HTZ Options History — June 2012

In June 2012, HTZ traded between $52.09 and $57.60. ATM implied volatility averaged 61.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 5.0% (HV 20d: 56.4%). Max pain ranged from $52.13 to $56.47. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2012-06-04: Highest Volume — 9,256 contracts
  • 2012-06-25: Largest IV spike — 33.3% change
  • 2012-06-04: Highest IV Rank — 51.4%
  • 2012-06-01: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.28$52.09$57.60$54.00$55.60
Max Pain$52.54$52.13$56.47$56.47$52.13
ATM IV61.3%49.5%74.9%73.5%55.0%
Expected Move17.5%14.2%21.1%21.1%15.8%
HV 20d56.4%41.8%63.9%60.2%41.8%
HV 60d46.1%44.6%48.6%44.6%48.6%
IV Rank35.7%22.0%51.4%49.7%28.4%
IV Percentile63.8%42.5%88.5%86.9%52.0%
Term Structure-2.1%-8.9%4.2%-8.9%-1.0%
VWIV60.3%50.1%66.0%63.2%58.2%
Skew 25d5.9%-0.2%10.4%7.3%6.9%
Skew 10d18.5%-13.7%34.5%12.9%5.0%
Call IV 25d57.8%47.9%66.1%63.3%53.5%
Put IV 25d63.6%51.6%71.1%70.6%60.4%
Bid-Ask Spread %27.7615.6972.2315.7515.69
Gamma HHI0.240.160.340.160.34
Net GEX775.0K201.8K1.6M293.8K1.0M
Net DEX-11.0M-26.5M12.6M4.7M-18.1M
Net VEX-139.2K-164.2K-90.3K-105.0K-144.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.024.301.100.20
Total Volume1,743.905569,2569931,275
Total OI27,976.28619,15939,30922,38023,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$54.00$56.4773.5%21.1%60.2%49.7%63.2%7.3%-8.9%293.8K4.7M-105.0K1.1015.75N/AN/A47252114,8187,562
2012-06-04$52.09$56.4774.9%19.9%60.8%51.4%66.0%7.8%-5.6%201.8K12.6M-90.3K0.4729.51N/AN/A6,2842,97215,0657,971
2012-06-05$52.91$52.1365.0%18.0%61.5%39.9%64.2%9.1%0.9%606.9K-699.1K-130.6K0.5223.08N/AN/A4,2932,24720,7139,734
2012-06-06$54.34$52.1360.7%17.2%63.0%34.9%58.5%10.4%-0.6%662.0K-8.6M-152.7K2.0417.44N/AN/A17836422,31411,390
2012-06-07$53.74$52.1361.6%18.3%62.9%36.0%63.1%8.0%-3.6%578.5K-4.9M-146.9K0.2220.97N/AN/A3,19671022,24911,603
2012-06-08$54.60$52.1356.7%17.4%63.5%30.3%59.0%8.0%-3.6%852.9K-16.2M-164.2K0.2020.34N/AN/A58911624,90211,989
2012-06-11$53.13$52.1370.6%18.8%63.2%46.5%65.5%8.4%-2.3%788.5K-8.9M-149.3K1.0718.92N/AN/A60965425,07511,843
2012-06-12$53.91$52.1360.0%18.0%63.1%34.1%62.7%8.6%-4.4%596.7K-11.4M-145.5K0.7021.49N/AN/A29820925,20612,450
2012-06-13$53.21$52.1367.7%18.8%63.1%43.1%64.4%4.7%-4.4%509.5K-7.3M-141.7K0.5270.74N/AN/A1,72989825,19912,526
2012-06-14$54.65$52.1362.9%18.0%63.9%37.5%62.9%7.8%-4.2%621.0K-17.3M-149.0K0.1972.14N/AN/A3356326,07613,233
2012-06-15$55.91$52.1358.5%16.8%55.5%32.4%59.0%6.0%-1.8%1.6M-23.1M-148.8K1.7372.23N/AN/A18231525,82413,286
2012-06-18$55.21$52.1357.1%16.4%53.3%30.8%56.3%4.2%-1.8%880.9K-16.5M-136.4K0.0722.52N/AN/A8015912,4726,687
2012-06-19$57.52$52.1354.5%15.6%49.8%27.7%57.1%6.5%-0.5%1.1M-25.5M-146.4K1.1917.91N/AN/A77992813,1186,723
2012-06-20$57.60$52.1350.3%14.4%49.6%22.9%50.1%2.4%3.6%1.3M-26.5M-149.4K0.3120.74N/AN/A34210713,7617,187
2012-06-21$55.30$52.1351.3%14.7%51.6%24.1%51.6%1.3%2.9%1.1M-18.2M-140.9K2.0424.28N/AN/A6312913,7336,920
2012-06-22$55.39$52.1349.5%14.2%51.6%22.0%51.0%3.7%4.2%1.1M-17.1M-138.3K0.8015.92N/AN/A927413,7186,961
2012-06-25$52.65$52.1366.1%18.9%52.5%41.2%65.6%3.4%-3.6%712.8K-9.9M-130.4K4.3015.98N/AN/A5232,24813,7806,941
2012-06-26$52.09$52.1363.9%18.3%51.6%38.7%63.9%6.2%-2.7%506.2K-3.4M-134.1K0.8829.14N/AN/A98386214,0668,569
2012-06-27$52.74$52.1364.7%18.5%50.8%39.6%61.5%2.9%-4.9%585.3K-6.0M-139.0K0.0216.21N/AN/A55114,8509,137
2012-06-28$53.34$52.1363.1%18.1%50.4%37.7%63.0%-0.2%-2.2%682.9K-9.1M-139.3K0.1021.97N/AN/A61614,8729,040
2012-06-29$55.60$52.1355.0%15.8%41.8%28.4%58.2%6.9%-1.0%1.0M-18.1M-144.1K0.2015.69N/AN/A1,06421114,8939,046