HTZ Options History — November 2010

In November 2010, HTZ traded between $48.96 and $54.34. ATM implied volatility averaged 44.6%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 8.4% (HV 20d: 36.2%). 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 0.30.

Notable Days

  • 2010-11-04: Highest Volume — 2,674 contracts
  • 2010-11-11: Largest IV spike — 46.6% change
  • 2010-11-29: Highest IV Rank — 37.6%
  • 2010-11-29: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.22$48.96$54.34$48.96$53.26
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV44.6%31.7%49.9%46.9%48.3%
Expected Move13.2%11.4%14.3%13.4%13.9%
HV 20d36.2%32.8%39.4%38.1%34.2%
HV 60d47.6%44.9%48.9%48.2%44.9%
IV Rank29.2%8.8%37.6%32.8%35.1%
IV Percentile25.6%0.8%42.1%28.2%39.3%
Term Structure2.8%0.3%5.9%2.1%1.0%
VWIV46.8%39.8%54.2%51.7%49.1%
Skew 25d7.6%0.5%16.8%9.1%10.0%
Skew 10d17.3%-1.6%37.0%37.0%11.3%
Call IV 25d41.4%28.1%48.3%43.4%38.4%
Put IV 25d49.0%39.4%52.5%52.5%48.4%
Bid-Ask Spread %21.2311.7252.5218.6415.30
Gamma HHI0.260.220.370.220.25
Net GEX1.0M703.8K1.6M902.5K842.3K
Net DEX-51.3M-70.6M-34.2M-34.2M-41.5M
Net VEX-94.3K-112.3K-77.2K-112.3K-87.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.541.060.01
Total Volume419.143152,674173439
Total OI21,902.47617,32424,30121,65318,809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$48.96$43.4446.9%13.4%38.1%32.8%51.7%9.1%2.1%902.5K-34.2M-112.3K1.0618.64N/AN/A848913,8427,811
2010-11-02$49.30$43.4447.0%13.5%37.8%33.0%49.7%7.6%3.0%897.4K-36.4M-109.8K0.3720.50N/AN/A1154313,8247,815
2010-11-03$49.13$43.4442.0%12.0%37.0%25.1%39.8%10.6%2.5%953.3K-36.9M-103.7K0.1133.64N/AN/A1481613,8837,843
2010-11-04$52.09$43.4439.9%11.4%39.4%21.7%40.0%11.4%5.9%958.9K-49.3M-90.5K0.0513.70N/AN/A2,55212213,8637,842
2010-11-05$53.39$43.4438.8%12.8%38.5%20.0%54.2%5.9%3.5%990.1K-64.0M-107.0K1.5418.97N/AN/A17326516,1997,758
2010-11-08$53.17$43.4443.1%13.2%38.5%26.8%45.6%3.6%3.6%1.0M-63.6M-100.8K0.7519.10N/AN/A292216,1157,804
2010-11-09$52.82$43.4439.4%12.5%38.0%20.9%46.9%6.6%4.5%1.1M-62.2M-102.1K0.6121.50N/AN/A22213516,0997,633
2010-11-10$54.34$43.4431.7%13.1%38.7%8.8%47.3%8.2%2.1%1.0M-68.2M-93.1K0.0424.15N/AN/A4662016,0927,674
2010-11-11$54.30$43.4446.5%13.3%34.4%32.2%47.5%3.8%1.4%1.0M-70.6M-90.9K0.0211.72N/AN/A355616,3687,683
2010-11-12$52.22$43.4447.2%13.5%38.0%33.3%46.8%0.5%3.1%1.1M-60.0M-98.2K0.0218.19N/AN/A1,0061816,1087,682
2010-11-15$51.39$43.4445.0%12.9%38.2%29.8%46.1%3.1%5.4%1.3M-58.5M-98.0K0.2619.74N/AN/A2235816,6057,696
2010-11-16$51.00$43.4447.5%13.6%36.4%33.8%42.9%1.9%4.0%1.2M-53.8M-98.6K0.0119.86N/AN/A84116,4677,729
2010-11-17$51.22$43.4446.1%13.2%34.4%31.5%45.9%5.8%3.5%1.4M-55.0M-96.5K0.4919.98N/AN/A1236116,5327,717
2010-11-18$52.30$43.4448.2%13.8%34.7%34.9%49.0%3.4%1.2%1.6M-61.2M-89.2K0.0522.73N/AN/A14116,4697,755
2010-11-19$53.43$43.4448.9%14.0%34.9%36.0%47.9%2.1%0.7%1.1M-67.9M-83.7K0.0116.52N/AN/A174216,4747,755
2010-11-22$52.56$43.4443.5%12.5%32.9%27.4%43.8%13.4%3.4%716.1K-36.9M-81.9K0.8852.52N/AN/A16614610,7916,533
2010-11-23$51.87$43.4446.6%13.4%32.8%32.4%46.5%9.7%1.6%703.8K-34.9M-81.8K0.0524.87N/AN/A59210,8726,645
2010-11-24$53.52$43.4444.9%12.9%34.3%29.6%45.0%16.8%3.7%724.3K-39.4M-77.2K0.0115.70N/AN/A1,271910,9166,645
2010-11-26$53.13$43.4445.6%13.1%34.5%30.8%47.1%15.0%3.2%812.7K-41.1M-91.9K0.0020.34N/AN/A28012,1446,650
2010-11-29$53.26$43.4449.9%14.3%34.4%37.6%49.2%10.6%0.3%832.1K-41.6M-85.4K0.0418.19N/AN/A53212,1606,650
2010-11-30$53.26$43.4448.3%13.9%34.2%35.1%49.1%10.0%1.0%842.3K-41.5M-87.2K0.0115.30N/AN/A434512,1566,653