HTZ Options History — March 2012

In March 2012, HTZ traded between $59.30 and $66.90. ATM implied volatility averaged 40.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.2% (HV 20d: 37.4%). Max pain ranged from $52.13 to $65.16. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2012-03-28: Highest Volume — 4,766 contracts
  • 2012-03-14: Largest IV drop — 15.4% change
  • 2012-03-16: Highest IV Rank — 24.8%
  • 2012-03-16: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.54$59.30$66.90$63.64$65.33
Max Pain$60.22$52.13$65.16$52.13$65.16
ATM IV40.6%36.0%44.4%40.8%42.4%
Expected Move11.7%10.5%12.7%11.7%12.2%
HV 20d37.4%32.2%42.4%34.1%34.7%
HV 60d33.9%31.5%36.8%35.4%31.5%
IV Rank20.9%16.1%24.8%21.1%22.8%
IV Percentile31.6%16.7%42.5%32.9%37.3%
Term Structure2.9%-1.1%4.5%-1.1%1.1%
VWIV41.1%33.1%51.6%38.2%42.5%
Skew 25d4.7%-0.0%9.1%4.9%4.3%
Skew 10d15.0%-13.2%35.5%1.7%2.2%
Call IV 25d38.6%30.6%42.8%30.6%36.4%
Put IV 25d43.3%35.6%49.3%35.6%40.7%
Bid-Ask Spread %42.8615.3474.7664.3515.34
Gamma HHI0.360.220.690.220.25
Net GEX1.4M860.6K2.6M1.1M1.3M
Net DEX-49.1M-75.1M-31.5M-56.7M-34.8M
Net VEX-166.3K-203.5K-150.5K-176.8K-203.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0238.810.400.55
Total Volume1,037.591384,7661921,047
Total OI22,749.95515,94927,31025,42424,843

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$63.64$52.1340.8%11.7%34.1%21.1%38.2%4.9%-1.1%1.1M-56.7M-176.8K0.4064.35N/AN/A1375515,9529,472
2012-03-02$62.90$52.1338.4%11.0%34.5%18.6%33.1%3.9%3.9%1.2M-53.9M-174.1K0.1265.85N/AN/A7449315,9649,522
2012-03-05$61.56$60.8241.2%12.6%32.2%21.5%41.8%7.3%2.2%1.2M-47.6M-174.1K0.1039.80N/AN/A8669016,4699,551
2012-03-06$59.30$60.8240.6%12.3%34.7%20.9%44.2%7.3%3.8%1.2M-34.4M-171.6K1.2522.25N/AN/A1,0541,32216,9539,636
2012-03-07$62.86$60.8240.4%12.5%40.9%20.7%40.9%9.1%2.5%1.5M-54.4M-169.8K0.3521.03N/AN/A71524916,5559,161
2012-03-08$63.51$60.8242.8%11.4%40.9%23.2%40.4%6.5%3.8%1.6M-60.6M-169.7K0.0819.03N/AN/A91716,8999,187
2012-03-09$64.38$60.8238.6%11.0%40.6%18.8%41.0%4.9%4.3%1.6M-65.9M-165.4K0.0768.25N/AN/A2702016,9839,194
2012-03-12$63.55$60.8241.9%11.2%40.6%22.2%39.6%6.1%4.1%1.7M-62.1M-158.2K0.0528.42N/AN/A3171516,9179,202
2012-03-13$65.81$60.8242.5%11.3%42.2%22.9%40.7%8.6%4.3%1.6M-74.9M-152.9K0.1455.52N/AN/A33517,1079,216
2012-03-14$64.81$60.8236.0%11.5%42.4%16.1%41.6%5.5%2.2%1.8M-71.4M-150.5K0.7822.28N/AN/A41232117,1079,221
2012-03-15$65.33$60.8240.0%11.5%42.3%20.2%51.6%5.8%4.5%2.0M-74.8M-150.9K1.4243.06N/AN/A33647517,4009,523
2012-03-16$65.51$60.8244.4%12.7%38.5%24.8%44.5%5.3%0.6%2.6M-75.1M-151.6K0.1045.69N/AN/A2,93228817,3149,996
2012-03-19$66.90$60.8243.7%12.5%38.7%24.1%42.5%4.0%2.5%860.6K-34.5M-160.3K0.4270.47N/AN/A61925810,3285,621
2012-03-20$65.46$60.8242.1%12.1%39.0%22.5%42.3%3.5%1.5%924.3K-31.5M-163.6K0.1522.32N/AN/A85613110,7105,950
2012-03-21$66.20$60.8241.5%11.9%35.4%21.8%41.8%1.7%2.6%1.1M-35.3M-164.7K0.2554.90N/AN/A1894711,1156,006
2012-03-22$65.86$60.8241.1%11.8%35.2%21.5%41.6%6.0%3.1%1.2M-34.9M-166.3K0.0220.41N/AN/A363711,4576,011
2012-03-23$65.99$60.8240.3%11.5%35.2%20.6%40.7%3.1%3.9%1.3M-35.8M-164.0K1.0871.98N/AN/A19320811,6256,011
2012-03-26$66.59$60.8239.5%11.3%34.3%19.7%38.4%3.4%4.0%1.3M-38.6M-162.0K2.2268.43N/AN/A316911,7756,243
2012-03-27$64.90$60.8236.7%10.5%35.9%16.9%36.8%2.3%4.0%1.3M-32.5M-158.4K4.6274.76N/AN/A4420011,7956,264
2012-03-28$64.68$60.8239.1%11.2%35.9%19.4%40.1%-0.0%3.3%1.3M-31.6M-157.5K0.0521.81N/AN/A4,55121511,8246,177
2012-03-29$64.77$60.8239.9%11.4%34.9%20.2%40.0%0.4%1.9%1.9M-39.0M-192.5K38.8126.96N/AN/A742,87816,1066,137
2012-03-30$65.33$65.1642.4%12.2%34.7%22.8%42.5%4.3%1.1%1.3M-34.8M-203.5K0.5515.34N/AN/A67437315,8359,008