HTZ Options History — August 2010

In August 2010, HTZ traded between $36.97 and $51.91. ATM implied volatility averaged 59.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 11.8% (HV 20d: 47.3%). Max pain ranged from $43.44 to $43.44. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-08-31: Highest Volume — 3,149 contracts
  • 2010-08-04: Largest IV drop — 17.9% change
  • 2010-08-03: Highest IV Rank — 71.2%
  • 2010-08-03: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.00$36.97$51.91$51.91$36.97
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV59.1%50.3%71.2%64.9%64.6%
Expected Move17.2%16.1%20.4%18.6%18.5%
HV 20d47.3%35.9%55.9%55.9%35.9%
HV 60d54.9%48.7%58.5%58.4%48.7%
IV Rank52.1%38.2%71.2%61.2%60.8%
IV Percentile53.6%30.2%92.9%75.4%77.4%
Term Structure-0.3%-6.8%7.8%-6.3%-2.6%
VWIV61.6%49.6%76.0%62.1%76.0%
Skew 25d-1.3%-21.1%15.8%12.9%-11.4%
Skew 10d-0.7%-31.5%28.9%22.7%-6.0%
Call IV 25d62.2%53.4%72.1%53.4%72.1%
Put IV 25d60.9%43.8%79.0%66.4%60.7%
Bid-Ask Spread %17.168.0125.8222.4318.74
Gamma HHI0.400.290.590.360.29
Net GEX233.8K100.0K406.3K370.3K100.0K
Net DEX690.1K-24.2M11.4M-24.2M11.4M
Net VEX-87.8K-102.4K-66.6K-99.8K-66.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.017.960.140.82
Total Volume610.682683,1496423,149
Total OI18,305.86415,97421,07716,19119,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$51.91$43.4464.9%18.6%55.9%61.2%62.1%12.9%-6.3%370.3K-24.2M-99.8K0.1422.43N/AN/A563799,7176,474
2010-08-03$50.26$43.4471.2%20.4%55.2%71.2%73.5%15.8%-6.8%317.8K-19.1M-102.4K0.859.66N/AN/A5194409,4276,547
2010-08-04$47.61$43.4458.5%16.8%51.2%51.1%49.6%-4.2%7.8%324.1K-13.1M-99.8K7.9625.82N/AN/A383039,7416,772
2010-08-05$45.44$43.4458.7%16.8%53.7%51.5%59.0%-9.8%3.3%281.0K-7.3M-96.9K0.9723.74N/AN/A59589,5906,874
2010-08-06$44.61$43.4454.8%17.4%53.0%45.2%62.4%0.5%-1.2%272.8K-4.8M-96.1K0.5810.54N/AN/A5513219,6176,923
2010-08-09$44.96$43.4455.6%16.8%52.5%46.6%57.4%6.5%-1.4%284.9K-5.5M-95.7K0.2615.62N/AN/A253679,9767,156
2010-08-10$43.74$43.4451.4%16.1%52.1%40.0%56.8%-14.0%0.8%292.4K-2.7M-93.5K0.069.88N/AN/A8565210,0937,174
2010-08-11$42.53$43.4450.3%16.5%52.9%38.2%61.1%-21.1%-0.3%303.1K313.7K-93.4K0.208.01N/AN/A85317410,5957,233
2010-08-12$41.92$43.4457.3%16.4%51.4%49.3%57.8%-2.1%-1.1%294.4K1.6M-95.3K0.249.37N/AN/A1904610,9797,346
2010-08-13$40.96$43.4458.2%16.7%48.4%50.6%55.4%4.6%0.4%300.6K3.2M-92.1K0.6918.54N/AN/A1399611,5057,315
2010-08-16$40.31$43.4456.9%16.3%48.2%48.6%59.7%1.0%3.2%231.7K5.4M-87.0K1.3220.81N/AN/A547111,6007,402
2010-08-17$41.09$43.4458.9%16.9%48.8%51.8%59.8%2.5%1.1%282.6K3.7M-89.1K0.4515.88N/AN/A1597111,6187,453
2010-08-18$42.09$43.4458.1%16.7%49.0%50.6%58.9%-0.5%-0.9%406.3K584.9K-92.9K0.0114.15N/AN/A1,7541211,7197,505
2010-08-19$40.01$43.4460.5%17.3%45.0%54.3%60.8%4.3%-2.7%143.3K6.4M-85.7K0.3121.60N/AN/A2196713,5747,503
2010-08-20$39.97$43.4456.8%16.3%44.0%48.4%60.1%-1.3%1.8%147.5K6.6M-85.9K0.1722.64N/AN/A77813512,8047,557
2010-08-23$39.44$43.4458.2%16.7%42.6%50.6%61.4%-1.9%1.3%161.6K6.0M-84.0K0.1618.64N/AN/A2153511,4147,156
2010-08-24$38.31$43.4460.1%17.2%42.8%53.7%62.7%2.4%-2.6%124.8K8.7M-79.0K0.2319.93N/AN/A1363211,5537,190
2010-08-25$38.49$43.4460.1%17.2%43.2%53.6%66.3%-8.4%2.3%137.7K8.3M-78.8K0.2616.90N/AN/A541411,6377,220
2010-08-26$37.66$43.4458.0%16.6%41.6%50.3%58.4%-1.0%1.2%110.0K10.4M-72.2K0.0320.97N/AN/A247811,6867,233
2010-08-27$38.40$43.4462.6%17.9%37.8%57.6%64.0%1.8%-3.2%141.3K8.7M-77.8K1.2820.71N/AN/A14819111,9297,232
2010-08-30$37.27$43.4464.5%18.5%36.3%60.6%71.5%-4.3%-1.1%116.2K10.5M-68.1K0.6412.99N/AN/A1399012,0367,289
2010-08-31$36.97$43.4464.6%18.5%35.9%60.8%76.0%-11.4%-2.6%100.0K11.4M-66.6K0.8218.74N/AN/A1,7321,41712,0817,284