HTZ Options History — January 2014

In January 2014, HTZ traded between $112.99 and $124.59. ATM implied volatility averaged 33.4%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.4% (HV 20d: 37.8%). Max pain ranged from $95.57 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 0.52.

Notable Days

  • 2014-01-24: Highest Volume — 14,459 contracts
  • 2014-01-13: Largest IV spike — 17.8% change
  • 2014-01-06: Highest IV Rank — 55.4%
  • 2014-01-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.09$112.99$124.59$124.59$113.03
Max Pain$95.57$95.57$95.57$95.57$95.57
ATM IV33.4%28.1%37.3%34.7%34.8%
Expected Move10.4%10.2%10.8%10.3%10.5%
HV 20d37.8%22.7%42.8%37.2%23.0%
HV 60d39.2%37.6%40.9%40.9%37.6%
IV Rank40.9%24.0%55.4%46.6%39.7%
IV Percentile55.1%11.1%81.7%71.4%69.8%
Term Structure3.5%-2.3%5.6%0.1%4.3%
VWIV36.7%35.0%41.2%37.3%41.2%
Skew 25d-0.3%-2.6%1.5%0.7%-1.5%
Skew 10d0.6%-3.7%16.1%2.5%-3.2%
Call IV 25d34.4%30.7%38.5%35.9%37.1%
Put IV 25d34.1%30.1%37.2%36.6%35.6%
Bid-Ask Spread %20.0712.8853.3620.2417.95
Gamma HHI0.150.130.190.140.13
Net GEX6.6M4.7M9.3M6.4M5.4M
Net DEX-217.2M-303.0M-137.7M-300.4M-139.8M
Net VEX-1.1M-1.5M-691.3K-691.3K-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.061.550.230.12
Total Volume4,830.57170114,4593,563731
Total OI67,192.09550,53978,51950,53978,519

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$124.59$95.5734.7%10.3%37.2%46.6%37.3%0.7%0.1%6.4M-300.4M-691.3K0.2320.24N/AN/A2,89766634,25616,283
2014-01-03$123.81$95.5736.1%10.8%36.8%51.3%37.9%1.5%-2.3%6.6M-303.0M-710.5K0.4333.55N/AN/A9,5614,07735,53316,662
2014-01-06$122.46$95.5737.3%10.5%37.4%55.4%36.1%0.9%2.5%7.6M-296.9M-899.6K0.2015.60N/AN/A4,08382940,59519,890
2014-01-07$120.63$95.5734.6%10.4%38.2%46.3%37.4%1.2%3.2%8.3M-272.0M-928.5K0.2015.40N/AN/A3,79075242,40620,415
2014-01-08$120.29$95.5732.4%10.3%38.3%38.8%0.0%0.7%2.9%8.9M-278.5M-935.2K1.0319.09N/AN/A1,0461,07844,46420,917
2014-01-09$120.16$95.5730.0%10.3%38.3%30.5%0.0%0.5%3.4%9.3M-280.0M-948.7K0.0613.74N/AN/A2,84316744,76421,464
2014-01-10$120.50$95.5728.2%10.3%38.0%24.3%36.4%0.9%3.0%8.1M-280.4M-938.5K0.5516.84N/AN/A6,3833,52444,36421,532
2014-01-13$117.94$95.5733.2%10.4%39.2%41.3%36.3%-0.6%3.1%7.4M-241.5M-1.1M0.2912.88N/AN/A1,46942048,13124,844
2014-01-14$118.64$95.5733.5%10.4%39.0%42.5%37.3%-0.3%2.8%7.3M-250.3M-1.1M0.3716.86N/AN/A51119048,95425,019
2014-01-15$115.99$95.5728.1%10.2%39.9%24.0%36.0%-0.9%5.0%6.7M-203.3M-1.0M0.6414.17N/AN/A3,6282,32547,71224,481
2014-01-16$117.38$95.5732.4%10.2%40.0%38.8%36.9%-0.3%4.3%6.1M-229.7M-1.2M0.2216.88N/AN/A1,88241349,94625,832
2014-01-17$117.64$95.5731.0%10.3%39.6%33.8%35.6%0.3%5.0%6.1M-239.4M-1.2M0.5217.43N/AN/A89546550,78826,129
2014-01-21$117.98$95.5731.2%10.2%39.4%34.5%35.0%-0.6%5.3%5.7M-157.6M-1.1M0.6918.94N/AN/A71449035,91518,106
2014-01-22$119.81$95.5732.1%10.2%39.4%37.7%0.0%-2.6%5.6%5.9M-181.6M-1.2M1.5525.23N/AN/A4,2356,56236,38418,493
2014-01-23$116.72$95.5733.2%10.3%40.7%41.3%35.6%-2.5%4.0%4.8M-144.7M-1.2M1.2016.47N/AN/A1,4531,73638,31121,860
2014-01-24$116.20$95.5736.3%10.5%40.7%51.9%36.8%-1.3%3.6%4.7M-144.4M-1.3M0.5653.36N/AN/A9,2625,19739,51723,128
2014-01-27$113.12$95.5736.5%10.4%41.9%52.5%36.5%-0.4%3.2%5.1M-137.7M-1.4M0.8616.25N/AN/A5,1694,44344,92026,353
2014-01-28$115.20$95.5735.1%10.4%42.2%42.8%0.0%-0.1%4.6%6.0M-172.7M-1.5M0.3116.73N/AN/A2,38773548,34129,435
2014-01-29$112.99$95.5735.2%10.4%42.8%41.3%35.0%-0.3%4.9%5.4M-140.2M-1.5M0.3224.19N/AN/A2,24672348,23029,873
2014-01-30$114.86$95.5736.0%10.3%22.7%44.2%41.2%-1.7%4.1%6.1M-166.6M-1.5M0.5719.65N/AN/A93353248,35929,909
2014-01-31$113.03$95.5734.8%10.5%23.0%39.7%0.0%-1.5%4.3%5.4M-139.8M-1.5M0.1217.95N/AN/A6547748,26830,251