HTZ Options History — April 2011

In April 2011, HTZ traded between $69.11 and $74.93. ATM implied volatility averaged 33.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.6% (HV 20d: 26.0%). Max pain ranged from $65.16 to $69.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.77.

Notable Days

  • 2011-04-07: Highest Volume — 3,664 contracts
  • 2011-04-14: Largest IV spike — 95.1% change
  • 2011-04-14: Highest IV Rank — 28.2%
  • 2011-04-12: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.00$69.11$74.93$69.11$74.76
Max Pain$68.85$65.16$69.50$69.50$69.50
ATM IV33.6%20.5%39.9%34.7%27.2%
Expected Move10.4%7.8%12.1%10.0%7.8%
HV 20d26.0%17.0%29.4%29.4%17.0%
HV 60d30.0%27.6%31.6%31.6%27.6%
IV Rank15.7%0.0%28.2%13.6%9.8%
IV Percentile3.9%0.0%16.7%2.4%0.4%
Term Structure0.2%-2.6%4.4%4.4%3.6%
VWIV37.4%29.5%42.2%37.8%35.9%
Skew 25d4.5%0.7%8.9%3.5%2.3%
Skew 10d13.4%1.4%26.6%1.4%14.4%
Call IV 25d34.6%25.8%39.6%33.6%25.8%
Put IV 25d39.0%28.1%44.9%37.1%28.1%
Bid-Ask Spread %35.0421.0066.6221.0023.45
Gamma HHI0.290.210.350.210.33
Net GEX659.9K106.4K1.2M185.6K1.2M
Net DEX-32.1M-43.2M-19.3M-19.5M-43.1M
Net VEX-147.8K-165.6K-127.7K-131.9K-136.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.770.0028.180.106.56
Total Volume664.2263,6642660
Total OI14,532.210,85016,87110,85014,987

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$69.11$69.5034.7%10.0%29.4%13.6%37.8%3.5%4.4%185.6K-19.5M-131.9K0.1021.00N/AN/A2426,7944,056
2011-04-04$69.11$65.1631.9%10.9%28.9%9.2%37.3%4.8%0.9%152.0K-19.3M-127.7K1.7028.32N/AN/A6871,1656,7984,056
2011-04-05$69.50$65.1632.7%10.4%28.0%10.4%36.4%6.5%-0.7%106.4K-20.0M-145.5K0.2736.92N/AN/A87247,2895,216
2011-04-06$69.94$65.1632.8%10.3%27.7%10.5%36.1%5.4%-0.3%137.0K-21.6M-140.4K0.5530.17N/AN/A6203427,1605,070
2011-04-07$69.98$69.5033.1%11.1%27.1%11.1%38.7%3.7%0.8%174.6K-22.6M-145.5K0.0028.26N/AN/A3,650147,5995,392
2011-04-08$69.59$69.5033.0%11.6%26.7%10.9%41.3%5.1%-1.6%556.6K-27.5M-165.6K28.1830.50N/AN/A832,3359,7635,406
2011-04-11$69.55$69.5038.4%12.0%26.3%19.3%42.2%5.4%-2.6%266.4K-24.2M-163.9K0.1031.27N/AN/A244258,9267,706
2011-04-12$70.33$69.5035.0%12.1%26.1%5.7%42.1%4.7%-1.5%324.5K-28.1M-163.5K0.9933.69N/AN/A30309,0957,708
2011-04-13$71.98$69.5020.5%11.7%26.9%0.0%42.1%5.6%-1.5%446.9K-33.5M-157.7K0.0831.53N/AN/A143128,9647,663
2011-04-14$71.59$69.5039.9%11.4%27.1%28.2%38.2%6.6%-0.5%488.7K-32.6M-156.8K0.8428.04N/AN/A1461228,9467,676
2011-04-15$73.20$69.5037.6%10.8%27.0%24.9%37.6%4.7%-0.3%890.3K-39.1M-149.6K0.0123.90N/AN/A55529,0747,797
2011-04-18$72.24$69.5038.3%11.0%27.6%25.9%39.3%6.3%-1.2%841.8K-32.1M-153.2K9.9045.98N/AN/A9968,6095,643
2011-04-19$73.85$69.5036.7%10.5%28.4%23.6%35.9%8.9%0.6%883.4K-36.0M-148.1K0.0148.96N/AN/A26738,6125,734
2011-04-20$73.20$69.5034.8%10.0%28.5%20.8%34.3%2.5%-1.1%983.7K-36.5M-145.6K0.0134.86N/AN/A1,150148,7895,735
2011-04-21$74.20$69.5035.2%10.1%27.6%21.4%35.0%2.2%-0.5%967.1K-38.4M-145.5K0.0028.64N/AN/A80908,7425,743
2011-04-25$73.89$69.5036.6%10.5%27.7%23.4%37.1%0.7%-1.8%1.1M-42.1M-152.7K0.1163.63N/AN/A8499,5465,743
2011-04-26$74.37$69.5037.0%10.6%27.7%24.0%36.6%6.9%-1.1%1.0M-41.2M-147.9K0.2966.62N/AN/A63189,1325,743
2011-04-27$74.93$69.5028.8%8.3%17.5%12.1%29.5%1.9%3.8%1.2M-43.2M-138.0K1.2240.59N/AN/A79979,1075,748
2011-04-28$74.72$69.5027.3%7.8%17.2%9.9%34.6%1.6%3.5%1.2M-42.5M-139.9K4.5324.45N/AN/A331519,0945,783
2011-04-29$74.76$69.5027.2%7.8%17.0%9.8%35.9%2.3%3.6%1.2M-43.1M-136.5K6.5623.45N/AN/A8529,0745,913