HTZ Options History — March 2014 In March 2014, HTZ traded between $111.25 and $122.07. ATM implied volatility averaged 41.1%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.8% (HV 20d: 35.3%). Max pain ranged from $95.57 to $108.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.37.
Notable Days 2014-03-17 : Highest Volume — 17,143 contracts2014-03-13 : Largest IV drop — 25.9% change2014-03-03 : Highest IV Rank — 100.0%2014-03-05 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $116.67 $111.25 $122.07 $118.38 $115.73 Max Pain $101.15 $95.57 $108.60 $108.60 $95.57 ATM IV 41.1% 28.9% 57.4% 53.0% 29.1% Expected Move 10.3% 10.1% 10.4% 10.3% 10.1% HV 20d 35.3% 32.0% 38.7% 36.8% 32.8% HV 60d 34.8% 30.6% 36.9% 33.5% 31.2% IV Rank 53.7% 13.3% 100.0% 100.0% 13.8% IV Percentile 60.1% 9.5% 100.0% 100.0% 9.9% Term Structure -1.3% -11.1% 5.3% -11.1% 4.3% VWIV 36.9% 34.4% 40.0% 37.0% 36.5% Skew 25d 1.1% -1.6% 3.4% 0.8% 2.5% Skew 10d 2.0% -4.8% 6.4% 0.6% 3.7% Call IV 25d 38.3% 28.4% 53.0% 52.3% 28.4% Put IV 25d 39.3% 29.0% 53.1% 53.1% 30.8% Bid-Ask Spread % 13.54 8.82 21.58 21.58 9.33 Gamma HHI 0.14 0.11 0.18 0.13 0.14 Net GEX 8.6M 4.2M 12.1M 9.4M 6.1M Net DEX -221.2M -358.5M -72.3M -261.0M -136.1M Net VEX -1.4M -1.6M -1.2M -1.5M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.11 0.93 0.73 0.23 Total Volume 3,652.381 448 17,143 3,558 495 Total OI 97,174.048 64,200 115,593 101,162 67,399
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-03-03 $118.38 $108.60 53.0% 10.3% 36.8% 100.0% 37.0% 0.8% -11.1% 9.4M -261.0M -1.5M 0.73 21.58 N/A N/A 2,057 1,501 64,397 36,765 2014-03-04 $121.59 $108.60 52.9% 10.4% 34.5% 99.8% 35.9% -0.6% -9.5% 11.1M -340.9M -1.5M 0.29 15.54 N/A N/A 3,294 965 65,572 37,402 2014-03-05 $122.07 $108.60 51.7% 10.4% 34.1% 95.4% 35.7% 0.8% -8.8% 12.0M -358.5M -1.6M 0.11 14.63 N/A N/A 1,258 142 67,335 37,863 2014-03-06 $121.63 $108.60 51.8% 10.4% 33.9% 96.0% 37.9% 0.4% -10.1% 12.0M -350.3M -1.5M 0.23 15.24 N/A N/A 1,089 251 67,149 37,917 2014-03-07 $120.94 $108.60 50.7% 10.4% 33.6% 92.1% 0.0% 2.6% -4.2% 11.9M -334.0M -1.5M 0.18 14.16 N/A N/A 641 115 67,602 38,060 2014-03-10 $120.76 $108.60 56.8% 10.4% 33.5% 100.0% 0.0% 3.4% -4.5% 12.0M -324.9M -1.5M 0.38 11.55 N/A N/A 578 219 67,789 38,070 2014-03-11 $116.25 $108.60 54.8% 10.3% 36.4% 93.9% 38.3% 1.3% -4.7% 9.5M -224.0M -1.4M 0.34 16.07 N/A N/A 6,899 2,360 67,782 38,197 2014-03-12 $113.25 $95.57 57.4% 10.3% 36.8% 100.0% 36.3% 0.1% -4.7% 7.4M -160.0M -1.5M 0.57 8.89 N/A N/A 3,162 1,794 71,558 40,140 2014-03-13 $112.12 $95.57 42.5% 10.3% 35.0% 54.6% 37.4% 0.7% -3.2% 6.8M -136.4M -1.5M 0.75 10.02 N/A N/A 1,431 1,080 73,441 41,237 2014-03-14 $112.86 $95.57 43.4% 10.4% 35.1% 57.4% 38.5% 1.1% -3.9% 7.5M -157.0M -1.5M 0.24 11.66 N/A N/A 2,166 526 73,798 41,795 2014-03-17 $118.25 $95.57 42.2% 10.4% 38.7% 53.7% 37.0% 0.7% -3.0% 12.1M -296.6M -1.5M 0.24 19.75 N/A N/A 13,820 3,323 73,456 41,845 2014-03-18 $117.64 $95.57 32.8% 10.3% 38.6% 25.2% 36.5% 0.3% 2.6% 11.7M -271.7M -1.4M 0.50 15.78 N/A N/A 4,673 2,350 71,225 43,880 2014-03-19 $117.59 $108.60 31.4% 10.1% 38.5% 20.8% 35.0% 2.0% 3.8% 10.5M -260.5M -1.4M 0.36 18.06 N/A N/A 1,974 709 71,414 43,507 2014-03-20 $116.59 $108.60 30.7% 10.2% 34.6% 18.7% 36.2% 1.6% 3.6% 9.2M -218.2M -1.3M 0.16 15.74 N/A N/A 3,159 502 70,067 43,154 2014-03-21 $119.11 $95.57 30.1% 10.1% 35.1% 17.0% 0.0% 2.1% 3.9% 8.4M -316.2M -1.3M 0.17 13.26 N/A N/A 4,400 745 70,011 43,227 2014-03-24 $115.86 $95.57 31.2% 10.2% 36.4% 20.1% 40.0% 1.3% 3.0% 5.3M -137.3M -1.2M 0.93 11.37 N/A N/A 1,621 1,511 40,424 23,776 2014-03-25 $113.81 $95.57 30.9% 10.1% 36.0% 19.4% 35.6% 0.8% 3.6% 4.8M -112.8M -1.2M 0.28 12.64 N/A N/A 1,012 279 40,672 23,928 2014-03-26 $111.95 $95.57 30.5% 10.2% 36.3% 18.1% 40.0% -1.6% 4.7% 4.3M -89.1M -1.2M 0.36 10.43 N/A N/A 1,520 543 40,903 24,148 2014-03-27 $111.25 $95.57 30.3% 10.1% 33.4% 17.5% 34.4% 2.1% 4.6% 4.2M -72.3M -1.2M 0.50 9.83 N/A N/A 1,396 692 41,907 24,456 2014-03-28 $112.42 $95.57 28.9% 10.2% 32.0% 13.3% 35.2% 0.1% 5.3% 4.6M -87.2M -1.2M 0.32 8.82 N/A N/A 340 108 42,411 24,976 2014-03-31 $115.73 $95.57 29.1% 10.1% 32.8% 13.8% 36.5% 2.5% 4.3% 6.1M -136.1M -1.2M 0.23 9.33 N/A N/A 403 92 42,411 24,988
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