HTZ Options History — September 2012

In September 2012, HTZ traded between $59.64 and $65.16. ATM implied volatility averaged 35.7%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 0.6% (HV 20d: 36.2%). Max pain ranged from $56.47 to $56.47. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.34.

Notable Days

  • 2012-09-25: Highest Volume — 8,147 contracts
  • 2012-09-05: Largest IV drop — 19.5% change
  • 2012-09-20: Highest IV Rank — 15.2%
  • 2012-09-04: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.84$59.64$65.16$62.08$59.64
Max Pain$56.47$56.47$56.47$56.47$56.47
ATM IV35.7%31.4%43.9%43.9%37.9%
Expected Move10.4%9.0%12.6%12.6%10.9%
HV 20d36.2%28.8%41.7%41.7%29.2%
HV 60d42.3%40.7%44.0%44.0%40.8%
IV Rank6.6%0.0%15.2%12.5%11.4%
IV Percentile4.8%0.0%20.2%20.2%9.5%
Term Structure6.3%-1.0%11.8%-1.0%5.8%
VWIV36.0%30.2%42.6%42.6%34.5%
Skew 25d9.0%6.3%11.9%11.5%7.8%
Skew 10d15.3%2.4%25.6%15.5%17.2%
Call IV 25d32.3%24.0%35.6%35.3%35.6%
Put IV 25d41.4%35.9%46.7%46.7%43.5%
Bid-Ask Spread %25.9810.6246.7710.6220.92
Gamma HHI0.380.310.430.380.31
Net GEX2.3M1.6M2.9M1.6M2.7M
Net DEX-62.2M-86.4M-33.1M-47.7M-52.9M
Net VEX-184.0K-266.1K-156.7K-166.2K-262.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.011.380.050.33
Total Volume1,452.368468,1472,0061,843
Total OI27,747.84219,19433,29124,82633,291

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$62.08$56.4743.9%12.6%41.7%12.5%42.6%11.5%-1.0%1.6M-47.7M-166.2K0.0510.62N/AN/A1,9149216,8008,026
2012-09-05$63.16$56.4735.3%10.1%41.5%0.0%38.0%11.7%4.9%1.8M-59.5M-185.8K0.3013.31N/AN/A1554618,5248,110
2012-09-06$64.38$56.4731.4%9.0%38.8%0.0%30.2%11.9%6.6%1.8M-67.4M-176.1K0.3810.85N/AN/A32312118,3718,150
2012-09-07$64.73$56.4731.8%11.0%37.4%0.5%41.7%8.9%3.8%1.8M-67.8M-176.4K0.3331.10N/AN/A1474918,1928,128
2012-09-10$64.68$56.4733.1%10.9%37.3%2.6%37.8%6.3%4.0%1.8M-69.2M-165.9K0.5825.05N/AN/A24714318,2258,155
2012-09-11$63.64$56.4734.1%10.4%38.4%4.0%36.5%7.7%5.4%2.0M-63.1M-165.2K0.2738.74N/AN/A772118,3108,268
2012-09-12$63.25$56.4735.5%10.2%38.6%6.7%36.8%9.5%5.7%2.1M-60.5M-160.8K0.4631.17N/AN/A1064918,3628,270
2012-09-13$64.12$56.4734.6%9.9%37.7%5.5%35.4%9.5%8.4%2.0M-66.0M-156.7K0.0334.07N/AN/A4,11613418,4248,286
2012-09-14$65.16$56.4731.9%9.2%37.6%0.9%34.0%11.1%11.8%2.3M-86.4M-183.4K0.0146.52N/AN/A1,7062521,5728,393
2012-09-17$63.94$56.4733.9%9.7%38.6%4.3%33.2%8.9%9.9%2.8M-80.6M-189.3K0.0446.77N/AN/A55222,4518,408
2012-09-18$62.64$56.4739.1%11.2%37.3%13.5%34.8%8.7%6.0%2.9M-66.4M-182.8K0.3937.28N/AN/A31212122,3938,409
2012-09-19$63.55$56.4735.9%10.3%37.4%7.9%37.2%8.7%6.4%2.5M-74.2M-180.0K0.1137.12N/AN/A41522,5088,528
2012-09-20$62.68$56.4740.1%11.5%37.1%15.2%36.0%10.9%4.6%2.8M-67.4M-176.8K0.0822.76N/AN/A1901522,5298,528
2012-09-21$64.38$56.4733.1%9.5%34.8%3.0%34.4%7.2%10.3%2.7M-78.9M-170.5K0.3028.65N/AN/A1143522,2918,383
2012-09-24$61.99$56.4735.6%10.2%38.1%7.4%35.1%6.9%7.4%2.4M-46.0M-163.1K0.6812.48N/AN/A24416615,8873,307
2012-09-25$59.82$56.4737.5%10.7%29.3%10.7%37.5%7.6%6.1%2.4M-33.1M-156.7K1.3811.06N/AN/A3,4224,72515,9763,467
2012-09-26$59.64$56.4737.9%10.9%28.8%11.4%34.5%9.6%6.9%2.2M-36.6M-211.7K0.3615.45N/AN/A4,9591,76719,1767,875
2012-09-27$60.43$56.4735.6%10.2%29.2%7.4%33.8%7.2%7.5%2.9M-58.1M-266.1K0.3319.65N/AN/A822623,8109,426
2012-09-28$59.64$56.4737.9%10.9%29.2%11.4%34.5%7.8%5.8%2.7M-52.9M-262.7K0.3320.92N/AN/A1,38545823,8449,447