HTZ Options History — September 2011

In September 2011, HTZ traded between $38.66 and $49.78. ATM implied volatility averaged 79.1%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 1.0% (HV 20d: 78.1%). Max pain ranged from $39.10 to $52.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2011-09-14: Highest Volume — 3,632 contracts
  • 2011-09-22: Largest IV spike — 19.8% change
  • 2011-09-12: Highest IV Rank — 81.7%
  • 2011-09-12: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.74$38.66$49.78$48.18$38.66
Max Pain$40.34$39.10$52.13$52.13$39.10
ATM IV79.1%68.2%99.3%70.2%75.5%
Expected Move21.9%19.5%24.1%20.1%21.7%
HV 20d78.1%68.5%91.1%87.9%78.8%
HV 60d68.0%62.4%72.8%62.6%72.8%
IV Rank60.8%49.5%81.7%51.6%57.1%
IV Percentile94.6%88.9%98.8%94.4%91.7%
Term Structure1.7%-5.7%8.5%-2.8%5.3%
VWIV77.3%71.4%83.7%71.4%76.7%
Skew 25d8.2%2.6%11.7%2.6%5.8%
Skew 10d19.0%-12.2%55.7%-0.9%29.8%
Call IV 25d73.3%64.0%83.0%65.5%75.6%
Put IV 25d81.6%68.2%91.6%68.2%81.4%
Bid-Ask Spread %32.9121.4146.6921.4127.87
Gamma HHI0.170.130.210.130.19
Net GEX530.1K271.1K851.5K566.8K432.9K
Net DEX-15.5M-34.0M-635.1K-15.6M-11.0M
Net VEX-161.7K-210.5K-130.8K-171.5K-138.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.026.150.422.37
Total Volume1,072.19333,632622,391
Total OI34,927.14325,68145,57039,36129,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$48.18$52.1370.2%20.1%87.9%51.6%0.0%2.6%-2.8%566.8K-15.6M-171.5K0.4221.41N/AN/A441830,6158,746
2011-09-02$44.74$52.1374.7%21.4%91.1%56.2%71.4%11.2%0.1%370.4K-6.4M-154.9K1.0721.95N/AN/A495330,4778,475
2011-09-06$42.88$39.1088.3%22.7%73.8%70.4%83.0%8.0%-3.6%271.1K-635.1K-135.8K0.2631.35N/AN/A69117630,4578,462
2011-09-07$44.83$39.1077.8%22.6%74.7%59.4%79.4%8.7%-2.4%426.6K-7.5M-149.6K0.0624.10N/AN/A1,75310031,0798,505
2011-09-08$43.66$39.1079.4%22.5%74.3%61.2%80.4%7.5%-1.7%352.4K-5.8M-153.4K0.0325.80N/AN/A2,4117331,9718,558
2011-09-09$42.70$39.1090.9%23.5%70.1%73.0%83.4%9.5%-5.0%365.3K-6.1M-165.8K3.1335.20N/AN/A4313233,8828,597
2011-09-12$41.96$39.1099.3%24.1%69.5%81.7%83.7%9.0%-5.7%323.5K-3.4M-156.5K0.5833.12N/AN/A27015833,9198,637
2011-09-13$43.53$39.1092.6%24.0%68.5%74.8%83.6%7.4%-4.3%385.7K-8.5M-168.6K0.3035.57N/AN/A1,05332134,1878,667
2011-09-14$49.39$39.1088.9%22.2%82.8%71.0%81.3%10.5%1.1%753.6K-32.4M-205.1K0.4125.02N/AN/A2,5771,05535,4578,933
2011-09-15$49.61$39.1075.7%21.7%82.8%57.3%76.4%8.1%0.6%843.2K-33.7M-210.5K0.2039.59N/AN/A2945836,3979,173
2011-09-16$49.78$39.1073.8%21.2%74.7%55.3%73.1%9.3%2.8%851.5K-34.0M-205.5K6.1529.17N/AN/A2313936,5028,935
2011-09-19$48.18$39.1068.8%19.7%73.4%50.2%72.5%11.7%7.6%773.7K-33.3M-195.2K0.1044.64N/AN/A8338621,0544,627
2011-09-20$45.53$39.1068.4%19.6%75.7%49.7%72.6%7.9%7.7%743.7K-27.1M-178.6K0.0239.12N/AN/A1,4823021,5544,678
2011-09-21$42.88$39.1068.2%19.5%79.0%49.5%75.3%7.1%8.5%609.8K-18.2M-156.8K0.0741.71N/AN/A7414921,3204,683
2011-09-22$38.92$39.1081.7%23.4%83.0%63.5%73.2%9.1%0.7%404.1K-8.3M-130.8K0.1138.50N/AN/A1,92220321,3584,729
2011-09-23$39.75$39.1082.0%23.5%83.4%63.8%83.3%11.4%0.2%478.8K-12.9M-139.6K0.0746.69N/AN/A3892522,2834,841
2011-09-26$40.66$39.1077.0%22.1%83.3%58.6%75.8%10.5%8.3%555.1K-15.3M-140.6K0.4834.77N/AN/A54025822,8824,862
2011-09-27$41.27$39.1078.6%22.5%78.4%60.3%74.3%7.5%5.9%585.8K-18.0M-152.2K0.4743.43N/AN/A231022,8745,110
2011-09-28$40.70$39.1076.9%22.0%78.1%58.5%75.3%5.3%6.6%549.5K-15.3M-143.5K2.9725.87N/AN/A3741,11122,8655,104
2011-09-29$40.66$39.1072.3%20.7%77.4%53.7%71.7%4.6%6.1%488.8K-12.7M-142.2K0.1526.21N/AN/A4877122,7736,020
2011-09-30$38.66$39.1075.5%21.7%78.8%57.1%76.7%5.8%5.3%432.9K-11.0M-138.0K2.3727.87N/AN/A7091,68223,2036,019