HTZ Options History — October 2012

In October 2012, HTZ traded between $57.65 and $64.73. ATM implied volatility averaged 41.9%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 11.2% (HV 20d: 30.7%). 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 15 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2012-10-18: Highest Volume — 11,436 contracts
  • 2012-10-26: Largest IV spike — 23.5% change
  • 2012-10-31: Highest IV Rank — 65.8%
  • 2012-10-31: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.07$57.65$64.73$60.21$57.65
Max Pain$53.16$52.13$56.47$56.47$56.47
ATM IV41.9%31.9%66.6%40.0%66.6%
Expected Move12.4%9.1%19.1%11.5%19.1%
HV 20d30.7%26.2%33.8%29.4%31.5%
HV 60d38.3%34.3%40.8%40.8%35.1%
IV Rank19.4%0.9%65.8%15.1%65.8%
IV Percentile24.8%0.8%92.9%15.5%92.9%
Term Structure1.2%-8.7%7.3%3.8%-8.7%
VWIV43.5%31.8%63.2%38.7%63.2%
Skew 25d8.2%4.3%13.5%4.7%11.9%
Skew 10d18.5%0.9%34.0%2.8%30.6%
Call IV 25d39.0%28.4%56.8%36.7%56.8%
Put IV 25d47.3%32.7%68.7%41.5%68.7%
Bid-Ask Spread %17.0612.6621.6516.0416.99
Gamma HHI0.290.180.480.300.18
Net GEX3.4M1.9M5.1M3.0M1.9M
Net DEX-82.8M-112.2M-51.4M-59.4M-51.4M
Net VEX-246.8K-318.5K-199.8K-261.4K-295.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.009.040.340.29
Total Volume1,947.0952611,436658755
Total OI40,327.23834,52553,30334,52549,082

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$60.21$56.4740.0%11.5%29.4%15.1%38.7%4.7%3.8%3.0M-59.4M-261.4K0.3416.04N/AN/A49016824,6339,892
2012-10-02$61.16$56.4737.1%10.6%29.8%10.0%37.2%9.5%6.2%3.3M-68.3M-256.1K0.0018.03N/AN/A288025,1299,805
2012-10-03$61.64$56.4736.5%10.5%29.2%9.0%34.8%6.1%6.3%3.5M-74.0M-252.3K0.9716.89N/AN/A535125,3429,805
2012-10-04$63.25$56.4731.9%9.1%29.9%0.9%31.8%4.3%7.3%3.6M-89.8M-241.1K0.0914.35N/AN/A2191825,3699,817
2012-10-05$61.99$52.1332.5%12.1%30.6%2.1%45.6%7.8%1.1%3.9M-77.2M-239.7K9.0419.39N/AN/A6457825,4319,823
2012-10-08$62.08$52.1336.2%12.1%30.6%8.9%42.5%6.5%1.1%3.9M-77.5M-235.9K0.3814.47N/AN/A301225,44510,314
2012-10-09$62.47$52.1337.2%12.1%30.3%10.9%42.4%6.0%2.6%3.9M-83.5M-230.1K0.0015.61N/AN/A322025,44510,235
2012-10-10$61.99$52.1336.9%12.3%30.3%10.3%40.3%6.8%0.7%4.1M-78.8M-228.7K0.0012.66N/AN/A1,844625,67210,235
2012-10-11$64.73$52.1340.7%11.7%33.8%17.4%44.1%5.5%0.7%4.4M-112.2M-225.0K5.2018.91N/AN/A5552,88827,48610,237
2012-10-12$64.42$52.1341.3%11.8%33.4%18.5%44.2%7.2%-0.5%4.0M-108.1M-223.8K0.6420.79N/AN/A161027,56312,969
2012-10-15$64.55$52.1338.9%11.2%32.6%14.1%40.6%8.0%1.3%4.2M-109.7M-208.4K0.0919.60N/AN/A1,80216527,56412,966
2012-10-16$63.55$52.1338.4%11.0%32.3%13.0%40.7%7.3%1.4%3.8M-100.1M-199.8K0.0817.97N/AN/A8567027,70713,091
2012-10-17$64.34$52.1335.8%10.3%32.2%8.2%37.3%7.0%3.7%5.1M-104.9M-201.1K0.3818.52N/AN/A4,4521,67727,25513,077
2012-10-18$63.99$52.1336.3%10.4%31.8%9.1%42.6%10.2%4.4%4.5M-97.9M-210.5K0.8113.95N/AN/A6,3275,10927,36414,695
2012-10-19$62.29$52.1340.0%11.5%31.7%16.1%39.2%10.0%3.4%2.6M-95.2M-258.4K0.6016.37N/AN/A714333,51019,793
2012-10-22$62.25$52.1340.4%11.6%28.7%16.9%39.0%10.8%1.8%2.4M-74.1M-249.7K0.1215.54N/AN/A98412125,38414,714
2012-10-23$61.29$52.1347.6%13.6%26.2%30.3%49.9%13.5%-2.2%2.2M-70.0M-268.7K0.8013.83N/AN/A2,5432,04226,33714,815
2012-10-24$62.16$52.1347.6%13.6%26.5%30.2%43.5%10.7%-1.8%2.6M-86.1M-284.4K0.0219.90N/AN/A69128,61416,777
2012-10-25$59.38$52.1352.4%15.0%31.1%39.2%55.8%10.1%-0.5%2.0M-63.0M-294.0K0.4921.65N/AN/A3,0511,50628,48616,779
2012-10-26$58.08$52.1364.7%18.5%31.7%62.2%59.9%9.3%-6.2%1.9M-57.1M-318.5K0.4516.74N/AN/A1,12750630,58317,632
2012-10-31$57.65$56.4766.6%19.1%31.5%65.8%63.2%11.9%-8.7%1.9M-51.4M-295.5K0.2916.99N/AN/A58716831,07618,006