HTZ Options History — September 2013

In September 2013, HTZ traded between $93.96 and $118.94. ATM implied volatility averaged 30.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.0% (HV 20d: 31.9%). Max pain ranged from $95.57 to $112.95. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2013-09-26: Highest Volume — 19,842 contracts
  • 2013-09-26: Largest IV spike — 22.2% change
  • 2013-09-26: Highest IV Rank — 27.8%
  • 2013-09-26: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.54$93.96$118.94$106.86$96.26
Max Pain$109.47$95.57$112.95$108.60$95.57
ATM IV30.9%26.4%36.7%31.1%36.5%
Expected Move9.1%8.4%10.5%8.9%10.5%
HV 20d31.9%23.5%69.0%23.5%68.8%
HV 60d32.0%27.2%45.7%32.2%44.9%
IV Rank17.6%9.5%27.8%17.8%27.5%
IV Percentile30.5%6.3%73.0%26.6%71.8%
Term Structure2.1%0.9%3.7%2.1%1.6%
VWIV31.8%27.2%37.5%31.1%37.5%
Skew 25d3.6%-0.3%5.2%3.3%2.7%
Skew 10d8.8%-0.9%18.5%6.0%-0.9%
Call IV 25d30.6%27.2%38.3%31.5%36.8%
Put IV 25d34.2%31.5%39.4%34.8%39.4%
Bid-Ask Spread %11.445.8717.495.878.30
Gamma HHI0.280.150.760.160.16
Net GEX4.3M107.0K15.3M1.7M758.7K
Net DEX-54.8M-117.0M9.3M-24.3M-13.4M
Net VEX-462.2K-654.3K-392.1K-428.6K-640.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.030.880.880.41
Total Volume2,356.7523219,8423111,152
Total OI27,526.820,93838,30425,93138,304

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$106.86$108.6031.1%8.9%23.5%17.8%31.1%3.3%2.1%1.7M-24.3M-428.6K0.885.87N/AN/A16614515,21910,712
2013-09-04$109.21$108.6031.1%8.9%23.6%17.9%30.6%4.9%1.8%2.3M-33.9M-438.9K0.799.08N/AN/A28222215,25710,770
2013-09-05$110.73$108.6029.4%8.4%23.9%14.9%27.2%4.2%3.7%2.8M-42.9M-440.1K0.146.13N/AN/A5497515,35410,953
2013-09-06$109.73$108.6028.4%9.1%24.1%13.0%31.9%4.0%2.5%2.7M-38.4M-431.5K0.1812.43N/AN/A1973515,61110,963
2013-09-09$111.21$108.6029.5%9.3%24.5%15.1%32.7%5.2%1.1%3.2M-46.6M-430.8K0.0410.94N/AN/A2,0378715,68610,975
2013-09-10$113.99$108.6028.5%9.0%25.8%13.2%31.5%4.7%2.2%5.1M-72.2M-446.9K0.3816.13N/AN/A48018116,83511,001
2013-09-11$114.47$108.6026.4%9.1%25.4%9.5%32.2%4.6%1.5%5.4M-73.7M-443.4K0.5214.99N/AN/A31816616,79411,052
2013-09-12$115.38$108.6030.0%8.6%25.0%15.9%31.1%4.2%1.9%6.0M-82.7M-438.0K0.5317.49N/AN/A25013116,78811,128
2013-09-13$116.81$112.9530.3%8.7%24.8%16.5%30.4%3.9%2.7%6.2M-95.5M-433.6K0.1111.23N/AN/A1,85320316,78411,165
2013-09-16$116.94$112.9530.9%8.8%24.8%17.5%30.7%4.1%2.3%7.2M-98.1M-429.7K0.1011.92N/AN/A1,03710017,33511,219
2013-09-17$118.94$112.9530.4%8.7%24.7%16.6%30.7%2.9%2.1%7.5M-117.0M-422.4K0.3610.95N/AN/A49017717,58811,250
2013-09-18$115.55$112.9530.9%8.9%27.1%17.5%32.0%3.1%1.2%7.2M-86.7M-419.6K0.1813.94N/AN/A4,80087117,39011,263
2013-09-19$115.46$112.9531.0%8.9%26.7%17.6%31.0%3.7%0.9%7.8M-79.2M-392.1K0.0314.16N/AN/A2,7997616,38411,693
2013-09-20$112.90$112.9531.2%8.9%27.8%18.0%30.8%2.4%1.7%15.3M-65.4M-494.5K0.1213.32N/AN/A93511618,65011,740
2013-09-23$111.34$112.9530.9%8.9%28.3%17.6%31.0%3.3%2.5%1.5M-37.0M-483.1K0.729.95N/AN/A40129012,0218,917
2013-09-24$112.12$112.9529.9%8.6%28.3%15.8%30.3%4.0%3.0%1.6M-40.0M-487.9K0.3112.90N/AN/A57917712,2819,124
2013-09-25$111.99$112.9530.0%8.6%24.6%16.0%30.5%4.9%3.1%1.7M-40.7M-492.5K0.3911.83N/AN/A27010412,6339,284
2013-09-26$93.96$112.9536.7%10.5%68.0%27.8%37.0%-0.3%2.1%107.0K9.3M-396.1K0.787.89N/AN/A11,1758,66712,8069,323
2013-09-27$96.96$95.5735.8%10.3%69.0%26.1%35.7%2.2%1.9%824.8K-16.8M-654.3K0.309.34N/AN/A4,2591,28321,90016,384
2013-09-30$96.26$95.5736.5%10.5%68.8%27.5%37.5%2.7%1.6%758.7K-13.4M-640.7K0.418.30N/AN/A81833421,91816,386