HTZ Options History — January 2013

In January 2013, HTZ traded between $72.98 and $80.71. ATM implied volatility averaged 26.7%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.6% (HV 20d: 20.2%). Max pain ranged from $60.82 to $78.19. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-01-07: Highest Volume — 2,952 contracts
  • 2013-01-07: Largest IV spike — 24.0% change
  • 2013-01-08: Highest IV Rank — 16.2%
  • 2013-01-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.86$72.98$80.71$72.98$79.41
Max Pain$72.19$60.82$78.19$60.82$78.19
ATM IV26.7%21.0%33.6%25.7%27.9%
Expected Move7.8%6.0%10.2%7.4%8.0%
HV 20d20.2%14.9%22.0%21.2%14.9%
HV 60d30.9%26.6%33.1%33.1%26.6%
IV Rank6.1%0.0%16.2%0.0%12.2%
IV Percentile2.3%0.0%8.3%0.0%4.8%
Term Structure4.8%1.1%7.9%7.8%5.6%
VWIV28.2%21.8%35.9%32.8%27.6%
Skew 25d5.9%-2.1%10.7%6.6%4.3%
Skew 10d9.4%0.4%20.7%18.5%10.8%
Call IV 25d23.7%16.4%30.0%26.2%26.5%
Put IV 25d29.6%22.8%38.3%32.8%30.9%
Bid-Ask Spread %11.328.0315.638.8415.63
Gamma HHI0.340.180.740.220.18
Net GEX2.4M839.4K6.4M2.4M839.4K
Net DEX-130.7M-185.7M-76.5M-133.2M-84.3M
Net VEX-91.2K-125.1K-66.9K-125.1K-96.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.011.750.720.27
Total Volume912.8572072,952225214
Total OI29,359.42918,88337,43232,38721,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$72.98$60.8225.7%7.4%21.2%0.0%32.8%6.6%7.8%2.4M-133.2M-125.1K0.728.84N/AN/A1319422,13510,252
2013-01-03$74.02$60.8225.1%7.2%21.5%0.0%27.9%8.8%7.9%2.0M-141.0M-116.7K0.319.12N/AN/A1755422,18410,295
2013-01-04$75.33$69.5027.0%9.3%21.9%3.5%35.3%6.6%3.3%1.8M-148.0M-98.9K0.0915.19N/AN/A3883522,20610,334
2013-01-07$75.50$69.5033.5%10.2%21.9%16.0%35.9%8.3%1.1%1.9M-149.3M-96.8K0.1013.80N/AN/A2,69226022,39210,359
2013-01-08$75.37$69.5033.6%9.8%21.9%16.2%33.6%6.5%2.4%2.9M-155.2M-113.1K0.4913.68N/AN/A25812524,50410,566
2013-01-09$75.98$73.8533.5%9.7%22.0%16.0%35.1%6.9%1.4%2.8M-160.8M-98.7K0.1212.69N/AN/A2913624,54410,663
2013-01-10$76.41$73.8530.1%8.6%20.2%9.5%32.2%5.3%2.8%3.0M-166.2M-88.0K0.3412.26N/AN/A67922924,62710,672
2013-01-11$76.19$73.8528.5%8.2%20.3%6.4%29.4%6.5%4.3%3.2M-165.6M-89.0K0.4412.19N/AN/A2159624,94810,864
2013-01-14$76.37$73.8528.8%8.3%20.3%7.0%30.2%6.0%3.0%3.0M-166.6M-87.7K0.0311.86N/AN/A2,8528525,04710,954
2013-01-15$75.93$73.8529.2%8.4%20.6%7.8%28.7%5.8%3.6%5.5M-168.1M-92.2K0.0412.85N/AN/A2,2449626,20710,997
2013-01-16$75.59$73.8528.9%8.3%20.4%7.2%30.2%10.3%3.1%6.1M-164.3M-92.3K0.0111.55N/AN/A234226,25411,017
2013-01-17$76.67$73.8523.0%6.6%20.4%0.0%22.6%6.1%5.9%6.4M-176.1M-77.5K0.238.49N/AN/A2,31154125,14111,000
2013-01-18$77.50$73.8521.9%6.3%20.4%0.0%23.3%4.0%6.2%1.9M-185.7M-66.9K0.1411.79N/AN/A77010726,03811,394
2013-01-22$77.24$73.8522.9%6.6%20.5%1.8%22.9%8.3%5.6%1.1M-76.5M-68.6K0.069.56N/AN/A6173512,0286,855
2013-01-23$77.02$73.8521.7%6.2%20.1%0.0%23.3%8.6%7.1%1.2M-77.8M-85.0K0.8010.66N/AN/A14011312,5846,884
2013-01-24$77.76$73.8521.3%6.1%19.9%0.0%22.7%10.7%6.5%1.2M-80.6M-81.1K0.399.39N/AN/A38715012,7046,989
2013-01-25$78.71$73.8521.0%6.0%19.3%0.0%21.8%2.7%6.6%1.1M-84.3M-81.4K0.808.03N/AN/A1159212,8767,068
2013-01-28$80.71$73.8523.6%6.8%19.2%4.7%24.5%3.6%5.2%985.9K-89.4M-78.7K1.339.01N/AN/A26034512,9047,122
2013-01-29$79.93$73.8525.9%7.4%18.8%8.6%24.9%0.0%5.1%995.1K-86.7M-84.8K0.4110.37N/AN/A46719212,9887,426
2013-01-30$79.41$73.8527.7%7.9%17.7%11.9%27.7%-2.1%5.8%1.1M-84.7M-95.8K1.7510.78N/AN/A37966413,3397,548
2013-01-31$79.41$78.1927.9%8.0%14.9%12.2%27.6%4.3%5.6%839.4K-84.3M-96.7K0.2715.63N/AN/A1684613,5428,097