HTZ Options History — September 2014 In September 2014, HTZ traded between $110.30 and $126.41. ATM implied volatility averaged 36.5%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 11.8% (HV 20d: 24.7%). Max pain ranged from $117.29 to $125.98. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.49.
Notable Days 2014-09-30 : Highest Volume — 20,570 contracts2014-09-30 : Largest IV spike — 7.8% change2014-09-30 : Highest IV Rank — 46.5%2014-09-05 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $119.46 $110.30 $126.41 $126.41 $110.30 Max Pain $122.67 $117.29 $125.98 $125.98 $117.29 ATM IV 36.5% 35.4% 40.2% 35.6% 40.2% Expected Move 10.3% 10.1% 10.6% 10.2% 10.4% HV 20d 24.7% 17.6% 32.0% 31.4% 22.0% HV 60d 23.7% 22.2% 25.2% 25.2% 24.5% IV Rank 34.8% 31.4% 46.5% 32.1% 46.5% IV Percentile 51.3% 43.7% 75.0% 48.4% 75.0% Term Structure 0.8% -1.4% 4.4% -0.0% 2.0% VWIV 36.3% 34.6% 38.3% 36.3% 37.2% Skew 25d -0.2% -4.8% 3.8% -0.6% 3.4% Skew 10d -1.9% -13.3% 2.6% -1.7% -13.3% Call IV 25d 38.1% 35.5% 40.7% 37.8% 39.1% Put IV 25d 38.0% 35.4% 42.5% 37.2% 42.5% Bid-Ask Spread % 22.14 19.04 32.26 20.61 32.26 Gamma HHI 0.15 0.12 0.17 0.17 0.12 Net GEX 9.6M 3.6M 13.7M 13.7M 3.6M Net DEX -179.2M -348.6M 17.2M -348.6M 17.2M Net VEX -2.1M -2.4M -1.7M -2.3M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.49 0.12 11.37 0.26 7.40 Total Volume 4,977.952 1,085 20,570 2,884 20,570 Total OI 128,456.095 100,673 145,073 127,809 111,793
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 2014-09-02 $126.41 $125.98 35.6% 10.2% 31.4% 32.1% 36.3% -0.6% -0.0% 13.7M -348.6M -2.3M 0.26 20.61 N/A N/A 2,288 596 81,846 45,963 2014-09-03 $124.15 $125.98 36.3% 10.5% 32.0% 34.2% 37.9% 0.0% 0.7% 12.4M -289.6M -2.3M 0.41 21.34 N/A N/A 5,745 2,350 83,629 46,116 2014-09-04 $122.63 $125.98 36.3% 10.5% 31.0% 34.1% 37.0% -1.4% 3.3% 11.6M -262.1M -2.3M 0.55 21.47 N/A N/A 2,272 1,259 87,173 46,906 2014-09-05 $123.63 $125.98 35.7% 10.6% 30.7% 32.3% 38.3% -0.6% 2.0% 13.2M -278.7M -2.4M 0.16 22.59 N/A N/A 3,047 497 88,385 47,848 2014-09-08 $123.81 $125.98 35.4% 10.4% 30.4% 31.4% 36.3% -2.3% 4.4% 12.9M -293.0M -2.3M 0.24 21.34 N/A N/A 9,147 2,180 90,340 47,918 2014-09-09 $121.50 $125.98 36.2% 10.4% 29.9% 33.8% 36.8% -2.3% 3.8% 12.0M -253.7M -2.3M 0.51 24.00 N/A N/A 902 462 93,629 49,592 2014-09-10 $120.33 $125.98 36.1% 10.5% 29.4% 33.7% 36.8% -0.7% 1.2% 9.3M -187.9M -2.2M 1.13 25.20 N/A N/A 4,942 5,573 92,119 49,778 2014-09-11 $120.55 $125.98 37.8% 10.3% 28.7% 38.8% 37.3% 1.9% 0.4% 9.7M -185.5M -2.2M 1.15 21.09 N/A N/A 556 639 94,003 51,070 2014-09-12 $120.20 $125.98 35.5% 10.3% 28.2% 31.7% 36.3% -2.5% 2.4% 10.7M -188.9M -2.1M 1.91 19.04 N/A N/A 1,878 3,592 91,921 49,766 2014-09-15 $119.50 $125.98 36.7% 10.2% 25.9% 35.5% 35.7% 1.0% -0.2% 8.4M -151.0M -2.0M 1.73 19.86 N/A N/A 398 687 91,600 49,444 2014-09-16 $119.90 $121.63 35.6% 10.2% 21.9% 32.0% 34.9% 1.1% 0.7% 8.7M -156.6M -2.0M 0.85 21.17 N/A N/A 2,008 1,700 91,706 49,717 2014-09-17 $119.50 $121.63 36.1% 10.1% 20.8% 33.5% 35.9% -0.4% 0.3% 8.5M -159.1M -2.0M 0.12 23.99 N/A N/A 3,443 411 92,978 51,032 2014-09-18 $120.63 $121.63 36.7% 10.4% 17.6% 35.5% 36.1% 0.0% -0.0% 10.7M -190.4M -2.0M 0.41 22.22 N/A N/A 1,426 582 92,687 49,743 2014-09-19 $121.20 $121.63 36.4% 10.3% 17.8% 34.7% 35.9% 0.2% -0.0% 13.3M -219.0M -2.0M 0.18 23.46 N/A N/A 3,494 615 93,119 50,048 2014-09-22 $117.25 $121.63 37.1% 10.3% 19.0% 36.8% 35.7% -2.0% -1.4% 7.6M -126.6M -1.9M 0.27 20.72 N/A N/A 4,800 1,280 68,756 31,917 2014-09-23 $116.46 $121.63 36.2% 10.1% 18.9% 34.0% 36.3% 0.7% -0.4% 7.7M -126.5M -1.9M 0.29 21.27 N/A N/A 860 253 71,380 33,024 2014-09-24 $118.03 $117.29 36.2% 10.2% 19.8% 33.9% 35.3% 3.8% -1.3% 8.5M -143.7M -2.0M 0.29 20.92 N/A N/A 2,842 833 71,801 33,198 2014-09-25 $114.29 $117.29 36.3% 10.1% 21.0% 34.3% 35.0% -4.8% -1.0% 6.9M -80.8M -1.9M 0.68 19.20 N/A N/A 912 617 73,327 34,009 2014-09-26 $115.16 $117.29 36.6% 10.1% 21.4% 35.1% 34.6% 0.7% -1.0% 7.3M -88.9M -1.9M 11.37 21.97 N/A N/A 505 5,742 73,824 34,493 2014-09-29 $113.29 $117.29 37.3% 10.2% 20.9% 37.3% 36.0% 1.3% 1.3% 5.4M -48.9M -1.8M 1.29 21.15 N/A N/A 1,150 1,484 73,758 36,222 2014-09-30 $110.30 $117.29 40.2% 10.4% 22.0% 46.5% 37.2% 3.4% 2.0% 3.6M 17.2M -1.7M 7.40 32.26 N/A N/A 2,449 18,121 74,341 37,452
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