HTZ Options History — October 2010

In October 2010, HTZ traded between $42.22 and $49.52. ATM implied volatility averaged 47.9%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 8.1% (HV 20d: 56.0%). Max pain ranged from $43.44 to $43.44. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-10-15: Highest Volume — 3,413 contracts
  • 2010-10-12: Largest IV spike — 19.9% change
  • 2010-10-13: Highest IV Rank — 52.5%
  • 2010-10-06: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.40$42.22$49.52$43.48$49.17
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV47.9%41.7%59.4%46.1%46.7%
Expected Move14.2%12.6%15.6%13.2%13.4%
HV 20d56.0%38.3%60.9%60.5%38.3%
HV 60d51.1%48.4%52.7%52.7%48.4%
IV Rank34.3%24.7%52.5%31.6%32.5%
IV Percentile28.6%16.3%60.7%22.6%27.8%
Term Structure3.6%0.7%8.9%8.9%3.4%
VWIV49.7%44.1%54.6%47.7%47.4%
Skew 25d3.9%-15.4%14.7%-15.4%8.3%
Skew 10d17.7%-11.7%35.0%-11.7%33.3%
Call IV 25d46.8%34.6%55.9%54.2%42.0%
Put IV 25d50.7%38.8%55.3%38.8%50.3%
Bid-Ask Spread %21.2415.3828.3518.1716.94
Gamma HHI0.290.220.820.240.22
Net GEX1.0M546.7K4.5M1.1M898.0K
Net DEX-19.1M-36.2M-4.7M-14.7M-35.2M
Net VEX-127.8K-155.0K-114.8K-155.0K-115.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.032.290.820.87
Total Volume647.714873,4131,235109
Total OI25,552.09520,31635,02935,02921,651

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$43.48$43.4446.1%13.2%60.5%31.6%47.7%-15.4%8.9%1.1M-14.7M-155.0K0.8218.17N/AN/A67955625,1149,915
2010-10-04$43.18$43.4446.6%15.6%60.0%32.4%54.6%-0.8%1.3%835.0K-10.9M-143.8K0.2318.50N/AN/A78818118,9889,984
2010-10-05$44.05$43.4447.0%15.3%59.6%33.0%53.3%1.7%2.0%950.0K-15.3M-145.7K0.0321.28N/AN/A207619,02310,117
2010-10-06$43.31$43.4443.1%15.6%59.3%26.8%53.7%-2.9%1.7%768.3K-9.2M-137.8K0.5128.35N/AN/A21210719,05410,117
2010-10-07$42.22$43.4451.4%15.3%60.1%40.0%53.6%0.8%2.5%646.5K-4.7M-134.1K0.0919.48N/AN/A9388719,12410,086
2010-10-08$43.83$43.4441.7%14.8%60.9%24.7%51.9%13.4%3.5%940.8K-11.9M-135.8K1.0725.23N/AN/A596319,28610,103
2010-10-11$43.70$43.4447.7%15.1%54.0%34.0%54.3%0.2%3.2%885.8K-11.3M-129.2K0.3125.84N/AN/A33010418,71610,160
2010-10-12$45.13$43.4457.2%15.5%55.5%49.0%54.3%0.8%1.5%1.1M-20.5M-131.5K0.1420.37N/AN/A98313818,89910,238
2010-10-13$45.74$43.4459.4%14.8%55.7%52.5%54.2%0.9%3.9%1.3M-26.9M-130.2K0.6822.10N/AN/A57238719,16110,082
2010-10-14$43.96$43.4451.8%14.8%56.7%40.5%52.3%-0.9%2.5%1.3M-14.0M-125.0K2.2923.26N/AN/A15836019,31410,358
2010-10-15$43.44$43.4451.9%14.9%56.7%40.8%51.7%3.5%0.7%4.5M-9.1M-119.3K0.0322.61N/AN/A3,3219218,96510,143
2010-10-18$44.74$43.4448.4%13.9%57.6%35.1%47.9%14.7%1.7%602.3K-14.6M-125.3K1.2218.77N/AN/A15719012,6967,620
2010-10-19$43.53$43.4449.7%14.2%58.2%37.2%48.9%3.7%2.0%546.7K-11.0M-121.1K0.3619.10N/AN/A913312,7577,696
2010-10-20$45.31$43.4445.1%12.9%59.7%30.0%44.8%4.1%7.4%652.5K-16.9M-123.2K0.3021.58N/AN/A2346912,7857,785
2010-10-21$45.44$43.4445.6%13.1%58.1%30.7%44.3%3.3%4.7%689.6K-18.3M-123.5K0.3827.37N/AN/A913512,9817,834
2010-10-22$46.31$43.4444.2%12.7%53.3%28.5%44.1%6.6%6.5%725.6K-21.4M-122.5K0.4727.58N/AN/A773612,9827,833
2010-10-25$48.39$43.4445.3%13.0%55.6%30.3%47.6%8.7%4.9%751.3K-29.6M-117.0K0.5615.38N/AN/A31918012,9887,829
2010-10-26$49.48$43.4446.1%13.2%56.0%31.6%46.6%11.4%5.5%810.5K-34.1M-114.8K0.0618.09N/AN/A1,3718213,1577,820
2010-10-27$49.52$43.4444.0%12.6%55.7%28.3%44.8%9.1%5.6%898.5K-36.2M-116.7K0.5118.98N/AN/A753813,7997,804
2010-10-28$49.39$43.4446.1%13.2%44.1%31.6%45.9%10.8%1.7%895.9K-35.8M-115.8K0.7517.07N/AN/A493813,8007,830
2010-10-29$49.17$43.4446.7%13.4%38.3%32.5%47.4%8.3%3.4%898.0K-35.2M-115.9K0.8716.94N/AN/A585113,8357,816