HTZ Options History — January 2011

In January 2011, HTZ traded between $59.43 and $64.68. ATM implied volatility averaged 40.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 16.7% (HV 20d: 23.9%). Max pain ranged from $43.44 to $65.16. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 10.33.

Notable Days

  • 2011-01-12: Highest Volume — 1,381 contracts
  • 2011-01-28: Largest IV spike — 7.8% change
  • 2011-01-10: Highest IV Rank — 27.0%
  • 2011-01-10: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.12$59.43$64.68$63.86$63.90
Max Pain$57.99$43.44$65.16$43.44$60.82
ATM IV40.6%36.6%43.2%37.7%38.9%
Expected Move11.8%10.5%13.3%10.8%11.1%
HV 20d23.9%18.2%31.2%18.2%31.2%
HV 60d28.9%27.0%30.5%30.5%29.3%
IV Rank22.9%16.6%27.0%18.3%20.2%
IV Percentile14.4%3.2%25.4%6.3%7.9%
Term Structure3.2%0.4%5.4%3.5%2.5%
VWIV40.5%29.8%46.4%37.6%39.4%
Skew 25d4.0%-1.9%7.1%-1.9%-0.1%
Skew 10d7.9%-3.5%21.1%0.1%-3.3%
Call IV 25d39.8%33.6%43.2%40.8%37.8%
Put IV 25d43.8%37.7%48.8%38.8%37.7%
Bid-Ask Spread %22.7112.8536.0515.8623.85
Gamma HHI0.430.280.600.600.34
Net GEX295.8K69.7K393.4K367.5K330.0K
Net DEX-30.9M-40.3M-17.8M-39.2M-21.8M
Net VEX-67.4K-75.2K-60.0K-64.1K-72.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.330.02105.003.630.54
Total Volume246.25131,3819051
Total OI11,902.057,33614,62012,6638,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$63.86$43.4437.7%10.8%18.2%18.3%37.6%-1.9%3.5%367.5K-39.2M-64.1K3.6315.86N/AN/A20707,9584,705
2011-01-04$63.16$43.4438.7%11.1%19.0%19.8%37.2%-0.6%3.9%365.2K-37.9M-64.6K0.0414.69N/AN/A6627,9644,771
2011-01-05$64.68$43.4438.7%11.1%20.0%19.9%42.6%2.8%4.3%393.4K-40.3M-63.3K1.8512.85N/AN/A588,0134,771
2011-01-06$63.16$43.4438.9%11.2%21.6%20.2%38.1%4.2%1.9%389.5K-37.8M-63.6K0.5415.09N/AN/A21128,0134,779
2011-01-07$62.51$65.1641.6%12.7%21.8%24.5%0.0%6.1%1.6%378.7K-36.7M-63.7K85.0030.71N/AN/A11178,0044,780
2011-01-10$62.16$65.1643.2%13.3%21.8%27.0%46.4%6.7%0.4%357.6K-36.1M-62.3K105.0025.66N/AN/A0488,0044,851
2011-01-11$61.21$65.1642.2%12.5%21.6%25.5%44.9%5.9%2.5%314.9K-34.6M-60.7K0.5023.60N/AN/A37188,0034,900
2011-01-12$59.43$65.1642.7%12.5%24.2%26.2%44.0%4.5%2.4%274.5K-31.8M-60.0K0.9918.65N/AN/A6956868,0174,917
2011-01-13$59.82$60.8240.7%11.7%23.3%23.1%40.5%4.1%5.4%243.3K-32.1M-70.8K0.0819.11N/AN/A170148,6725,626
2011-01-14$60.64$60.8242.1%12.1%22.3%25.2%41.5%3.9%3.5%264.8K-33.9M-71.6K0.6922.22N/AN/A29208,8215,569
2011-01-18$61.73$60.8243.2%12.4%23.3%27.0%42.9%5.8%4.4%364.0K-36.2M-70.4K1.9824.16N/AN/A48978,9525,588
2011-01-19$60.38$60.8243.1%12.3%24.5%26.8%41.6%5.5%2.4%216.8K-33.9M-67.7K2.9923.91N/AN/A511508,8685,546
2011-01-20$60.34$60.8242.2%12.1%23.5%25.4%42.3%7.0%3.6%149.5K-33.2M-68.2K0.1923.54N/AN/A4698,9055,668
2011-01-21$60.64$60.8241.3%11.8%23.4%24.0%43.5%4.6%3.3%69.7K-34.1M-67.7K0.1121.48N/AN/A412468,9565,664
2011-01-24$62.55$56.4741.6%11.9%25.8%24.5%41.7%4.4%4.0%248.4K-18.5M-67.5K0.4827.58N/AN/A6643174,9702,366
2011-01-25$61.69$60.8240.4%11.6%26.3%22.5%39.7%7.1%3.8%280.6K-17.8M-71.8K1.5336.05N/AN/A46705,4242,681
2011-01-26$63.34$60.8238.8%11.1%27.8%20.1%40.2%4.0%1.4%284.9K-20.2M-72.7K0.3722.19N/AN/A74265,4562,729
2011-01-27$64.60$60.8236.6%10.5%28.4%16.6%36.6%3.1%4.0%293.2K-22.3M-70.6K0.0724.37N/AN/A280205,4882,730
2011-01-28$62.64$60.8239.5%11.3%30.7%21.2%29.8%3.0%4.4%329.6K-19.8M-75.2K0.0228.53N/AN/A47185,7402,735
2011-01-31$63.90$60.8238.9%11.1%31.2%20.2%39.4%-0.1%2.5%330.0K-21.8M-72.0K0.5423.85N/AN/A33185,7012,736