307,8746,226
2010-07-22$47.44$43.4464.4%18.5%59.4%60.4%64.3%8.3%-1.3%231.1K-11.6M-110.6K0.4327.06N/AN/A91398,8716,531
2010-07-23$48.31$43.4464.0%18.4%59.0%59.8%53.6%10.7%-1.7%251.0K-14.1M-108.5K0.0024.52N/AN/A2308,9186,556
2010-07-26$49.26$43.4461.8%17.7%59.2%56.4%63.7%10.2%-4.7%257.5K-15.9M-104.4K0.1518.31N/AN/A158238,9216,556
2010-07-27$48.05$43.4464.1%18.4%59.8%59.9%60.0%3.6%-0.4%260.5K-13.4M-104.4K0.4017.42N/AN/A5692308,9676,545
2010-07-28$47.78$43.4463.9%18.3%56.9%59.6%62.7%6.8%-0.1%287.2K-13.7M-109.7K0.0215.97N/AN/A21159,4926,694
2010-07-29$48.78$43.4464.8%18.6%57.1%61.0%65.0%1.7%1.1%307.5K-16.5M-108.2K0.2113.56N/AN/A211449,5986,698
2010-07-30$51.00$43.4464.2%18.4%57.6%60.1%63.5%15.0%-2.0%326.5K-21.2M-103.0K0.0423.01N/AN/A260109,4756,464