HTZ Options History — February 2011

In February 2011, HTZ traded between $64.60 and $71.76. ATM implied volatility averaged 42.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 10.5% (HV 20d: 32.2%). Max pain ranged from $43.44 to $60.82. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2011-02-08: Highest Volume — 2,243 contracts
  • 2011-02-23: Largest IV drop — 11.1% change
  • 2011-02-14: Highest IV Rank — 37.1%
  • 2011-02-14: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.75$64.60$71.76$66.16$66.07
Max Pain$52.47$43.44$60.82$60.82$54.30
ATM IV42.7%37.0%49.6%38.4%39.5%
Expected Move12.4%10.8%14.2%11.0%11.3%
HV 20d32.2%29.7%35.5%33.2%32.2%
HV 60d27.4%26.4%28.4%27.8%27.9%
IV Rank26.2%17.2%37.1%19.5%21.2%
IV Percentile25.6%4.0%50.8%6.0%12.7%
Term Structure-1.0%-6.4%3.8%3.5%0.5%
VWIV44.4%36.3%53.2%38.3%39.7%
Skew 25d4.8%0.6%10.8%8.2%8.2%
Skew 10d12.8%0.9%27.2%13.2%13.6%
Call IV 25d41.8%33.8%48.6%33.8%34.7%
Put IV 25d46.6%40.2%51.6%42.0%42.9%
Bid-Ask Spread %16.729.8220.5420.0911.58
Gamma HHI0.300.220.410.370.29
Net GEX428.3K296.7K556.7K330.8K512.3K
Net DEX-26.2M-36.7M-19.2M-25.3M-22.0M
Net VEX-79.0K-114.4K-60.2K-71.0K-111.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.003.372.700.27
Total Volume66072,24316641
Total OI9,193.8958,47710,3598,47710,048

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$66.16$60.8238.4%11.0%33.2%19.5%38.3%8.2%3.5%330.8K-25.3M-71.0K2.7020.09N/AN/A451215,7252,752
2011-02-02$65.51$60.8239.5%11.3%33.1%21.1%39.4%3.5%2.3%329.4K-24.2M-71.3K1.5720.54N/AN/A811275,7292,805
2011-02-03$65.33$60.8237.8%10.8%32.1%18.4%39.6%2.1%3.8%336.9K-23.9M-70.9K3.0920.21N/AN/A22695,7812,918
2011-02-04$64.86$43.4437.0%11.7%31.0%17.2%44.5%7.5%-0.8%348.5K-23.1M-71.3K0.5716.89N/AN/A525,7952,897
2011-02-07$66.55$43.4439.4%12.2%31.8%21.0%48.2%6.7%-2.4%342.9K-26.2M-67.9K1.3717.26N/AN/A37515,8002,889
2011-02-08$68.90$43.4443.3%12.7%33.5%27.2%44.4%2.7%-3.3%308.3K-29.3M-64.6K0.0115.61N/AN/A2,221225,8222,888
2011-02-09$69.50$43.4443.7%12.7%32.6%27.8%47.5%1.7%-2.4%446.9K-31.9M-65.7K0.0015.66N/AN/A1,58626,3822,894
2011-02-10$70.46$43.4446.9%13.4%29.8%32.8%46.7%3.9%-3.0%406.3K-36.7M-60.3K0.0220.03N/AN/A1,297266,7902,896
2011-02-11$71.29$54.3047.2%13.5%29.8%33.3%46.5%3.8%-3.8%541.9K-28.8M-64.5K0.4213.52N/AN/A43185,8802,917
2011-02-14$71.76$54.3049.6%14.2%29.7%37.1%53.2%2.7%-6.4%552.5K-29.6M-61.8K3.3714.04N/AN/A26915,8762,911
2011-02-15$70.11$54.3049.3%14.1%31.5%36.6%51.5%1.1%-3.9%556.7K-27.6M-61.8K1.1920.06N/AN/A1822155,8942,897
2011-02-16$70.76$54.3047.6%13.6%29.7%33.9%51.5%3.5%-3.2%444.2K-27.7M-61.8K0.6219.90N/AN/A9515945,7983,077
2011-02-17$69.90$54.3044.1%12.6%30.4%28.4%45.4%0.6%-0.5%381.4K-26.8M-60.2K0.0912.61N/AN/A1,6141385,8363,057
2011-02-18$69.11$54.3043.8%12.6%31.1%28.0%44.4%1.9%-1.6%296.7K-29.8M-89.9K0.0719.00N/AN/A1,5061007,1913,168
2011-02-22$65.86$54.3045.8%13.1%35.3%31.2%45.5%3.1%-0.3%543.7K-23.4M-114.4K0.8818.06N/AN/A2302017,1732,502
2011-02-23$64.73$54.3040.7%11.7%35.5%23.1%42.0%7.7%0.2%493.9K-20.0M-109.7K0.5415.78N/AN/A4442427,0582,676
2011-02-24$64.60$54.3039.1%11.2%34.4%20.5%39.0%10.7%1.8%460.8K-19.2M-110.9K1.0116.94N/AN/A35357,1122,867
2011-02-25$65.77$54.3038.8%11.1%34.3%20.0%36.3%10.8%-0.3%502.7K-21.5M-112.3K2.359.82N/AN/A36847,1242,859
2011-02-28$66.07$54.3039.5%11.3%32.2%21.2%39.7%8.2%0.5%512.3K-22.0M-111.3K0.2711.58N/AN/A3297,1092,939