HTZ Options History — September 2010

In September 2010, HTZ traded between $39.49 and $50.43. ATM implied volatility averaged 61.6%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 13.6% (HV 20d: 48.0%). Max pain ranged from $39.10 to $43.44. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-09-30: Highest Volume — 19,417 contracts
  • 2010-09-30: Largest IV drop — 19.2% change
  • 2010-09-08: Highest IV Rank — 71.8%
  • 2010-09-28: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.79$39.49$50.43$39.49$46.00
Max Pain$42.20$39.10$43.44$43.44$43.44
ATM IV61.6%51.6%71.6%58.7%56.4%
Expected Move17.4%14.8%20.3%16.8%16.2%
HV 20d48.0%43.2%57.7%43.2%57.7%
HV 60d51.1%49.6%52.7%50.5%51.7%
IV Rank56.1%40.2%71.8%51.5%47.8%
IV Percentile63.4%32.5%93.3%52.8%45.2%
Term Structure0.6%-8.8%8.5%0.4%-1.5%
VWIV61.8%51.9%70.2%68.2%53.0%
Skew 25d-0.6%-27.1%7.6%-27.1%-2.2%
Skew 10d5.3%-36.1%39.1%-36.1%-7.7%
Call IV 25d61.3%49.3%73.6%73.6%53.9%
Put IV 25d60.7%46.5%72.5%46.5%51.7%
Bid-Ask Spread %20.5413.1025.4515.0714.06
Gamma HHI0.350.220.540.420.32
Net GEX765.2K254.9K1.6M254.9K1.6M
Net DEX-29.0M-57.3M5.5M5.5M-31.1M
Net VEX-148.1K-172.3K-99.7K-99.7K-171.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.014.380.190.07
Total Volume3,295.28613519,4171,93719,417
Total OI26,959.71420,92635,39322,17533,937

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$39.49$43.4458.7%16.8%43.2%51.5%68.2%-27.1%0.4%254.9K5.5M-99.7K0.1915.07N/AN/A1,62631113,5188,657
2010-09-02$41.14$43.4462.8%18.0%44.4%58.0%66.0%-14.4%0.2%387.2K-3.6M-124.3K0.7813.10N/AN/A68653515,0838,933
2010-09-03$42.22$39.1067.8%17.4%45.4%65.8%59.6%-2.4%-0.2%457.7K-8.2M-133.6K1.1523.80N/AN/A34439715,5119,381
2010-09-07$41.27$39.1070.7%18.7%45.7%70.3%66.2%-1.6%-2.7%411.2K-4.4M-127.8K0.1218.14N/AN/A3083715,7559,657
2010-09-08$42.40$39.1071.6%18.5%46.2%71.8%64.3%-0.2%-1.9%500.5K-9.3M-132.2K0.0719.69N/AN/A5393915,9989,694
2010-09-09$42.62$39.1064.5%18.5%45.1%60.6%64.3%-0.6%-3.9%570.8K-10.4M-132.0K0.4423.60N/AN/A944116,3949,694
2010-09-10$43.66$39.1068.8%19.7%45.6%67.4%68.8%0.7%-2.6%626.5K-15.4M-132.0K0.0123.03N/AN/A4,7755316,4439,689
2010-09-13$47.09$39.1062.8%18.0%51.4%57.9%62.7%-0.4%0.3%964.9K-42.5M-153.2K0.4819.16N/AN/A5,0242,43120,5099,713
2010-09-14$46.74$43.4461.0%17.5%51.0%55.1%60.0%0.5%0.6%960.2K-46.9M-159.7K0.4522.43N/AN/A1707722,22510,979
2010-09-15$46.52$43.4459.8%17.1%51.0%53.2%60.0%-0.5%2.3%593.3K-48.8M-152.9K0.0524.43N/AN/A1,6857922,07210,991
2010-09-16$47.52$43.4456.7%16.3%50.9%48.4%62.1%-0.2%6.5%784.5K-54.7M-168.8K0.0620.77N/AN/A2,34214323,63711,030
2010-09-17$47.74$43.4454.6%15.7%46.2%45.0%59.3%1.2%7.6%1.1M-57.3M-170.6K0.1120.59N/AN/A3263724,38311,010
2010-09-20$48.48$43.4451.6%14.8%46.1%40.2%55.2%5.4%8.5%681.1K-33.5M-160.2K0.3519.23N/AN/A2679414,4597,692
2010-09-21$48.48$43.4453.8%15.4%45.5%43.7%54.8%4.6%7.0%703.7K-34.0M-161.8K4.3820.25N/AN/A3917114,5157,714
2010-09-22$47.22$43.4453.5%15.3%45.2%43.3%54.2%7.6%5.0%678.8K-29.8M-159.9K0.7125.09N/AN/A65646514,5147,808
2010-09-23$45.40$43.4452.2%15.0%48.5%41.3%51.9%5.1%6.4%713.4K-23.9M-157.7K0.0125.45N/AN/A5,8844415,0278,031
2010-09-24$48.48$43.4458.6%16.8%51.2%51.2%59.7%2.9%-2.2%674.3K-30.4M-136.5K0.2721.84N/AN/A2,29062013,0527,874
2010-09-27$49.00$43.4468.2%19.5%51.2%66.4%66.8%5.2%-8.8%734.9K-32.6M-139.4K0.1824.86N/AN/A5,46896113,9498,479
2010-09-28$49.70$43.4470.9%20.3%48.7%70.7%69.9%-0.8%-0.6%1.2M-44.8M-164.0K0.1221.03N/AN/A3,42241818,6539,279
2010-09-29$50.43$43.4469.8%20.0%48.0%69.0%70.2%4.7%-8.2%1.5M-53.2M-172.3K0.0415.77N/AN/A6,62126520,7919,424
2010-09-30$46.00$43.4456.4%16.2%57.7%47.8%53.0%-2.2%-1.5%1.6M-31.1M-171.6K0.0714.06N/AN/A18,0781,33924,4029,535