HTZ Options History — May 2012

In May 2012, HTZ traded between $53.17 and $70.46. ATM implied volatility averaged 50.5%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 6.0% (HV 20d: 44.5%). Max pain ranged from $56.47 to $65.16. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-05-02: Highest Volume — 4,309 contracts
  • 2012-05-03: Largest IV drop — 26.1% change
  • 2012-05-18: Highest IV Rank — 34.3%
  • 2012-05-18: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.92$53.17$70.46$69.11$59.12
Max Pain$60.62$56.47$65.16$65.16$60.82
ATM IV50.5%38.2%60.2%52.9%58.1%
Expected Move14.4%10.3%17.2%15.2%16.6%
HV 20d44.5%35.3%55.6%38.5%53.3%
HV 60d38.1%34.5%42.9%34.5%42.4%
IV Rank23.7%9.5%34.3%28.2%31.9%
IV Percentile48.2%15.1%64.7%58.7%61.9%
Term Structure-2.9%-8.9%2.8%-8.9%-5.0%
VWIV50.3%37.4%60.8%52.7%58.6%
Skew 25d7.7%-1.8%13.2%2.3%7.5%
Skew 10d20.1%-6.7%41.1%21.2%16.9%
Call IV 25d47.2%35.5%57.8%50.9%54.6%
Put IV 25d54.8%35.9%65.6%53.1%62.1%
Bid-Ask Spread %28.1513.7162.9722.6662.97
Gamma HHI0.250.170.450.410.21
Net GEX763.2K-316.0K2.1M1.9M298.8K
Net DEX-14.3M-58.2M26.5M-49.5M-7.4M
Net VEX-147.7K-196.1K-109.3K-192.4K-121.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.004.780.190.02
Total Volume1,135.682114,3092,3782,167
Total OI25,010.18218,58330,11523,78921,277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$69.11$65.1652.9%15.2%38.5%28.2%52.7%2.3%-8.9%1.9M-49.5M-192.4K0.1922.66N/AN/A1,99138716,5027,287
2012-05-02$70.46$65.1651.7%14.8%38.5%26.9%52.5%6.8%-8.0%2.1M-58.2M-196.1K0.9023.32N/AN/A2,2632,04616,8327,298
2012-05-03$68.03$65.1638.2%11.0%40.8%11.7%38.7%-1.8%1.2%1.9M-41.0M-182.3K0.2417.51N/AN/A86620817,1218,395
2012-05-04$67.42$56.4740.3%10.3%40.5%14.1%37.4%4.9%2.8%1.9M-37.1M-179.7K0.4717.36N/AN/A1,17455017,5428,307
2012-05-07$67.25$56.4740.7%11.1%39.8%14.6%41.6%5.5%0.6%2.0M-37.6M-172.8K0.0329.34N/AN/A78218,2458,492
2012-05-08$66.03$56.4738.8%11.6%35.3%9.5%40.8%7.0%0.9%1.5M-29.1M-165.3K0.2822.13N/AN/A2,60673918,2458,502
2012-05-09$64.73$56.4743.9%12.5%36.1%15.5%48.1%8.9%-1.0%1.2M-24.8M-169.3K4.7862.55N/AN/A3231,54619,0859,117
2012-05-10$64.25$60.8243.3%12.4%35.4%14.8%42.9%10.4%0.6%856.2K-18.7M-176.4K0.0034.15N/AN/A144019,22910,323
2012-05-11$65.25$60.8243.2%12.4%35.7%14.7%40.9%11.0%-0.6%1.1M-25.5M-173.7K0.0121.81N/AN/A342219,26710,323
2012-05-14$63.03$60.8246.0%13.2%37.2%17.9%49.5%10.2%-4.3%502.4K-11.4M-157.3K3.0660.58N/AN/A19760119,43610,314
2012-05-15$62.60$60.8250.5%14.5%36.6%23.1%52.4%10.9%-4.8%419.6K-7.8M-149.7K0.7621.92N/AN/A937119,36110,246
2012-05-16$60.99$60.8250.6%14.5%36.0%23.3%43.0%11.0%-4.7%27.9K925.3K-139.5K3.0633.02N/AN/A8626619,36010,163
2012-05-17$55.56$60.8258.3%16.7%47.1%32.1%55.6%7.8%-5.7%-316.0K19.4M-118.0K0.8716.08N/AN/A70060919,3629,941
2012-05-18$53.17$60.8260.2%17.2%48.7%34.3%60.8%7.8%-5.8%32.9K26.5M-109.3K2.3932.86N/AN/A7517719,74210,373
2012-05-21$56.82$60.8257.5%16.5%55.5%31.3%57.0%6.0%-5.6%53.5K3.2M-115.2K0.0615.90N/AN/A1,0456311,5027,081
2012-05-22$57.52$60.8256.1%16.1%55.6%29.6%54.1%7.1%-2.2%162.8K-61.7K-123.6K0.1015.95N/AN/A4053912,4627,105
2012-05-23$56.86$60.8257.1%16.4%54.4%30.7%56.7%6.6%-1.2%172.9K1.1M-120.6K0.2734.18N/AN/A54214412,7197,088
2012-05-24$56.91$60.8253.5%15.3%53.0%26.6%54.0%10.3%-0.2%186.1K950.4K-115.1K0.0923.70N/AN/A9748913,2007,046
2012-05-25$58.95$60.8256.7%16.3%53.6%30.3%56.2%3.9%-4.4%340.2K-6.5M-128.6K0.3920.16N/AN/A44417313,2287,132
2012-05-29$60.17$60.8254.5%15.6%54.1%27.7%54.1%13.2%-4.6%350.7K-9.9M-124.5K0.9513.71N/AN/A38236513,4467,257
2012-05-30$57.99$60.8258.2%16.7%53.3%32.1%57.9%11.2%-2.7%232.1K-2.4M-118.2K0.2817.38N/AN/A9213,7037,568
2012-05-31$59.12$60.8258.1%16.6%53.3%31.9%58.6%7.5%-5.0%298.8K-7.4M-121.1K0.0262.97N/AN/A2,1194813,7077,570