HTZ Options History — February 2012

In February 2012, HTZ traded between $59.08 and $64.73. ATM implied volatility averaged 45.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 15.4% (HV 20d: 30.1%). Max pain ranged from $47.78 to $52.13. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.76.

Notable Days

  • 2012-02-27: Highest Volume — 4,594 contracts
  • 2012-02-22: Largest IV drop — 28.8% change
  • 2012-02-17: Highest IV Rank — 34.9%
  • 2012-02-17: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.39$59.08$64.73$60.60$62.12
Max Pain$51.91$47.78$52.13$52.13$52.13
ATM IV45.5%36.2%54.1%45.6%39.6%
Expected Move13.3%10.4%15.5%13.1%11.4%
HV 20d30.1%25.7%35.6%26.4%34.2%
HV 60d39.9%35.7%44.2%44.2%35.7%
IV Rank26.0%16.3%34.9%26.1%19.9%
IV Percentile43.8%16.7%61.1%46.8%29.0%
Term Structure-2.2%-7.8%6.2%6.2%2.4%
VWIV47.4%29.9%58.2%38.7%40.6%
Skew 25d6.4%-12.5%14.8%0.0%-0.8%
Skew 10d17.1%-14.4%36.2%5.5%9.1%
Call IV 25d43.0%35.8%49.6%46.8%42.6%
Put IV 25d49.4%29.6%59.4%46.8%41.8%
Bid-Ask Spread %41.7614.4380.3720.2727.46
Gamma HHI0.270.210.390.230.22
Net GEX975.1K742.4K1.3M851.5K1.1M
Net DEX-49.4M-56.0M-36.5M-43.8M-48.7M
Net VEX-106.3K-181.8K-76.6K-86.4K-181.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.0012.552.980.26
Total Volume1,290.25384,594223130
Total OI17,973.813,56725,40613,56725,406

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$60.60$52.1345.6%13.1%26.4%26.1%38.7%0.0%6.2%851.5K-43.8M-86.4K2.9820.27N/AN/A5616710,5702,997
2012-02-02$60.43$52.1347.0%13.5%25.7%27.5%47.1%3.5%4.7%858.8K-43.5M-86.9K5.8319.99N/AN/A3922610,6193,140
2012-02-03$62.95$47.7849.1%15.0%27.3%29.7%55.5%8.9%-3.2%745.0K-49.9M-82.3K0.2949.55N/AN/A1,03030210,6473,337
2012-02-06$62.68$52.1348.0%14.6%27.7%28.6%54.3%7.4%-3.0%905.9K-50.4M-82.3K0.0519.54N/AN/A3631811,1393,616
2012-02-07$62.68$52.1344.6%14.2%27.8%25.1%49.8%8.0%-4.1%927.2K-50.1M-79.8K1.8047.33N/AN/A6091,09311,0743,634
2012-02-08$63.34$52.1343.8%13.5%26.9%24.2%55.2%11.0%-2.6%763.1K-48.7M-86.7K0.0538.58N/AN/A106611,0324,726
2012-02-09$64.60$52.1346.7%13.4%27.0%27.2%58.2%8.8%-2.6%742.4K-52.9M-81.6K0.6247.72N/AN/A483011,0694,720
2012-02-10$63.81$52.1347.9%13.7%27.6%28.5%48.6%12.1%-2.6%803.2K-50.7M-83.2K0.0624.62N/AN/A94611,0904,750
2012-02-13$64.73$52.1347.3%13.6%25.7%27.9%51.1%9.3%-3.3%792.9K-53.9M-76.6K0.2280.37N/AN/A1,31329511,1474,756
2012-02-14$63.94$52.1347.3%13.6%26.0%27.8%50.6%14.8%-3.2%1.0M-54.2M-87.0K1.5461.25N/AN/A21232711,9574,975
2012-02-15$63.51$52.1348.5%13.9%26.1%29.1%49.9%12.5%-4.1%993.5K-52.4M-94.2K1.2044.01N/AN/A172112,0955,267
2012-02-16$60.69$52.1353.1%15.2%31.9%33.9%55.0%11.9%-6.6%838.9K-41.9M-96.8K0.1745.54N/AN/A3,17254312,1005,276
2012-02-17$60.17$52.1354.1%15.5%31.8%34.9%54.8%9.3%-7.8%1.2M-48.3M-116.7K0.3914.43N/AN/A3,0691,20914,9315,452
2012-02-21$59.08$52.1350.8%14.6%32.6%31.5%55.3%11.9%-6.4%999.9K-36.5M-131.9K3.7744.45N/AN/A25696514,1345,556
2012-02-22$62.08$52.1336.2%10.4%35.6%16.3%38.8%3.2%0.9%1.2M-50.9M-120.5K2.2461.61N/AN/A5281,18614,1846,515
2012-02-23$63.12$52.1337.9%10.9%35.6%18.0%31.8%1.8%-4.3%1.2M-55.5M-124.6K0.5654.47N/AN/A74542014,3636,654
2012-02-24$63.21$52.1338.8%11.1%35.6%19.0%29.9%-0.2%-4.5%1.2M-56.0M-125.2K0.0054.42N/AN/A1,235014,5916,609
2012-02-27$61.99$52.1341.7%11.9%35.4%22.0%41.6%-12.5%-1.1%1.2M-50.2M-122.3K0.6230.08N/AN/A2,8361,75814,3816,609
2012-02-28$62.12$52.1341.9%12.0%34.6%22.2%41.7%6.6%0.9%1.3M-49.8M-178.4K12.5549.48N/AN/A1011,27416,1208,238
2012-02-29$62.12$52.1339.6%11.4%34.2%19.9%40.6%-0.8%2.4%1.1M-48.7M-181.8K0.2627.46N/AN/A1042615,9619,445