HTZ Options History — July 2011

In July 2011, HTZ traded between $61.12 and $71.63. ATM implied volatility averaged 44.3%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 11.9% (HV 20d: 32.5%). Max pain ranged from $60.82 to $69.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 10.65.

Notable Days

  • 2011-07-29: Highest Volume — 3,820 contracts
  • 2011-07-08: Largest IV spike — 20.0% change
  • 2011-07-29: Highest IV Rank — 70.0%
  • 2011-07-29: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.96$61.12$71.63$70.59$61.12
Max Pain$66.03$60.82$69.50$60.82$60.82
ATM IV44.3%30.5%56.3%33.6%56.3%
Expected Move13.1%9.6%16.1%9.6%16.1%
HV 20d32.5%24.9%41.7%41.7%32.4%
HV 60d31.5%30.3%33.6%30.3%33.3%
IV Rank46.7%19.7%70.0%25.6%70.0%
IV Percentile54.7%3.6%85.3%9.1%85.3%
Term Structure0.4%-2.3%8.9%8.9%-1.7%
VWIV45.6%33.4%55.8%33.4%55.8%
Skew 25d4.3%1.6%8.0%3.0%3.1%
Skew 10d9.6%-18.0%21.8%9.8%19.7%
Call IV 25d43.9%33.4%53.7%33.4%53.7%
Put IV 25d48.2%36.3%56.8%36.3%56.8%
Bid-Ask Spread %39.4524.5966.6647.6936.93
Gamma HHI0.270.210.330.270.33
Net GEX1.0M563.7K1.4M1.1M989.1K
Net DEX-29.2M-40.2M-18.3M-36.5M-18.3M
Net VEX-173.7K-213.8K-137.6K-166.9K-190.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.650.00153.000.000.00
Total Volume886.1363,820713,820
Total OI15,981.7513,49921,62213,49921,191

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$70.59$60.8233.6%9.6%41.7%25.6%33.4%3.0%8.9%1.1M-36.5M-166.9K0.0047.69N/AN/A71010,8982,601
2011-07-05$70.46$65.1637.3%12.0%39.7%33.0%0.0%5.7%-1.1%1.2M-36.3M-161.1K153.0030.46N/AN/A117610,8982,601
2011-07-06$71.63$65.1635.2%12.6%39.9%28.8%39.2%8.0%-2.3%1.2M-38.3M-163.9K0.0034.25N/AN/A142010,8972,775
2011-07-07$71.59$65.1630.5%11.1%38.0%19.7%37.9%5.0%1.0%1.2M-39.2M-160.5K0.0032.12N/AN/A656210,7942,775
2011-07-08$70.68$65.1636.6%11.8%38.6%31.6%0.0%6.2%-0.6%1.2M-36.6M-163.3K0.9530.85N/AN/A302911,2232,775
2011-07-11$67.94$65.1639.7%11.6%39.4%37.7%46.9%6.3%-1.3%1.1M-29.2M-154.8K0.0127.44N/AN/A123111,2102,776
2011-07-12$66.64$65.1643.3%12.6%40.4%44.7%40.8%6.0%-1.1%994.9K-26.3M-149.4K0.0266.66N/AN/A306511,1602,779
2011-07-13$66.16$65.1640.2%11.9%26.1%38.6%41.1%5.2%-0.1%846.5K-23.1M-144.7K1.3225.57N/AN/A648511,0592,781
2011-07-14$64.81$65.1643.3%12.4%25.9%44.8%41.2%4.8%-2.0%756.0K-19.2M-137.6K0.0524.59N/AN/A2351211,1202,861
2011-07-15$64.64$65.1646.7%13.4%25.9%51.3%46.3%4.3%-1.7%563.7K-20.5M-139.8K0.0828.80N/AN/A2,93423311,0732,873
2011-07-18$64.21$65.1648.6%13.9%24.9%55.1%42.6%1.8%0.9%939.0K-22.0M-160.6K0.1045.19N/AN/A1,05410612,0512,577
2011-07-19$66.51$69.5046.3%13.3%28.1%50.5%45.2%4.8%2.2%1.1M-28.1M-176.5K0.1352.59N/AN/A1,25815912,3842,671
2011-07-20$68.11$65.1649.8%14.3%28.8%57.5%50.3%6.2%0.0%1.2M-36.5M-192.2K0.0460.12N/AN/A1,3734913,2082,797
2011-07-21$68.11$65.1648.6%13.9%28.2%55.0%50.5%3.0%2.1%1.4M-40.2M-205.2K6.3554.62N/AN/A2771,76614,2682,846
2011-07-22$68.11$69.5048.0%13.8%28.2%53.8%47.6%2.2%2.3%1.1M-36.3M-213.8K0.1340.81N/AN/A31514,3434,611
2011-07-25$66.94$69.5049.9%14.3%28.8%57.6%50.4%1.6%2.4%1.1M-31.6M-205.1K50.8338.81N/AN/A214014,3564,616
2011-07-26$66.20$69.5050.2%14.4%29.1%58.2%48.3%2.4%1.2%1.0M-28.8M-201.5K0.0340.46N/AN/A91214,3564,735
2011-07-27$63.47$69.5051.7%14.8%31.7%61.2%52.8%4.0%-1.1%878.4K-18.6M-183.6K0.0036.48N/AN/A1,468614,3624,712
2011-07-28$61.34$69.5050.3%14.4%33.3%58.5%50.7%2.7%0.1%954.3K-18.6M-203.2K0.0034.56N/AN/A1,007316,9064,716
2011-07-29$61.12$60.8256.3%16.1%32.4%70.0%55.8%3.1%-1.7%989.1K-18.3M-190.0K0.0036.93N/AN/A3,8101016,4724,719