HTZ Options History — December 2010

In December 2010, HTZ traded between $54.91 and $63.21. ATM implied volatility averaged 42.2%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 16.4% (HV 20d: 25.8%). 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 22 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2010-12-15: Highest Volume — 1,422 contracts
  • 2010-12-13: Largest IV spike — 23.3% change
  • 2010-12-13: Highest IV Rank — 34.0%
  • 2010-12-06: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.29$54.91$63.21$54.91$62.95
Max Pain$43.44$43.44$43.44$43.44$43.44
ATM IV42.2%38.6%47.7%44.9%40.3%
Expected Move12.4%11.2%13.7%12.9%11.5%
HV 20d25.8%18.6%36.0%35.5%18.6%
HV 60d39.9%31.2%44.9%44.9%31.2%
IV Rank25.4%19.8%34.0%29.6%22.4%
IV Percentile19.3%8.3%38.5%25.4%13.1%
Term Structure3.5%0.9%6.7%3.6%4.2%
VWIV43.5%28.0%47.9%45.3%39.6%
Skew 25d1.9%-5.8%19.1%19.1%1.0%
Skew 10d10.6%-2.8%22.3%22.3%14.2%
Call IV 25d43.3%30.9%48.5%30.9%41.9%
Put IV 25d45.2%39.5%50.1%50.1%42.8%
Bid-Ask Spread %21.6710.4552.8310.4512.02
Gamma HHI0.350.230.530.250.53
Net GEX527.4K332.7K872.7K872.7K368.7K
Net DEX-48.9M-65.0M-35.3M-46.9M-37.9M
Net VEX-69.8K-81.6K-64.9K-81.6K-65.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0018.410.000.03
Total Volume192.04561,422244231
Total OI16,601.54512,39820,24318,93212,645

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$54.91$43.4444.9%12.9%35.5%29.6%45.3%19.1%3.6%872.7K-46.9M-81.6K0.0010.45N/AN/A244012,2796,653
2010-12-02$56.30$43.4442.5%12.2%36.0%25.9%44.4%-5.8%3.6%845.3K-50.8M-74.3K0.2814.47N/AN/A631712,1906,653
2010-12-03$57.38$43.4441.0%11.7%30.9%23.5%41.1%-1.8%5.3%758.8K-53.7M-72.8K4.0828.16N/AN/A124812,1966,665
2010-12-06$57.95$43.4442.7%13.7%30.0%26.3%47.9%2.1%1.0%714.0K-54.3M-71.7K0.2324.71N/AN/A49811612,1996,697
2010-12-07$57.82$43.4445.9%13.5%30.0%31.2%46.4%0.5%3.4%750.2K-55.7M-67.3K18.4125.23N/AN/A2851712,3496,784
2010-12-08$59.12$43.4442.2%13.3%30.3%25.4%46.1%-0.6%1.9%653.0K-58.3M-72.0K0.0140.44N/AN/A208112,3507,296
2010-12-09$59.86$43.4441.8%13.5%29.3%24.8%47.5%1.3%1.3%653.2K-59.6M-69.8K0.0319.00N/AN/A83212,2527,281
2010-12-10$60.47$43.4438.6%13.3%29.2%19.8%46.6%2.1%0.9%541.7K-60.8M-69.7K0.2616.64N/AN/A1052812,2287,282
2010-12-13$59.47$43.4447.7%13.2%25.5%34.0%46.8%0.5%2.2%573.9K-59.1M-67.3K0.9219.43N/AN/A454112,2727,309
2010-12-14$59.25$43.4443.0%13.3%24.5%26.8%47.4%1.8%1.7%573.3K-58.6M-68.1K0.7541.56N/AN/A181412,2987,340
2010-12-15$60.38$43.4444.4%12.7%24.2%28.9%44.6%2.0%2.4%511.7K-61.3M-64.9K0.0613.98N/AN/A1,3467612,2857,354
2010-12-16$61.77$43.4445.0%12.9%24.6%29.7%44.5%2.4%4.0%578.9K-65.0M-76.5K0.1621.26N/AN/A56912,8287,415
2010-12-17$61.95$43.4443.3%12.4%24.3%27.2%44.6%3.4%4.5%366.9K-61.7M-69.4K0.0515.57N/AN/A35212,0837,420
2010-12-20$62.16$43.4442.1%12.1%23.9%25.2%41.4%1.4%5.2%376.5K-36.8M-68.5K3.9115.99N/AN/A411637,9074,491
2010-12-21$63.21$43.4440.1%11.5%22.3%22.1%39.6%2.9%3.1%349.6K-37.9M-71.0K0.2517.77N/AN/A1537,9134,620
2010-12-22$62.42$43.4440.7%11.7%22.2%23.1%39.6%1.6%4.0%351.2K-36.9M-67.7K2.7219.28N/AN/A22597,9204,620
2010-12-23$61.82$43.4439.0%11.2%21.6%20.3%39.2%-1.0%6.7%332.7K-36.2M-68.3K2.1218.82N/AN/A6137,9304,678
2010-12-27$61.82$43.4440.1%11.5%21.1%22.1%47.3%3.1%5.1%362.0K-35.9M-67.9K1.2652.83N/AN/A14177,9354,687
2010-12-28$61.38$43.4442.4%12.2%21.6%25.7%44.6%4.6%3.3%358.2K-35.3M-68.0K0.0022.40N/AN/A0127,9484,695
2010-12-29$61.90$43.4440.0%11.5%21.5%22.0%44.5%-1.1%4.6%346.3K-36.2M-67.1K0.8310.61N/AN/A657,9484,694
2010-12-30$62.16$43.4440.1%11.5%19.7%22.1%28.0%2.1%5.0%363.2K-36.5M-67.2K0.0016.02N/AN/A607,9454,700
2010-12-31$62.95$43.4440.3%11.5%18.6%22.4%39.6%1.0%4.2%368.7K-37.9M-65.5K0.0312.02N/AN/A22477,9454,700