HTZ Options History — July 2012

In July 2012, HTZ traded between $46.13 and $58.73. ATM implied volatility averaged 59.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 16.8% (HV 20d: 42.4%). Max pain ranged from $52.13 to $56.47. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-07-26: Highest Volume — 5,215 contracts
  • 2012-07-31: Largest IV drop — 25.0% change
  • 2012-07-30: Highest IV Rank — 39.5%
  • 2012-07-30: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.94$46.13$58.73$55.65$48.91
Max Pain$53.16$52.13$56.47$52.13$52.13
ATM IV59.1%50.5%68.0%57.1%51.0%
Expected Move16.7%14.5%19.5%16.4%14.6%
HV 20d42.4%38.4%50.1%39.3%47.6%
HV 60d48.6%47.6%50.5%48.4%50.3%
IV Rank29.5%17.9%39.5%30.8%18.5%
IV Percentile57.4%38.1%74.6%54.8%38.1%
Term Structure-5.0%-9.1%1.2%-1.9%1.2%
VWIV59.3%50.4%67.0%55.9%50.4%
Skew 25d7.4%-1.1%14.0%5.7%10.9%
Skew 10d13.3%-13.1%31.7%21.2%21.1%
Call IV 25d55.3%45.3%69.9%53.7%45.3%
Put IV 25d62.7%56.2%73.0%59.4%56.2%
Bid-Ask Spread %46.2711.9683.3716.1811.96
Gamma HHI0.310.160.450.350.20
Net GEX618.1K-757.6K1.5M1.1M-81.2K
Net DEX-5.8M-34.9M16.7M-19.1M4.5M
Net VEX-117.2K-168.5K-86.1K-137.3K-154.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.047.950.700.25
Total Volume1,373.571815,21581525
Total OI23,542.33314,13530,44824,06924,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$55.65$52.1357.1%16.4%39.3%30.8%55.9%5.7%-1.9%1.1M-19.1M-137.3K0.7016.18N/AN/A483315,1268,943
2012-07-03$58.38$52.1356.8%16.3%42.3%30.4%56.2%5.2%-0.2%1.5M-31.8M-140.5K0.1515.38N/AN/A1011515,1488,942
2012-07-05$58.73$52.1355.2%15.8%41.5%28.6%57.4%-0.5%-4.2%1.5M-34.9M-138.1K0.3614.47N/AN/A75326815,1998,935
2012-07-06$57.95$56.4756.1%15.6%41.6%29.7%61.2%7.1%-4.0%1.5M-30.6M-137.3K0.0538.30N/AN/A2161215,5029,144
2012-07-09$56.60$56.4760.9%15.9%42.4%30.8%64.0%8.2%-5.3%1.5M-25.2M-126.4K0.8340.89N/AN/A443715,6569,155
2012-07-10$54.60$56.4758.8%15.6%43.3%28.2%53.5%6.8%-4.3%1.2M-14.5M-114.6K0.6777.57N/AN/A18512415,6699,154
2012-07-11$55.04$56.4758.2%15.7%43.1%27.4%57.6%6.0%-3.3%1.2M-13.6M-110.9K1.3680.72N/AN/A61283615,6019,156
2012-07-12$53.39$56.4759.6%17.1%44.3%29.2%62.5%9.7%-6.8%783.0K-4.1M-111.6K0.4377.03N/AN/A63727315,5789,845
2012-07-13$53.61$52.1357.6%16.5%43.2%26.7%54.9%10.6%-4.1%844.8K-4.5M-109.4K0.0483.37N/AN/A3251315,94410,048
2012-07-16$53.87$52.1359.8%17.1%42.3%29.4%57.1%10.6%-8.7%867.8K-4.3M-97.7K0.2078.20N/AN/A1392815,98510,047
2012-07-17$54.30$52.1356.2%16.1%42.3%25.0%54.8%10.3%-4.2%991.0K-7.6M-97.0K0.2082.37N/AN/A85417416,01710,059
2012-07-18$54.43$52.1350.5%14.5%39.3%17.9%58.1%10.2%-3.6%924.4K-8.0M-93.4K1.0778.36N/AN/A1,2571,35016,14310,207
2012-07-19$53.04$52.1357.6%16.5%40.1%26.6%58.6%7.8%-6.1%411.7K264.3K-99.8K2.5477.64N/AN/A6501,64917,15211,301
2012-07-20$51.87$52.1356.6%16.2%38.4%25.5%61.0%10.4%-6.4%-757.6K14.5M-96.6K7.9575.43N/AN/A4513,59017,67712,771
2012-07-23$50.96$52.1360.8%17.4%38.7%30.7%58.9%14.0%-8.9%-157.8K9.9M-94.2K0.1120.31N/AN/A287316,8807,255
2012-07-24$48.26$52.1360.6%17.4%39.3%30.4%61.9%4.3%-4.8%-259.1K14.4M-86.1K0.0920.70N/AN/A1,6951457,1417,694
2012-07-25$46.13$52.1366.3%19.0%41.8%37.4%66.2%4.7%-6.5%-188.4K15.7M-86.5K1.1525.41N/AN/A1,1561,3258,5987,778
2012-07-26$46.26$52.1366.7%19.1%41.4%38.0%67.0%10.4%-7.0%-236.5K16.7M-95.9K0.0615.90N/AN/A4,9232929,5638,871
2012-07-27$49.83$52.1367.4%19.3%50.1%38.8%63.7%4.5%-9.1%142.0K1.4M-165.2K1.1623.52N/AN/A41748514,2488,890
2012-07-30$49.96$52.1368.0%19.5%47.3%39.5%65.0%-1.1%-5.7%174.2K-1.7M-168.5K0.3318.02N/AN/A2,17371714,5168,784
2012-07-31$48.91$52.1351.0%14.6%47.6%18.5%50.4%10.9%1.2%-81.2K4.5M-154.1K0.2511.96N/AN/A42110414,8299,238