HTZ Options History — December 2011

In December 2011, HTZ traded between $46.35 and $52.00. ATM implied volatility averaged 56.5%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 4.1% (HV 20d: 52.4%). 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 14 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2011-12-07: Highest Volume — 2,404 contracts
  • 2011-12-14: Largest IV drop — 12.0% change
  • 2011-12-12: Highest IV Rank — 46.1%
  • 2011-12-01: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.47$46.35$52.00$49.65$50.91
Max Pain$43.85$43.44$47.78$47.78$43.44
ATM IV56.5%48.3%64.9%64.0%52.3%
Expected Move15.8%13.9%18.4%18.4%15.0%
HV 20d52.4%45.4%57.8%56.5%45.4%
HV 60d61.7%53.9%67.9%67.8%53.9%
IV Rank37.3%28.9%46.1%45.2%33.0%
IV Percentile63.3%56.0%70.2%69.4%59.9%
Term Structure1.4%-2.8%7.1%-2.8%-1.4%
VWIV55.2%46.3%64.7%63.2%53.0%
Skew 25d7.1%1.5%25.2%1.6%8.6%
Skew 10d18.9%-2.4%40.0%1.1%23.5%
Call IV 25d51.3%28.1%64.7%64.7%45.1%
Put IV 25d58.4%49.1%66.3%66.3%53.7%
Bid-Ask Spread %30.4112.3651.6439.6514.03
Gamma HHI0.270.230.310.280.24
Net GEX1.0M411.6K1.9M1.4M699.1K
Net DEX-29.4M-47.9M-16.3M-38.0M-27.1M
Net VEX-78.1K-127.0K-55.6K-127.0K-56.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.210.320.23
Total Volume256.90552,40467124
Total OI24,729.90513,73633,43033,43014,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$49.65$47.7864.0%18.4%56.5%45.2%63.2%1.6%-2.8%1.4M-38.0M-127.0K0.3239.65N/AN/A511627,2116,219
2011-12-02$51.39$47.7859.3%17.0%57.8%40.3%57.4%1.5%-2.1%1.7M-44.3M-115.9K0.1514.79N/AN/A1041526,0636,218
2011-12-05$51.91$43.4460.5%16.0%54.3%41.5%64.7%10.4%0.6%1.8M-47.5M-107.8K1.3320.49N/AN/A10113626,0926,214
2011-12-06$52.00$43.4460.2%15.8%54.0%41.2%62.0%7.7%3.2%1.8M-47.9M-105.4K0.0019.68N/AN/A48026,1306,246
2011-12-07$51.78$43.4460.0%15.7%52.4%41.0%55.8%9.5%2.5%1.9M-45.4M-101.8K0.0647.33N/AN/A2,27612826,1436,246
2011-12-08$49.13$43.4463.4%17.5%51.1%44.5%60.2%8.4%-0.4%1.4M-33.1M-98.2K0.1032.33N/AN/A1661626,3806,284
2011-12-09$50.26$43.4460.0%17.2%51.4%41.0%55.2%7.2%-2.1%1.8M-37.8M-98.3K0.1017.84N/AN/A48526,5566,298
2011-12-12$49.04$43.4464.9%17.4%51.4%46.1%59.9%7.6%0.6%1.4M-30.3M-84.0K0.0839.32N/AN/A91726,5446,303
2011-12-13$47.96$43.4464.8%16.5%51.3%46.0%56.7%6.9%1.2%1.1M-24.5M-77.7K0.1342.89N/AN/A2142826,5816,304
2011-12-14$47.00$43.4457.1%16.6%50.7%38.0%60.0%4.1%2.1%672.7K-19.2M-71.6K0.4951.64N/AN/A1025126,5866,326
2011-12-15$46.35$43.4455.5%15.9%48.7%36.4%57.4%5.0%2.1%572.3K-16.3M-66.5K2.2123.66N/AN/A214626,6056,355
2011-12-16$49.13$43.4453.0%15.2%51.7%33.7%53.3%8.3%4.5%565.7K-28.3M-65.1K0.2315.05N/AN/A1924426,6106,371
2011-12-19$46.48$43.4454.1%15.5%55.4%34.9%54.7%3.6%0.9%411.6K-17.0M-60.4K0.6142.14N/AN/A322010,7992,937
2011-12-20$48.31$43.4450.6%14.5%56.6%31.3%50.0%3.5%4.9%484.6K-19.9M-60.6K0.0033.55N/AN/A26010,8212,957
2011-12-21$48.18$43.4450.5%14.5%56.6%31.2%46.3%25.2%3.8%494.9K-19.6M-59.9K0.0921.51N/AN/A94810,8272,957
2011-12-22$49.44$43.4448.3%13.9%53.6%28.9%47.9%5.4%7.1%554.7K-22.5M-57.1K0.4431.61N/AN/A261210,8252,965
2011-12-23$49.78$43.4449.3%14.1%53.3%29.9%47.5%6.2%3.7%555.9K-23.4M-58.2K0.0342.07N/AN/A4861410,8392,974
2011-12-27$49.61$43.4450.3%14.4%51.3%31.0%49.7%5.7%2.1%606.5K-23.5M-55.6K0.0039.97N/AN/A5011,2292,983
2011-12-28$49.61$43.4455.4%15.9%51.3%36.3%54.7%3.7%-0.3%615.4K-23.8M-56.4K0.0136.60N/AN/A607511,2302,983
2011-12-29$50.87$43.4452.1%14.9%45.6%32.8%49.6%9.5%-0.6%681.3K-26.9M-57.4K0.0412.36N/AN/A29111,5642,988
2011-12-30$50.91$43.4452.3%15.0%45.4%33.0%53.0%8.6%-1.4%699.1K-27.1M-56.1K0.2314.03N/AN/A1012311,5772,988