HTZ Options History — May 2011

In May 2011, HTZ traded between $68.11 and $74.02. ATM implied volatility averaged 32.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 11.3% (HV 20d: 21.6%). Max pain ranged from $65.16 to $69.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2011-05-10: Highest Volume — 2,319 contracts
  • 2011-05-09: Largest IV spike — 19.9% change
  • 2011-05-17: Highest IV Rank — 23.5%
  • 2011-05-17: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.87$68.11$74.02$73.76$70.16
Max Pain$65.99$65.16$69.50$69.50$65.16
ATM IV32.9%27.8%36.6%29.0%33.0%
Expected Move9.5%8.3%10.5%8.3%9.4%
HV 20d21.6%17.4%23.8%17.5%23.6%
HV 60d26.4%24.0%27.8%27.7%24.0%
IV Rank18.4%10.6%23.5%12.3%19.4%
IV Percentile6.2%1.2%11.5%1.6%6.0%
Term Structure1.5%-1.7%3.9%2.2%-1.7%
VWIV33.4%28.1%38.3%28.5%28.3%
Skew 25d5.2%-6.5%12.7%-6.5%6.2%
Skew 10d7.6%-6.7%21.6%-0.5%4.4%
Call IV 25d29.9%18.0%35.8%26.0%28.5%
Put IV 25d35.0%19.5%41.3%19.5%34.7%
Bid-Ask Spread %38.6714.8986.8520.4026.57
Gamma HHI0.360.220.800.330.23
Net GEX1.4M568.1K5.0M1.2M685.1K
Net DEX-30.3M-41.3M-18.4M-41.0M-23.1M
Net VEX-137.4K-153.3K-127.9K-136.4K-127.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0012.5112.510.04
Total Volume206.8142,31948382
Total OI14,751.47612,72216,20714,86712,935

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$73.76$69.5029.0%8.3%17.5%12.3%28.5%-6.5%2.2%1.2M-41.0M-136.4K12.5120.40N/AN/A364479,0745,793
2011-05-03$74.02$69.5028.9%8.3%17.4%12.3%28.8%10.9%2.3%1.3M-40.5M-135.3K0.6420.28N/AN/A31209,0745,804
2011-05-04$72.11$69.5029.3%8.4%20.3%12.8%28.1%8.6%1.4%1.3M-36.6M-136.5K0.1324.38N/AN/A6999,1335,776
2011-05-05$72.76$69.5029.2%8.4%20.4%12.6%30.5%10.2%3.7%1.3M-36.8M-137.6K0.1523.46N/AN/A67109,1065,776
2011-05-06$73.20$65.1627.8%9.1%20.5%10.6%35.1%4.2%2.7%1.4M-38.9M-133.0K1.2734.11N/AN/A13169,0795,776
2011-05-09$72.46$65.1633.3%9.7%20.7%18.6%33.8%3.4%2.9%1.4M-36.7M-132.9K0.3021.28N/AN/A213639,1325,785
2011-05-10$72.07$65.1632.0%9.4%20.9%16.8%37.3%3.5%3.9%1.3M-34.0M-130.9K0.0118.66N/AN/A2,286338,9555,825
2011-05-11$71.55$65.1634.5%10.1%20.8%20.4%35.4%4.7%1.4%1.5M-33.9M-143.0K0.4718.88N/AN/A122589,7785,859
2011-05-12$72.85$65.1633.6%9.6%20.2%19.0%33.6%6.9%2.2%1.5M-41.3M-153.3K0.8624.86N/AN/A141210,3005,894
2011-05-13$71.20$65.1635.4%10.1%21.7%21.6%35.8%1.7%-0.3%1.6M-35.6M-152.6K5.0065.92N/AN/A1310,3015,906
2011-05-16$69.46$65.1636.4%10.4%21.7%23.1%0.0%-1.0%0.7%1.5M-27.9M-146.8K0.3466.93N/AN/A28910,1865,909
2011-05-17$68.11$65.1636.6%10.5%22.2%23.5%34.3%2.7%-0.3%1.2M-21.2M-141.5K0.2020.19N/AN/A22510,1865,900
2011-05-18$70.29$65.1634.6%9.9%23.8%20.5%0.0%12.7%2.3%2.0M-29.8M-141.9K7.1420.02N/AN/A11210,1785,900
2011-05-19$70.07$65.1635.9%10.3%23.7%22.4%36.1%3.0%0.0%2.3M-30.5M-139.6K4.0086.85N/AN/A1510,1445,908
2011-05-20$69.59$65.1634.0%9.7%23.0%19.6%33.8%5.1%3.3%5.0M-27.7M-138.6K0.5169.06N/AN/A231210,1455,908
2011-05-23$68.77$65.1634.4%9.9%23.2%21.2%36.0%6.4%-0.1%586.1K-19.8M-129.9K0.9614.89N/AN/A56547,5335,189
2011-05-24$68.51$65.1633.5%9.6%22.9%20.3%34.4%6.1%1.6%590.5K-20.1M-131.1K1.6482.45N/AN/A15257,5785,227
2011-05-25$68.33$65.1634.2%9.8%22.5%21.4%37.4%6.6%0.2%568.1K-18.4M-129.7K3.9380.23N/AN/A6247,5785,249
2011-05-26$69.16$65.1632.0%9.2%23.2%17.9%38.3%7.7%2.2%594.7K-20.5M-129.6K0.1554.80N/AN/A357547,5795,273
2011-05-27$69.85$65.1633.3%9.5%23.7%19.9%28.7%5.6%0.8%655.5K-22.6M-136.7K0.0017.92N/AN/A2907,8395,311
2011-05-31$70.16$65.1633.0%9.4%23.6%19.4%28.3%6.2%-1.7%685.1K-23.1M-127.9K0.0426.57N/AN/A7937,6245,311