HTZ Options History — October 2011

In October 2011, HTZ traded between $35.23 and $52.82. ATM implied volatility averaged 72.5%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 1.2% (HV 20d: 73.8%). Max pain ranged from $39.10 to $43.44. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2011-10-24: Highest Volume — 2,481 contracts
  • 2011-10-13: Largest IV spike — 14.4% change
  • 2011-10-03: Highest IV Rank — 70.4%
  • 2011-10-03: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.47$35.23$52.82$35.23$50.39
Max Pain$42.41$39.10$43.44$39.10$43.44
ATM IV72.5%65.7%88.3%88.3%71.9%
Expected Move21.1%18.8%25.3%25.3%20.6%
HV 20d73.8%57.0%87.3%81.1%57.0%
HV 60d78.7%74.8%81.0%74.8%79.2%
IV Rank54.0%46.9%70.4%70.4%53.3%
IV Percentile86.6%79.0%96.8%96.8%86.1%
Term Structure1.5%-6.7%10.0%2.5%-6.7%
VWIV74.6%63.3%113.5%80.9%74.7%
Skew 25d8.1%-0.5%12.6%6.1%5.4%
Skew 10d22.8%-22.6%49.7%13.5%20.5%
Call IV 25d71.0%63.0%86.6%86.6%69.6%
Put IV 25d79.1%70.2%93.1%92.7%75.0%
Bid-Ask Spread %42.2918.6968.0725.8224.30
Gamma HHI0.210.140.520.150.24
Net GEX926.3K238.4K2.7M238.4K1.3M
Net DEX-31.0M-55.5M-896.7K-896.7K-46.6M
Net VEX-163.1K-182.3K-121.3K-121.3K-166.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.002.730.040.25
Total Volume801.524552,4812,024254
Total OI32,946.47629,65835,16731,39733,092

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$35.23$39.1088.3%25.3%81.1%70.4%80.9%6.1%2.5%238.4K-896.7K-121.3K0.0425.82N/AN/A1,9547023,6977,700
2011-10-04$37.49$39.1087.9%25.2%84.3%69.9%113.5%7.8%10.0%318.9K-4.7M-137.1K0.0331.34N/AN/A8622824,1457,759
2011-10-05$39.05$39.1077.5%22.2%84.0%59.2%76.7%4.2%6.8%412.2K-10.7M-148.8K0.0526.60N/AN/A81324,7307,762
2011-10-06$41.09$39.1074.1%21.2%86.1%55.6%63.3%-0.5%7.5%500.5K-17.2M-156.6K0.0122.70N/AN/A1,236924,9517,767
2011-10-07$41.88$39.1068.7%21.7%86.1%50.1%75.6%8.7%2.1%544.4K-17.6M-160.4K0.0926.26N/AN/A5274624,2867,769
2011-10-10$43.79$43.4472.0%22.5%87.3%53.5%78.0%8.4%-0.9%665.8K-25.1M-167.5K0.0029.62N/AN/A1,083324,7937,807
2011-10-11$44.40$43.4472.0%22.2%86.5%53.4%77.2%11.8%0.5%718.1K-27.3M-164.2K0.1230.76N/AN/A4044724,8627,810
2011-10-12$46.00$43.4466.2%20.9%74.2%47.4%75.8%6.8%0.7%874.6K-35.1M-176.5K0.4543.22N/AN/A1,65574225,0357,812
2011-10-13$46.61$43.4475.7%21.7%74.4%57.3%79.3%12.6%0.8%855.3K-35.8M-176.5K0.0134.21N/AN/A55025,3538,527
2011-10-14$47.70$43.4470.9%20.3%74.9%52.3%71.9%5.9%2.3%982.2K-41.4M-182.3K0.1552.85N/AN/A1672525,4168,527
2011-10-17$45.22$43.4476.6%22.0%76.4%58.2%71.7%9.4%-0.2%808.8K-31.4M-165.0K0.0366.90N/AN/A3941225,3808,521
2011-10-18$46.79$43.4471.7%20.5%74.7%53.1%72.0%10.8%3.7%943.9K-36.5M-166.1K0.2840.88N/AN/A2737625,6868,532
2011-10-19$46.18$43.4471.8%20.6%71.4%53.2%70.9%6.5%0.1%1.0M-37.1M-166.1K0.1650.66N/AN/A5749325,8558,606
2011-10-20$46.09$43.4471.7%20.6%60.9%53.1%76.1%11.5%2.9%990.0K-33.3M-156.4K0.7244.63N/AN/A37126725,9848,637
2011-10-21$47.61$43.4468.9%19.7%61.3%50.2%70.4%12.0%4.1%2.7M-42.3M-163.5K2.7368.07N/AN/A7520526,5718,596
2011-10-24$49.74$43.4468.5%19.6%62.4%49.8%66.3%7.7%2.0%889.1K-36.0M-165.7K0.0167.09N/AN/A2,4562522,3807,278
2011-10-25$47.31$43.4470.0%20.1%65.9%51.3%69.8%11.5%-3.0%991.8K-33.2M-163.8K1.2565.64N/AN/A38448224,7707,091
2011-10-26$47.83$43.4466.7%19.1%65.4%47.9%67.0%9.2%2.3%989.2K-33.2M-164.7K0.1118.69N/AN/A4634925,0187,475
2011-10-27$51.56$43.4465.7%18.8%69.5%46.9%67.2%7.1%-1.4%1.3M-50.5M-178.1K0.0458.50N/AN/A1,0293925,3957,523
2011-10-28$52.82$43.4466.4%19.0%65.6%47.6%69.0%7.5%-3.6%1.4M-55.5M-177.7K0.0859.43N/AN/A2922225,4247,554
2011-10-31$50.39$43.4471.9%20.6%57.0%53.3%74.7%5.4%-6.7%1.3M-46.6M-166.7K0.2524.30N/AN/A2035125,5447,548