HTZ Options History — December 2012

In December 2012, HTZ traded between $68.20 and $72.33. ATM implied volatility averaged 34.5%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 10.0% (HV 20d: 24.5%). Max pain ranged from $56.47 to $60.82. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-12-17: Highest Volume — 18,816 contracts
  • 2012-12-12: Largest IV spike — 16.3% change
  • 2012-12-13: Highest IV Rank — 21.1%
  • 2012-12-12: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.02$68.20$72.33$68.20$70.68
Max Pain$59.95$56.47$60.82$56.47$60.82
ATM IV34.5%30.0%40.0%30.0%35.0%
Expected Move10.2%8.6%11.5%8.6%10.0%
HV 20d24.5%14.7%38.5%38.4%18.3%
HV 60d33.9%32.0%35.1%35.1%32.6%
IV Rank9.5%0.0%21.1%0.0%10.6%
IV Percentile9.6%0.0%27.0%0.0%9.5%
Term Structure2.7%-0.2%7.1%7.1%1.4%
VWIV36.3%31.1%40.4%32.7%35.9%
Skew 25d7.5%5.0%12.2%6.0%7.7%
Skew 10d17.1%0.6%31.5%12.6%4.9%
Call IV 25d31.9%24.7%37.8%30.4%30.5%
Put IV 25d39.5%35.3%44.2%36.4%38.2%
Bid-Ask Spread %10.545.9417.978.878.59
Gamma HHI0.270.210.340.270.23
Net GEX3.3M2.4M3.9M3.9M2.7M
Net DEX-173.5M-286.3M-102.2M-152.9M-116.7M
Net VEX-195.3K-229.4K-157.2K-228.3K-158.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.022.570.030.80
Total Volume2,373.92618,816502110
Total OI51,505.732,34977,66049,69432,349

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$68.20$56.4730.0%8.6%38.4%0.0%32.7%6.0%7.1%3.9M-152.9M-228.3K0.038.87N/AN/A4891332,22817,466
2012-12-04$68.20$56.4731.5%9.0%38.5%3.2%35.8%12.2%4.7%3.9M-149.6M-229.4K0.288.02N/AN/A35210032,01917,466
2012-12-05$68.94$56.4733.5%9.6%35.2%7.3%34.5%8.3%4.5%3.7M-157.2M-220.1K0.398.97N/AN/A2,01179232,00217,484
2012-12-06$69.55$56.4730.8%8.8%34.0%1.7%31.1%7.1%7.1%3.7M-165.1M-228.2K2.578.62N/AN/A19951232,80918,030
2012-12-07$69.94$60.8231.6%10.7%32.8%3.3%37.7%7.9%2.7%3.5M-170.3M-215.7K0.5014.30N/AN/A693532,82718,461
2012-12-10$70.42$60.8230.3%10.7%23.7%0.7%37.3%8.5%3.4%3.6M-179.5M-186.2K0.5414.56N/AN/A1538332,80018,461
2012-12-11$69.07$60.8231.4%11.0%24.2%3.0%37.4%8.3%3.2%3.9M-163.1M-203.1K0.5417.97N/AN/A2,6081,39832,92318,530
2012-12-12$69.03$60.8236.5%11.5%24.3%13.7%40.4%6.3%0.3%3.4M-159.2M-222.0K0.358.58N/AN/A1,09237933,75519,657
2012-12-13$69.24$60.8240.0%11.5%22.8%21.1%39.1%7.5%-0.2%3.3M-161.6M-207.9K0.5910.40N/AN/A30518133,43419,871
2012-12-14$69.20$60.8237.5%10.7%21.8%15.7%37.5%8.2%2.4%3.5M-163.6M-202.0K0.209.76N/AN/A4308733,53119,994
2012-12-17$70.33$60.8238.0%10.9%21.5%16.9%38.3%5.5%2.8%3.5M-181.4M-167.3K1.0010.46N/AN/A9,4089,40833,40319,987
2012-12-18$71.33$60.8236.9%10.6%21.3%14.5%36.9%6.9%2.3%3.2M-259.4M-157.2K0.2312.41N/AN/A10,9912,52442,58929,184
2012-12-19$72.11$60.8235.4%10.1%21.1%11.4%37.0%7.9%2.0%3.5M-286.3M-196.5K0.368.08N/AN/A57820746,03331,627
2012-12-20$72.33$60.8236.2%10.4%20.7%13.0%31.7%9.1%1.0%2.7M-282.9M-176.5K0.079.92N/AN/A7224944,43431,338
2012-12-21$71.68$60.8233.9%9.7%20.4%8.1%36.7%6.7%4.0%2.8M-277.7M-177.4K0.3716.11N/AN/A71026044,50531,367
2012-12-24$71.29$60.8234.1%9.8%19.8%8.6%36.2%6.3%1.4%2.4M-119.2M-176.8K0.045.94N/AN/A32122,16510,189
2012-12-26$70.55$60.8235.2%10.1%20.5%10.9%35.8%5.0%2.3%2.6M-116.0M-171.1K1.568.16N/AN/A101622,17610,189
2012-12-27$69.64$60.8235.0%10.0%14.7%10.6%35.1%8.6%0.8%2.6M-105.2M-192.1K0.109.32N/AN/A6416322,18310,197
2012-12-28$68.72$60.8237.4%10.7%15.5%15.6%38.1%6.5%-0.0%2.7M-102.2M-190.2K0.0211.76N/AN/A451922,21710,234
2012-12-31$70.68$60.8235.0%10.0%18.3%10.6%35.9%7.7%1.4%2.7M-116.7M-158.2K0.808.59N/AN/A614922,11110,238