HTZ Options History — November 2011

In November 2011, HTZ traded between $43.40 and $52.91. ATM implied volatility averaged 68.2%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 7.5% (HV 20d: 60.7%). Max pain ranged from $43.44 to $47.78. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-11-04: Highest Volume — 2,887 contracts
  • 2011-11-02: Largest IV drop — 11.6% change
  • 2011-11-01: Highest IV Rank — 66.9%
  • 2011-11-01: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.51$43.40$52.91$47.52$49.13
Max Pain$45.92$43.44$47.78$43.44$47.78
ATM IV68.2%61.2%84.9%84.9%61.2%
Expected Move19.7%17.5%24.3%24.3%17.5%
HV 20d60.7%54.3%64.9%60.5%57.2%
HV 60d70.5%67.4%73.3%73.3%68.3%
IV Rank49.5%42.3%66.9%66.9%42.3%
IV Percentile78.9%67.9%96.0%96.0%67.9%
Term Structure-0.5%-4.5%3.2%-4.1%1.7%
VWIV69.2%61.6%85.3%85.3%61.6%
Skew 25d5.7%-0.9%16.1%10.5%-0.9%
Skew 10d7.2%-26.0%27.0%27.0%1.5%
Call IV 25d67.3%63.0%82.5%82.5%63.4%
Put IV 25d73.0%62.5%93.0%93.0%62.5%
Bid-Ask Spread %38.7617.6262.4118.9746.47
Gamma HHI0.240.190.440.200.26
Net GEX1.4M600.9K2.4M976.5K1.3M
Net DEX-40.9M-68.0M-14.1M-36.8M-33.7M
Net VEX-151.1K-186.1K-104.8K-168.3K-114.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.013.200.210.01
Total Volume836.048322,8872,4521,922
Total OI35,886.14332,16240,26533,18632,606

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$47.52$43.4484.9%24.3%60.5%66.9%85.3%10.5%-4.1%976.5K-36.8M-168.3K0.2118.97N/AN/A2,02243025,5927,594
2011-11-02$48.83$43.4475.1%21.5%59.8%56.6%74.1%7.0%-4.3%1.3M-43.1M-171.7K0.8146.88N/AN/A28723127,1457,987
2011-11-03$49.00$43.4468.8%19.7%58.0%50.2%69.4%3.5%1.6%1.3M-43.7M-170.8K1.8631.36N/AN/A16530727,2908,178
2011-11-04$51.82$43.4464.4%20.1%60.3%45.6%73.4%16.1%-3.0%1.6M-56.0M-174.1K0.0438.95N/AN/A2,77411327,3718,096
2011-11-07$51.04$43.4465.8%19.4%59.6%47.1%68.0%8.0%3.2%1.7M-58.2M-182.9K0.9953.86N/AN/A41641028,9688,191
2011-11-08$52.91$43.4465.1%19.5%60.4%46.3%67.6%6.6%-4.0%1.9M-68.0M-186.1K0.5961.24N/AN/A1247429,2618,581
2011-11-09$49.74$43.4471.3%20.8%64.4%52.7%75.9%9.4%-1.1%1.6M-52.3M-175.3K3.2062.41N/AN/A29092829,2988,586
2011-11-10$50.61$43.4465.1%18.7%64.5%46.3%66.2%7.9%3.1%1.7M-53.8M-179.5K0.0139.01N/AN/A465529,3469,399
2011-11-11$51.65$43.4465.1%18.7%64.4%46.3%63.9%6.7%-1.1%1.9M-60.0M-175.0K0.7752.01N/AN/A22016929,2559,401
2011-11-14$50.35$47.7866.4%19.0%61.9%47.6%68.0%7.1%2.1%1.8M-54.0M-168.3K0.0147.18N/AN/A364629,5889,347
2011-11-15$51.52$47.7865.6%18.8%61.3%46.8%66.3%6.4%-0.7%1.9M-59.7M-163.1K0.6036.91N/AN/A59235529,4789,350
2011-11-16$49.30$47.7869.4%19.9%63.4%50.8%68.6%6.4%-1.5%1.8M-47.2M-156.5K0.3019.58N/AN/A79624229,5939,636
2011-11-17$47.57$47.7871.7%20.6%64.9%53.2%71.8%3.5%-4.5%1.8M-37.1M-148.7K0.1833.56N/AN/A54010029,9889,874
2011-11-18$47.13$47.7866.0%18.9%64.0%47.2%65.2%5.2%0.3%2.4M-32.4M-141.3K0.0947.55N/AN/A1,92916830,3279,938
2011-11-21$46.18$47.7866.2%19.0%62.1%47.5%67.4%6.0%2.1%877.6K-23.9M-129.7K0.1120.93N/AN/A1371525,9826,180
2011-11-22$46.05$47.7865.4%18.7%59.7%46.6%66.8%-0.3%0.8%908.0K-25.0M-127.0K0.0246.14N/AN/A412925,9936,189
2011-11-23$43.79$47.7868.0%19.5%61.9%49.3%66.0%3.0%2.0%677.0K-16.7M-113.2K0.2049.17N/AN/A1372626,2506,198
2011-11-25$43.40$47.7869.0%19.8%54.3%50.4%68.8%3.7%-0.8%600.9K-14.1M-104.8K0.3919.69N/AN/A23926,2726,205
2011-11-28$45.44$47.7869.5%19.9%56.5%50.9%70.9%3.7%0.9%831.9K-20.9M-111.7K0.1624.50N/AN/A2504026,2786,204
2011-11-29$45.74$47.7868.2%19.5%54.7%49.5%68.4%0.6%-3.5%877.3K-22.1M-110.6K0.2017.62N/AN/A46926,3646,230
2011-11-30$49.13$47.7861.2%17.5%57.2%42.3%61.6%-0.9%1.7%1.3M-33.7M-114.7K0.0146.47N/AN/A1,9041826,3836,223