HTZ Options History — November 2012

In November 2012, HTZ traded between $56.91 and $67.94. ATM implied volatility averaged 48.7%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 6.3% (HV 20d: 42.5%). Max pain ranged from $56.47 to $56.47. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2012-11-14: Highest Volume — 15,644 contracts
  • 2012-11-15: Largest IV drop — 30.1% change
  • 2012-11-14: Highest IV Rank — 100.0%
  • 2012-11-08: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.76$56.91$67.94$59.30$67.94
Max Pain$56.47$56.47$56.47$56.47$56.47
ATM IV48.7%31.6%77.4%44.8%31.6%
Expected Move12.8%9.1%16.7%12.8%9.1%
HV 20d42.5%32.8%47.0%32.8%42.3%
HV 60d36.8%34.3%39.2%35.5%35.3%
IV Rank38.5%0.4%100.0%25.1%0.4%
IV Percentile45.1%0.4%100.0%36.9%0.4%
Term Structure0.6%-6.8%5.7%3.1%4.7%
VWIV45.2%32.1%57.8%50.0%32.1%
Skew 25d8.2%-2.3%13.8%6.5%6.0%
Skew 10d16.9%-21.0%33.6%2.9%9.4%
Call IV 25d41.3%24.3%52.7%43.1%30.6%
Put IV 25d49.5%36.1%60.8%49.7%36.6%
Bid-Ask Spread %15.9011.4124.5521.2611.95
Gamma HHI0.220.210.260.210.25
Net GEX3.3M2.3M4.2M2.7M3.8M
Net DEX-101.2M-152.2M-46.7M-68.0M-148.0M
Net VEX-278.9K-341.7K-246.2K-277.2K-246.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.043.430.040.31
Total Volume2,733.4766115,6442,387113
Total OI51,873.33344,96166,34249,64049,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$59.30$56.4744.8%12.8%32.8%25.1%50.0%6.5%3.1%2.7M-68.0M-277.2K0.0421.26N/AN/A2,28710031,52418,116
2012-11-02$56.91$56.4747.2%13.5%35.4%29.5%52.8%-2.3%2.5%2.3M-46.7M-276.6K0.1716.88N/AN/A1,36223332,07418,133
2012-11-05$57.12$56.4755.1%14.9%33.8%54.4%49.4%6.5%-3.4%2.4M-50.2M-263.8K0.1015.56N/AN/A1,36213232,34918,282
2012-11-06$60.08$56.4759.3%15.4%38.6%64.0%54.4%5.8%-3.3%3.0M-81.6M-277.5K0.1612.69N/AN/A2,13534332,98118,341
2012-11-07$58.99$56.4761.7%16.1%39.0%69.6%57.8%7.8%-6.2%2.8M-72.9M-281.8K2.1817.92N/AN/A26257334,24918,563
2012-11-08$58.08$56.4768.5%16.7%39.1%85.1%55.2%4.6%-6.8%2.6M-64.7M-277.2K3.4317.22N/AN/A9331934,19718,939
2012-11-09$62.29$56.4769.5%16.7%47.0%87.6%56.7%7.6%-4.7%3.3M-107.2M-274.6K0.3424.45N/AN/A6,0512,03534,23819,169
2012-11-12$63.86$56.4764.5%14.7%45.2%76.1%50.3%8.1%-2.2%3.8M-125.3M-263.8K0.3216.18N/AN/A3,1381,00535,66820,595
2012-11-13$63.94$56.4761.2%14.7%45.1%68.5%50.2%10.5%-2.3%4.1M-129.2M-257.9K0.3824.55N/AN/A3,2921,26036,47620,549
2012-11-14$62.77$56.4777.4%15.4%45.6%100.0%55.4%12.6%-1.5%4.2M-119.9M-276.8K1.2223.36N/AN/A7,0378,60738,83021,130
2012-11-15$61.90$56.4754.1%15.5%45.5%49.4%54.0%11.8%-2.8%3.5M-101.8M-341.7K0.2612.79N/AN/A1,33235140,48425,003
2012-11-16$63.16$56.4746.3%13.3%45.9%32.4%48.9%10.1%0.9%3.6M-124.5M-326.7K1.0915.35N/AN/A48652941,57524,767
2012-11-19$64.25$56.4740.8%11.7%46.3%20.5%40.3%9.4%3.8%2.9M-94.7M-302.6K0.0714.87N/AN/A3372328,80616,155
2012-11-20$63.94$56.4735.8%10.3%45.3%9.5%34.6%10.3%4.2%3.1M-92.7M-299.6K0.1215.11N/AN/A2,05725329,08616,169
2012-11-21$63.64$56.4734.4%9.9%45.3%6.6%32.4%6.2%5.1%3.3M-92.7M-289.3K0.0411.86N/AN/A5502229,62816,223
2012-11-23$65.16$56.4734.8%10.0%45.5%7.4%35.1%12.0%5.7%3.5M-108.8M-279.5K0.0613.83N/AN/A58329,99616,241
2012-11-26$64.38$56.4736.0%10.3%45.6%9.9%33.6%10.4%3.6%3.5M-101.4M-271.2K0.0912.16N/AN/A7396630,02416,242
2012-11-27$64.64$56.4735.9%10.3%42.0%9.8%36.2%8.8%3.2%3.6M-105.4M-268.4K1.0412.15N/AN/A88992830,34716,287
2012-11-28$67.64$56.4732.2%9.2%43.2%1.7%35.7%13.8%4.6%3.6M-137.9M-252.6K0.0611.41N/AN/A2,97919330,89517,210
2012-11-29$67.94$56.4731.8%9.1%42.9%0.9%33.8%5.9%4.3%3.9M-152.2M-252.5K1.7312.37N/AN/A1,4202,44932,77217,334
2012-11-30$67.94$56.4731.6%9.1%42.3%0.4%32.1%6.0%4.7%3.8M-148.0M-246.2K0.3111.95N/AN/A872632,22717,466