HTZ Options History — December 2013

In December 2013, HTZ traded between $105.39 and $124.33. ATM implied volatility averaged 31.6%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 10.4% (HV 20d: 21.2%). Max pain ranged from $86.88 to $95.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2013-12-31: Highest Volume — 12,366 contracts
  • 2013-12-30: Largest IV spike — 10.0% change
  • 2013-12-16: Highest IV Rank — 45.3%
  • 2013-12-04: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.10$105.39$124.33$107.21$124.33
Max Pain$93.09$86.88$95.57$86.88$95.57
ATM IV31.6%28.3%34.4%30.3%33.3%
Expected Move10.6%10.2%10.9%10.7%10.2%
HV 20d21.2%14.4%50.0%50.0%37.4%
HV 60d47.5%36.8%52.8%52.8%41.0%
IV Rank36.1%24.8%45.3%31.6%41.8%
IV Percentile40.1%13.1%63.9%28.6%54.4%
Term Structure2.4%-0.9%5.2%2.6%-0.9%
VWIV36.3%22.0%39.9%36.8%37.6%
Skew 25d2.9%-1.9%4.4%2.0%1.8%
Skew 10d8.4%2.3%19.3%5.4%4.9%
Call IV 25d31.3%27.2%33.7%30.4%33.7%
Put IV 25d34.1%31.6%36.5%32.5%35.6%
Bid-Ask Spread %14.006.6421.236.6421.23
Gamma HHI0.220.160.290.190.16
Net GEX7.5M5.4M10.8M6.2M5.4M
Net DEX-188.9M-279.4M-139.6M-160.7M-279.4M
Net VEX-750.0K-854.6K-598.8K-813.1K-598.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.050.690.360.22
Total Volume1,885.8121812,3661,48412,366
Total OI55,243.85742,90062,08755,87045,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$107.21$86.8830.3%10.7%50.0%31.6%0.0%2.0%2.6%6.2M-160.7M-813.1K0.366.64N/AN/A1,08839635,48620,384
2013-12-03$106.73$86.8830.7%10.8%47.6%33.0%36.8%2.5%0.9%6.3M-155.5M-804.4K0.4213.51N/AN/A2,4011,01135,69320,380
2013-12-04$105.39$86.8831.4%10.9%23.5%35.2%0.0%-1.9%1.3%6.0M-139.6M-828.4K0.2015.22N/AN/A1,13723036,51121,167
2013-12-05$106.17$86.8834.0%10.8%23.2%44.0%37.5%2.5%1.8%6.3M-153.3M-833.3K0.1817.59N/AN/A3,23159337,11521,174
2013-12-06$107.52$86.8831.1%10.8%22.0%34.2%0.0%3.0%3.7%7.5M-175.5M-854.6K0.1515.96N/AN/A71610839,03821,487
2013-12-09$107.99$86.8832.4%10.8%21.8%38.8%37.8%3.0%3.2%7.8M-187.2M-829.0K0.2212.35N/AN/A73716239,09421,491
2013-12-10$107.95$95.5730.8%10.7%19.7%33.4%36.8%4.4%2.5%8.1M-186.3M-813.4K0.1713.79N/AN/A72912539,16621,467
2013-12-11$107.08$95.5732.0%10.8%17.5%37.5%38.2%2.1%2.6%8.1M-174.2M-809.5K0.1814.19N/AN/A78513839,42921,457
2013-12-12$108.25$95.5733.9%10.7%15.8%43.7%22.0%4.2%2.3%8.6M-192.6M-795.7K0.2813.97N/AN/A68119239,59921,420
2013-12-13$107.69$95.5733.6%10.8%14.7%42.6%0.0%2.9%3.0%8.8M-186.2M-788.7K0.0512.17N/AN/A9634439,74121,451
2013-12-16$109.51$95.5734.4%10.7%15.1%45.3%0.0%4.0%2.3%9.8M-218.2M-760.1K0.6911.83N/AN/A62743039,93421,455
2013-12-17$109.25$95.5733.7%10.7%14.4%43.1%0.0%3.6%3.3%9.8M-215.2M-747.9K0.2413.83N/AN/A79418840,01321,635
2013-12-18$111.29$95.5731.6%10.6%14.7%35.9%36.6%4.0%5.0%10.8M-249.6M-733.8K0.5119.06N/AN/A65333540,44821,639
2013-12-19$110.38$95.5732.8%10.5%15.4%40.2%38.0%2.7%3.2%9.9M-225.6M-705.7K0.4514.85N/AN/A95642938,24921,594
2013-12-20$111.86$95.5730.3%10.6%15.3%31.6%37.2%3.2%5.2%9.2M-242.8M-685.1K0.6712.82N/AN/A1,07472438,07021,843
2013-12-23$113.12$95.5730.2%10.4%15.4%31.2%39.9%4.2%1.3%5.5M-167.4M-679.9K0.1115.49N/AN/A1,43016028,19714,703
2013-12-24$112.99$95.5729.5%10.4%15.3%28.7%0.0%3.5%1.9%5.9M-166.5M-682.0K0.0714.47N/AN/A5703728,60414,780
2013-12-26$112.95$95.5729.3%10.4%15.1%28.0%35.4%3.8%2.5%5.9M-168.5M-665.5K0.5511.88N/AN/A1407828,82414,788
2013-12-27$111.86$95.5728.3%10.5%15.8%24.8%38.5%4.4%2.7%5.9M-156.7M-666.3K0.2010.22N/AN/A86916928,83814,789
2013-12-30$112.55$95.5731.1%10.4%15.6%34.4%0.0%0.1%0.1%5.9M-165.2M-655.5K0.0512.90N/AN/A2,00010628,94314,859
2013-12-31$124.33$95.5733.3%10.2%37.4%41.8%37.6%1.8%-0.9%5.4M-279.4M-598.8K0.2221.23N/AN/A10,1482,21830,27414,892