HTZ Options History — June 2013

In June 2013, HTZ traded between $99.00 and $113.64. ATM implied volatility averaged 34.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.8% (HV 20d: 34.0%). Max pain ranged from $99.91 to $108.60. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-06-21: Highest Volume — 6,994 contracts
  • 2013-06-20: Largest IV spike — 15.7% change
  • 2013-06-21: Highest IV Rank — 40.8%
  • 2013-06-21: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.38$99.00$113.64$110.95$107.73
Max Pain$106.43$99.91$108.60$108.60$99.91
ATM IV34.8%27.6%44.0%27.7%32.8%
Expected Move10.1%7.9%12.6%7.9%9.4%
HV 20d34.0%20.1%43.4%22.1%43.3%
HV 60d35.2%32.4%38.0%32.4%35.3%
IV Rank24.4%11.6%40.8%11.8%20.8%
IV Percentile42.2%9.1%72.2%9.1%32.5%
Term Structure2.3%-2.8%4.7%3.6%4.7%
VWIV35.6%28.3%43.7%28.3%33.1%
Skew 25d5.2%2.0%7.8%2.0%4.0%
Skew 10d12.7%3.9%23.2%13.8%11.3%
Call IV 25d33.5%27.8%41.6%27.8%31.8%
Put IV 25d38.6%29.8%47.8%29.8%35.9%
Bid-Ask Spread %11.065.4817.895.4810.35
Gamma HHI0.280.170.510.280.20
Net GEX-224.6K-2.9M2.0M-495.6K2.0M
Net DEX-27.3M-64.0M30.3M-38.2M-47.0M
Net VEX-346.0K-371.4K-293.2K-360.5K-337.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.071.370.650.84
Total Volume1,454.52606,994814379
Total OI23,392.0518,84426,20722,70519,734

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$110.95$108.6027.7%7.9%22.1%11.8%28.3%2.0%3.6%-495.6K-38.2M-360.5K0.655.48N/AN/A49432011,65711,048
2013-06-04$110.82$108.6030.6%8.8%20.1%16.9%32.9%4.2%3.1%-404.9K-37.5M-363.3K0.806.05N/AN/A1,06084811,79311,050
2013-06-05$105.95$108.6034.6%9.9%25.8%24.1%32.8%3.8%3.9%-448.5K-12.0M-352.9K1.376.79N/AN/A8211,12312,54210,823
2013-06-06$106.73$108.6032.0%9.2%26.0%19.5%33.5%5.4%4.5%-570.5K-15.8M-367.7K0.268.65N/AN/A65316712,69311,563
2013-06-07$111.12$108.6027.6%9.0%29.5%11.6%33.0%4.6%4.1%-69.4K-47.3M-371.4K0.4512.62N/AN/A1,21054613,01611,351
2013-06-10$113.64$108.6028.9%9.0%30.2%14.0%32.3%4.9%4.0%609.1K-64.0M-359.9K0.3717.89N/AN/A54320013,11611,379
2013-06-11$111.47$108.6031.1%9.5%31.0%18.0%32.6%4.5%3.2%-41.8K-51.7M-359.9K0.6710.67N/AN/A51934613,26811,404
2013-06-12$107.43$108.6033.6%10.5%33.7%22.3%37.5%6.1%0.8%-852.5K-19.8M-354.7K0.7011.45N/AN/A77654113,00111,496
2013-06-13$109.38$108.6036.4%10.4%34.1%27.3%37.6%6.5%0.9%-953.0K-34.1M-364.4K0.5913.69N/AN/A38222613,36411,692
2013-06-14$106.13$108.6037.8%10.8%35.7%29.8%36.6%6.1%1.5%-1.2M-9.0M-347.9K0.9210.84N/AN/A56251413,36911,813
2013-06-17$106.99$108.6036.1%10.4%33.8%26.8%36.1%6.0%1.7%-1.8M-12.9M-338.7K0.2611.81N/AN/A39410213,48712,130
2013-06-18$110.03$108.6038.0%10.9%35.3%30.1%38.1%6.2%-0.1%-1.5M-40.2M-345.3K0.0712.80N/AN/A1,48210713,41112,138
2013-06-19$109.43$108.6034.1%9.8%35.4%23.3%35.3%6.8%3.2%-2.9M-40.5M-342.1K0.7812.25N/AN/A1,08985414,06312,144
2013-06-20$105.69$108.6039.5%11.3%37.3%32.8%37.8%7.8%0.8%-2.1M3.9M-321.9K0.8711.88N/AN/A29725913,53812,490
2013-06-21$100.96$108.6044.0%12.6%40.4%40.8%43.7%6.3%-2.8%448.7K30.3M-293.2K0.9411.39N/AN/A3,6113,38313,58112,393
2013-06-24$99.00$99.9140.9%11.7%40.7%35.2%41.6%3.7%3.0%899.3K-8.9M-320.0K0.1317.40N/AN/A2,74336811,6687,176
2013-06-25$102.04$99.9139.4%11.3%40.5%32.5%39.0%3.9%1.2%1.3M-21.2M-331.4K0.548.94N/AN/A91249511,8607,278
2013-06-26$104.43$99.9137.1%10.6%41.7%28.5%36.1%5.4%1.6%1.7M-33.1M-341.3K0.1210.58N/AN/A2342612,2707,346
2013-06-27$107.60$99.9132.9%9.4%43.4%21.1%33.6%5.6%3.5%2.0M-47.7M-346.9K0.359.68N/AN/A37313112,3347,362
2013-06-28$107.73$99.9132.8%9.4%43.3%20.8%33.1%4.0%4.7%2.0M-47.0M-337.2K0.8410.35N/AN/A20617312,3107,424