HTZ Options History — January 2012

In January 2012, HTZ traded between $51.91 and $60.90. ATM implied volatility averaged 45.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 11.9% (HV 20d: 33.4%). Max pain ranged from $39.10 to $52.13. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2012-01-11: Highest Volume — 4,902 contracts
  • 2012-01-27: Largest IV spike — 21.6% change
  • 2012-01-03: Highest IV Rank — 32.7%
  • 2012-01-03: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.23$51.91$60.90$51.91$59.08
Max Pain$45.61$39.10$52.13$43.44$52.13
ATM IV45.3%36.6%52.0%52.0%45.1%
Expected Move13.5%11.6%14.9%14.9%12.9%
HV 20d33.4%23.0%45.4%44.3%26.0%
HV 60d49.9%44.0%53.2%53.1%44.0%
IV Rank25.7%16.8%32.7%32.7%25.6%
IV Percentile46.2%17.9%59.1%59.1%46.4%
Term Structure2.8%-0.2%6.1%-0.2%4.7%
VWIV47.6%43.2%52.3%50.3%48.2%
Skew 25d8.0%-2.5%17.2%10.4%1.1%
Skew 10d18.0%-3.1%34.5%33.3%11.7%
Call IV 25d42.9%37.2%47.0%42.8%46.9%
Put IV 25d50.9%42.1%55.1%53.2%48.0%
Bid-Ask Spread %56.1414.3986.6226.0121.58
Gamma HHI0.290.230.410.250.24
Net GEX1.0M707.9K1.6M742.3K867.1K
Net DEX-42.6M-55.2M-29.4M-29.4M-39.8M
Net VEX-76.8K-94.1K-50.8K-52.0K-90.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.006.520.046.52
Total Volume863.5464,90212146
Total OI15,936.1511,29819,86014,68113,547

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$51.91$43.4452.0%14.9%44.3%32.7%50.3%10.4%-0.2%742.3K-29.4M-52.0K0.0426.01N/AN/A116511,6693,012
2012-01-04$53.30$43.4447.3%13.6%45.1%27.8%47.1%17.2%5.3%814.3K-33.2M-50.8K0.2214.39N/AN/A1,95043011,7223,011
2012-01-05$52.56$43.4442.6%12.2%45.4%22.9%43.2%16.4%6.1%902.3K-33.1M-61.8K0.0322.11N/AN/A4631412,5483,389
2012-01-06$52.78$39.1040.2%13.8%45.4%20.5%47.7%6.0%2.0%994.6K-35.0M-61.0K0.6032.64N/AN/A1,00060212,8513,368
2012-01-09$53.52$39.1042.4%14.4%41.0%22.7%0.0%7.5%1.2%1.1M-38.5M-69.0K4.2932.76N/AN/A5925113,7963,963
2012-01-10$54.95$39.1036.6%13.3%41.2%16.8%45.8%7.7%2.8%1.1M-43.6M-65.5K0.0732.12N/AN/A3122113,8064,048
2012-01-11$55.91$39.1039.2%13.5%40.0%19.4%47.5%16.0%1.5%1.1M-47.6M-64.0K0.0086.42N/AN/A4,8921014,0363,837
2012-01-12$56.86$39.1046.0%13.2%38.6%26.5%0.0%11.6%3.6%1.4M-49.5M-90.1K0.0085.69N/AN/A151014,9453,833
2012-01-13$55.60$39.1045.4%13.0%38.8%25.9%45.8%-2.5%2.5%1.5M-51.7M-94.1K0.8670.26N/AN/A282315,9383,833
2012-01-17$55.17$39.1044.7%12.8%38.4%25.1%44.6%2.8%4.7%1.6M-47.4M-81.6K0.0035.18N/AN/A68015,2203,856
2012-01-18$56.26$39.1048.8%14.0%34.0%29.4%52.3%14.9%2.5%1.2M-52.5M-78.6K0.0185.14N/AN/A686915,2673,856
2012-01-19$56.60$52.1348.7%14.0%24.8%29.3%49.6%6.4%0.4%882.5K-54.9M-79.8K0.0078.11N/AN/A813215,5273,858
2012-01-20$56.04$52.1346.3%13.3%23.3%26.8%47.9%8.8%4.0%1.2M-55.2M-83.3K0.2779.97N/AN/A86323415,9983,862
2012-01-23$56.56$52.1345.1%12.9%23.0%25.6%45.6%7.8%3.3%728.1K-32.6M-83.3K0.0582.58N/AN/A12879,1232,175
2012-01-24$58.21$52.1349.5%14.2%23.4%30.1%48.3%6.8%-0.0%707.9K-36.5M-81.1K0.1984.22N/AN/A1,1752229,2072,182
2012-01-25$59.17$52.1349.1%14.1%23.5%29.8%49.5%6.0%0.5%823.6K-40.9M-86.7K0.4586.62N/AN/A974410,1452,266
2012-01-26$59.34$52.1340.5%11.6%23.2%20.7%47.0%2.9%4.2%835.7K-42.5M-84.3K0.0484.32N/AN/A3601410,2302,305
2012-01-27$60.90$52.1349.2%14.1%23.7%29.8%45.5%7.6%3.2%848.2K-45.8M-85.7K3.5358.11N/AN/A3691,30310,5512,316
2012-01-30$59.77$52.1346.8%13.4%25.1%27.3%50.2%4.3%3.7%849.7K-42.0M-92.0K0.0524.46N/AN/A4782510,6772,950
2012-01-31$59.08$52.1345.1%12.9%26.0%25.6%48.2%1.1%4.7%867.1K-39.8M-90.4K6.5221.58N/AN/A64010,5742,973