HTZ Options History — August 2011

In August 2011, HTZ traded between $40.44 and $60.56. ATM implied volatility averaged 74.2%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 0.2% (HV 20d: 74.1%). Max pain ranged from $52.13 to $65.16. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 9.17.

Notable Days

2011-08-02: Highest Volume — 9,431 contracts
2011-08-08: Largest IV spike — 53.0% change
2011-08-05: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 25.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.58	$40.44	$60.56	$60.56	$48.65
Max Pain	$55.72	$52.13	$65.16	$60.82	$52.13
ATM IV	74.2%	53.1%	116.9%	55.0%	69.0%
Expected Move	20.2%	15.2%	25.3%	15.8%	19.8%
HV 20d	74.1%	30.5%	96.0%	30.5%	93.7%
HV 60d	52.9%	33.2%	62.8%	33.2%	62.8%
IV Rank	64.1%	39.2%	100.0%	67.6%	50.3%
IV Percentile	94.8%	83.3%	100.0%	84.9%	93.7%
Term Structure	-1.9%	-15.2%	11.2%	-0.3%	-3.2%
VWIV	68.4%	45.7%	88.7%	55.2%	68.4%
Skew 25d	7.8%	0.5%	32.6%	0.5%	5.0%
Skew 10d	16.1%	-8.8%	43.5%	-6.9%	40.0%
Call IV 25d	67.7%	40.2%	87.3%	54.8%	65.4%
Put IV 25d	75.5%	55.1%	94.9%	55.4%	70.3%
Bid-Ask Spread %	47.18	22.21	86.03	35.07	31.35
Gamma HHI	0.16	0.10	0.26	0.26	0.13
Net GEX	485.1K	81.2K	1.6M	1.3M	548.1K
Net DEX	1.4M	-22.2M	13.7M	-22.2M	-15.4M
Net VEX	-137.0K	-199.7K	-88.0K	-199.0K	-163.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.17	0.02	86.78	0.03	0.82
Total Volume	1,511.609	87	9,431	448	2,259
Total OI	33,264.435	23,961	37,818	23,961	37,818

Daily Data (23 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
2011-08-01	$60.56	$60.82	55.0%	15.8%	30.5%	67.6%	55.2%	0.5%	-0.3%	1.3M	-22.2M	-199.0K	0.03	35.07	N/A	N/A	434	14	19,237	4,724
2011-08-02	$56.43	$60.82	61.8%	17.7%	37.7%	80.9%	60.4%	0.5%	-4.2%	1.0M	-8.7M	-164.5K	0.35	37.98	N/A	N/A	6,982	2,449	19,796	4,738
2011-08-03	$57.73	$60.82	53.1%	15.2%	38.3%	64.0%	45.7%	14.8%	-0.5%	1.6M	-16.2M	-199.7K	0.08	22.21	N/A	N/A	967	74	24,216	5,290
2011-08-04	$52.48	$60.82	63.1%	18.1%	48.5%	83.4%	65.4%	4.3%	-2.4%	965.5K	-2.2M	-152.8K	86.78	37.09	N/A	N/A	20	1,659	24,177	5,316
2011-08-05	$51.22	$65.16	72.3%	18.7%	48.5%	100.0%	65.5%	5.3%	-6.1%	690.0K	3.7M	-149.7K	4.04	35.13	N/A	N/A	277	1,118	24,384	6,953
2011-08-08	$43.83	$65.16	110.6%	24.8%	69.1%	100.0%	88.5%	3.7%	-15.2%	300.8K	12.1M	-116.5K	1.90	48.59	N/A	N/A	1,042	1,977	24,567	7,880
2011-08-09	$45.26	$56.47	116.9%	25.0%	71.8%	100.0%	88.7%	8.8%	-12.5%	271.2K	12.6M	-127.1K	0.42	86.03	N/A	N/A	1,235	520	25,401	9,149
2011-08-10	$43.74	$56.47	110.4%	25.3%	71.8%	93.3%	65.6%	8.9%	-12.3%	292.7K	11.0M	-136.7K	2.74	73.81	N/A	N/A	366	1,001	26,527	9,484
2011-08-11	$46.83	$56.47	81.4%	23.3%	78.4%	63.2%	83.2%	16.1%	-8.1%	421.9K	6.2M	-158.8K	2.25	75.72	N/A	N/A	54	121	26,513	9,766
2011-08-12	$47.83	$56.47	80.9%	23.2%	79.4%	62.7%	79.2%	6.7%	-9.3%	470.7K	4.3M	-163.1K	10.86	84.83	N/A	N/A	81	879	26,547	9,671
2011-08-15	$50.17	$56.47	64.8%	18.6%	82.5%	46.0%	67.7%	7.0%	6.4%	543.4K	4.0M	-140.0K	0.57	66.13	N/A	N/A	693	395	26,593	8,848
2011-08-16	$48.91	$52.13	63.2%	18.1%	80.6%	44.3%	64.0%	5.1%	2.6%	477.6K	4.9M	-129.9K	62.67	67.76	N/A	N/A	1	86	27,205	8,791
2011-08-17	$48.65	$52.13	60.6%	17.4%	79.4%	41.6%	66.9%	4.0%	5.2%	434.9K	5.4M	-123.3K	0.38	66.45	N/A	N/A	146	55	27,205	8,702
2011-08-18	$44.27	$52.13	70.0%	20.1%	83.7%	51.4%	58.5%	3.9%	-1.2%	81.2K	13.7M	-99.5K	0.06	69.92	N/A	N/A	1,259	76	26,428	8,702
2011-08-19	$42.18	$52.13	82.2%	23.6%	83.8%	64.0%	80.1%	1.6%	-6.6%	128.7K	12.5M	-112.0K	0.29	31.85	N/A	N/A	372	108	27,614	8,743
2011-08-22	$40.92	$52.13	81.9%	23.5%	83.8%	63.7%	80.9%	6.3%	-7.5%	178.1K	4.8M	-95.8K	12.63	29.81	N/A	N/A	23	291	24,723	5,991
2011-08-23	$40.44	$52.13	77.6%	22.2%	83.8%	59.3%	51.9%	17.2%	-5.0%	110.5K	7.3M	-88.0K	17.48	28.47	N/A	N/A	67	1,159	24,745	6,158
2011-08-24	$43.14	$52.13	71.0%	20.4%	89.2%	52.4%	69.6%	10.1%	4.1%	96.3K	7.5M	-114.7K	0.27	23.20	N/A	N/A	1,862	496	24,788	8,108
2011-08-25	$42.57	$52.13	74.1%	21.2%	89.0%	55.6%	72.1%	5.4%	5.5%	197.8K	2.0M	-115.6K	3.11	30.70	N/A	N/A	177	550	26,556	7,561
2011-08-26	$43.70	$52.13	66.1%	18.9%	90.3%	47.3%	66.9%	32.6%	11.2%	300.1K	4.2K	-130.3K	2.82	54.20	N/A	N/A	63	177	26,709	7,943
2011-08-29	$47.09	$52.13	58.3%	16.7%	96.0%	39.2%	56.1%	3.6%	10.5%	409.9K	-6.7M	-133.6K	0.23	23.84	N/A	N/A	1,046	238	26,767	8,011
2011-08-30	$47.65	$52.13	62.9%	18.0%	93.8%	44.0%	73.1%	9.0%	5.3%	355.8K	-8.9M	-137.0K	0.02	25.02	N/A	N/A	1,863	35	27,789	8,248
2011-08-31	$48.65	$52.13	69.0%	19.8%	93.7%	50.3%	68.4%	5.0%	-3.2%	548.1K	-15.4M	-163.1K	0.82	31.35	N/A	N/A	1,240	1,019	29,547	8,271