HTZ Options History — June 2011

In June 2011, HTZ traded between $61.25 and $68.98. ATM implied volatility averaged 39.1%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 3.4% (HV 20d: 35.7%). Max pain ranged from $60.82 to $69.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 7.83.

Notable Days

2011-06-15: Highest Volume — 1,801 contracts
2011-06-08: Largest IV spike — 15.5% change
2011-06-16: Highest IV Rank — 45.5%
2011-06-16: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.79	$61.25	$68.98	$67.85	$68.98
Max Pain	$64.37	$60.82	$69.50	$65.16	$60.82
ATM IV	39.1%	32.8%	43.7%	32.8%	35.5%
Expected Move	11.3%	9.4%	12.5%	9.4%	10.2%
HV 20d	35.7%	24.5%	42.9%	25.8%	41.6%
HV 60d	28.6%	24.4%	32.0%	24.8%	29.9%
IV Rank	34.9%	19.2%	45.5%	19.2%	29.4%
IV Percentile	29.2%	6.0%	50.4%	6.0%	14.7%
Term Structure	2.1%	-1.4%	7.1%	2.0%	7.1%
VWIV	38.3%	22.7%	44.4%	22.7%	36.7%
Skew 25d	7.1%	-0.0%	15.1%	4.9%	13.6%
Skew 10d	10.4%	1.2%	22.3%	3.8%	6.8%
Call IV 25d	34.8%	24.7%	42.5%	26.2%	24.7%
Put IV 25d	41.9%	31.1%	47.1%	31.1%	38.4%
Bid-Ask Spread %	44.22	18.06	78.57	58.32	52.14
Gamma HHI	0.26	0.22	0.31	0.23	0.26
Net GEX	616.8K	185.4K	972.9K	532.5K	972.9K
Net DEX	-16.8M	-28.7M	-4.6M	-17.8M	-28.7M
Net VEX	-122.8K	-141.3K	-98.0K	-123.5K	-141.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.83	0.00	101.00	14.94	0.01
Total Volume	381	4	1,801	114	1,541
Total OI	12,771.045	11,126	16,020	12,941	12,119

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-06-01	$67.85	$65.16	32.8%	9.4%	25.8%	19.2%	22.7%	4.9%	2.0%	532.5K	-17.8M	-123.5K	14.94	58.32	N/A	N/A	7	107	7,627	5,314
2011-06-02	$67.72	$65.16	34.9%	10.0%	24.5%	22.4%	36.4%	5.5%	-1.0%	506.1K	-16.4M	-123.1K	0.28	52.57	N/A	N/A	43	13	7,605	5,377
2011-06-03	$66.51	$69.50	34.5%	10.9%	24.6%	21.8%	35.0%	2.4%	1.2%	443.1K	-14.9M	-119.2K	0.08	77.15	N/A	N/A	236	20	7,608	5,375
2011-06-06	$64.47	$69.50	36.5%	11.2%	26.0%	25.0%	38.4%	4.3%	-0.1%	380.9K	-10.8M	-115.3K	0.77	26.75	N/A	N/A	35	26	7,843	5,394
2011-06-07	$64.42	$69.50	36.9%	11.2%	26.1%	27.8%	0.0%	5.1%	-0.3%	375.0K	-10.7M	-114.8K	101.00	27.20	N/A	N/A	2	233	7,850	5,419
2011-06-08	$62.64	$69.50	42.6%	11.1%	27.2%	37.5%	0.0%	4.1%	2.0%	231.3K	-5.9M	-107.0K	17.18	22.00	N/A	N/A	55	945	7,850	5,635
2011-06-09	$63.34	$69.50	36.7%	10.5%	28.0%	31.7%	41.4%	4.3%	3.5%	360.9K	-8.3M	-106.6K	0.00	25.67	N/A	N/A	0	5	7,888	5,452
2011-06-10	$61.25	$69.50	39.6%	11.3%	28.0%	37.4%	37.8%	4.1%	0.8%	185.4K	-4.8M	-98.0K	0.11	24.93	N/A	N/A	288	32	7,888	5,457
2011-06-13	$61.34	$69.50	39.2%	11.2%	27.7%	36.6%	0.0%	7.2%	0.8%	211.8K	-4.6M	-98.7K	0.24	28.85	N/A	N/A	3	1	8,360	5,486
2011-06-14	$66.90	$69.50	41.4%	11.9%	42.7%	40.9%	41.2%	-0.0%	-1.4%	631.2K	-17.7M	-116.8K	0.10	42.85	N/A	N/A	942	90	8,128	5,485
2011-06-15	$65.38	$60.82	43.6%	12.5%	42.9%	45.3%	44.4%	4.5%	-1.0%	647.8K	-16.7M	-117.5K	0.18	43.36	N/A	N/A	1,529	272	8,723	5,534
2011-06-16	$65.20	$60.82	43.7%	12.5%	41.1%	45.5%	43.3%	12.5%	-0.8%	971.0K	-19.4M	-130.1K	0.52	70.59	N/A	N/A	207	107	10,221	5,799
2011-06-17	$66.46	$60.82	42.6%	12.2%	41.9%	43.3%	38.3%	6.9%	1.8%	954.9K	-23.0M	-132.7K	22.84	51.78	N/A	N/A	13	289	10,009	5,870
2011-06-20	$66.51	$60.82	42.8%	12.3%	41.8%	43.7%	40.9%	5.7%	2.1%	729.9K	-20.7M	-134.9K	0.11	33.22	N/A	N/A	44	5	8,583	2,543
2011-06-21	$67.68	$60.82	39.2%	11.2%	42.2%	36.7%	36.9%	5.2%	4.8%	769.9K	-23.1M	-137.5K	0.00	60.08	N/A	N/A	15	0	8,623	2,545
2011-06-22	$66.72	$60.82	40.7%	11.7%	42.5%	39.7%	40.7%	3.4%	4.0%	764.1K	-21.8M	-133.5K	1.43	37.46	N/A	N/A	7	9	8,638	2,545
2011-06-23	$66.51	$60.82	40.5%	11.6%	42.5%	39.2%	40.7%	12.5%	3.6%	751.0K	-19.9M	-130.9K	2.26	31.82	N/A	N/A	16	37	8,639	2,547
2011-06-24	$65.99	$60.82	40.3%	11.6%	42.3%	38.8%	40.5%	8.7%	3.6%	753.0K	-19.5M	-130.0K	0.00	42.09	N/A	N/A	6	0	8,656	2,552
2011-06-27	$66.12	$60.82	42.2%	12.1%	42.1%	42.6%	36.0%	12.4%	3.1%	762.3K	-19.5M	-129.1K	2.11	18.06	N/A	N/A	15	32	8,661	2,552
2011-06-28	$67.46	$60.82	37.3%	10.7%	42.8%	33.0%	37.6%	12.7%	4.9%	804.5K	-22.3M	-130.1K	0.31	78.57	N/A	N/A	61	20	8,666	2,582
2011-06-29	$67.85	$60.82	35.9%	10.3%	41.2%	30.2%	39.0%	15.1%	5.8%	829.3K	-23.8M	-131.6K	0.00	67.32	N/A	N/A	1,074	0	8,723	2,592
2011-06-30	$68.98	$60.82	35.5%	10.2%	41.6%	29.4%	36.7%	13.6%	7.1%	972.9K	-28.7M	-141.3K	0.01	52.14	N/A	N/A	1,520	21	9,527	2,592