HTZ Options History — March 2013

In March 2013, HTZ traded between $85.49 and $96.70. ATM implied volatility averaged 29.6%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.5% (HV 20d: 31.2%). Max pain ranged from $56.47 to $86.88. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-03-07: Highest Volume — 2,077 contracts
  • 2013-03-11: Largest IV spike — 18.6% change
  • 2013-03-25: Highest IV Rank — 22.4%
  • 2013-03-05: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.60$85.49$96.70$86.10$96.70
Max Pain$85.36$56.47$86.88$56.47$86.88
ATM IV29.6%25.5%33.6%27.5%30.1%
Expected Move8.8%7.8%9.8%7.9%8.6%
HV 20d31.2%23.8%37.6%37.2%24.6%
HV 60d27.0%25.7%27.7%25.7%27.2%
IV Rank15.3%8.0%22.4%11.5%16.1%
IV Percentile11.6%3.6%24.2%5.2%13.5%
Term Structure2.8%0.7%5.2%4.1%5.2%
VWIV31.3%28.0%34.3%28.0%31.1%
Skew 25d5.1%3.4%6.4%3.4%4.9%
Skew 10d15.0%-0.5%22.6%-0.5%13.2%
Call IV 25d28.4%25.1%30.9%26.5%27.3%
Put IV 25d33.5%30.0%36.8%30.0%32.2%
Bid-Ask Spread %11.187.5314.707.5313.11
Gamma HHI0.280.180.530.450.26
Net GEX229.0K-133.7K763.5K544.0K763.5K
Net DEX-71.2M-125.0M-9.8M-104.3M-34.4M
Net VEX-94.9K-119.9K-79.7K-89.4K-118.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.074.251.870.85
Total Volume774.41282,0771281,655
Total OI17,496.756,50726,38524,00610,326

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$86.10$56.4727.5%7.9%37.2%11.5%28.0%3.4%4.1%544.0K-104.3M-89.4K1.877.53N/AN/A458314,4989,508
2013-03-04$85.49$86.8829.0%9.1%36.8%14.2%32.8%5.0%1.8%584.9K-101.9M-90.0K1.247.97N/AN/A698614,5169,520
2013-03-05$88.01$86.8832.2%9.8%36.2%19.9%33.8%5.9%0.7%475.3K-110.9M-82.8K0.3711.61N/AN/A57921414,5159,566
2013-03-06$88.36$86.8829.3%9.3%35.8%14.7%31.9%5.4%0.9%577.2K-112.7M-84.5K0.109.69N/AN/A5465614,7939,676
2013-03-07$89.88$86.8827.9%9.2%35.9%12.1%34.3%4.7%1.4%439.3K-116.8M-79.7K4.2514.70N/AN/A3951,68214,6639,718
2013-03-08$90.40$86.8825.5%8.9%35.8%8.0%31.4%4.5%2.6%84.3K-115.1M-92.4K0.1111.39N/AN/A3173614,79810,893
2013-03-11$92.22$86.8830.3%8.9%36.1%16.4%33.1%4.6%2.6%164.1K-122.3M-86.8K0.708.56N/AN/A50835715,00310,861
2013-03-12$91.18$86.8829.8%8.9%35.7%15.6%30.9%5.5%1.6%18.0K-119.7M-88.8K0.079.96N/AN/A3222315,09911,062
2013-03-13$94.53$86.8827.5%7.8%37.1%11.5%30.4%5.9%3.6%116.4K-125.0M-85.4K1.129.73N/AN/A45851414,76711,025
2013-03-14$93.57$86.8827.2%7.8%37.6%11.0%29.0%5.0%3.6%34.5K-121.7M-89.2K0.389.83N/AN/A2569714,83811,448
2013-03-15$92.44$86.8828.8%8.3%30.2%13.9%30.0%5.2%4.1%-70.9K-118.7M-92.2K0.9311.97N/AN/A15814614,90411,481
2013-03-18$92.40$86.8828.8%8.3%29.3%13.8%30.2%4.2%4.0%-133.7K-10.1M-90.8K1.8012.66N/AN/A3135643,0283,620
2013-03-19$91.31$86.8830.7%8.8%29.9%17.2%32.2%6.2%2.6%-2.9K-10.1M-91.3K1.7213.54N/AN/A2674583,2503,257
2013-03-20$92.83$86.8830.4%8.7%24.2%16.6%28.9%6.4%3.4%-13.0K-11.7M-95.3K1.0411.59N/AN/A1391443,3683,680
2013-03-21$91.70$86.8830.6%8.8%23.8%16.9%30.6%5.1%2.2%-73.9K-9.8M-96.9K0.3313.64N/AN/A180603,4473,745
2013-03-22$93.05$86.8830.7%8.8%23.8%17.1%30.2%5.2%3.1%28.5K-12.4M-98.4K0.5611.65N/AN/A9555343,5763,793
2013-03-25$92.18$86.8833.6%9.6%24.2%22.4%32.3%4.4%2.8%133.0K-13.1M-106.6K0.0912.86N/AN/A1,6921474,2304,136
2013-03-26$93.66$86.8831.5%9.0%24.4%18.5%31.9%5.8%2.8%317.8K-22.9M-119.9K0.2410.57N/AN/A4681105,1994,198
2013-03-27$96.05$86.8831.5%9.0%25.0%18.6%32.2%4.4%2.7%594.6K-30.4M-118.9K0.1411.01N/AN/A7471085,6774,253
2013-03-28$96.70$86.8830.1%8.6%24.6%16.1%31.1%4.9%5.2%763.5K-34.4M-118.8K0.8513.11N/AN/A8937626,0134,313