HTZ Options History — January 2015

In January 2015, HTZ traded between $89.27 and $108.56. ATM implied volatility averaged 45.0%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.9% (HV 20d: 44.2%). Max pain ranged from $95.57 to $104.26. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-01-15: Highest Volume — 17,112 contracts
  • 2015-01-05: Largest IV spike — 13.5% change
  • 2015-01-16: Highest IV Rank — 45.3%
  • 2015-01-15: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.98$89.27$108.56$108.56$89.27
Max Pain$98.18$95.57$104.26$104.26$95.57
ATM IV45.0%40.2%48.1%42.2%47.8%
Expected Move12.8%12.0%14.4%12.0%13.5%
HV 20d44.2%31.7%52.2%47.4%32.1%
HV 60d44.8%42.2%49.6%48.2%42.4%
IV Rank38.9%28.8%45.3%33.0%44.6%
IV Percentile71.5%52.8%79.8%63.5%77.8%
Term Structure0.5%-3.2%6.2%0.5%1.5%
VWIV45.1%41.2%51.0%41.2%51.0%
Skew 25d4.1%-1.2%10.5%2.3%6.9%
Skew 10d11.7%-11.5%30.2%-0.1%-11.5%
Call IV 25d43.1%36.8%48.6%41.8%44.0%
Put IV 25d47.2%42.0%52.2%44.1%50.9%
Bid-Ask Spread %24.5219.2028.5028.3825.18
Gamma HHI0.150.110.280.120.13
Net GEX1.4M-3.1M5.0M5.0M1.1M
Net DEX-24.6M-213.0M149.5M-213.0M5.9M
Net VEX-1.1M-1.3M-910.5K-1.3M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.375.521.461.58
Total Volume5,045.1592917,1123,0196,131
Total OI103,494.1563,883144,157124,97380,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$108.56$104.2642.2%12.0%47.4%33.0%41.2%2.3%0.5%5.0M-213.0M-1.3M1.4628.38N/AN/A1,2261,79375,70049,273
2015-01-05$102.39$104.2647.9%12.4%51.9%44.7%43.6%3.0%-1.0%2.9M-80.5M-1.2M1.4828.50N/AN/A1,5862,34075,40948,139
2015-01-06$100.65$104.2646.5%13.0%52.2%42.0%47.0%2.7%-3.2%1.9M-47.2M-1.1M1.2426.41N/AN/A9671,20375,75748,964
2015-01-07$101.91$99.9144.6%12.8%51.6%38.0%44.9%4.3%-0.4%1.8M-55.4M-1.1M1.2125.36N/AN/A1,6061,94375,97449,540
2015-01-08$103.30$99.9143.9%12.0%51.8%36.5%42.8%10.1%1.2%2.2M-96.3M-1.1M1.9126.33N/AN/A1,3062,49076,10450,958
2015-01-09$101.78$99.9141.9%12.3%50.0%32.5%43.8%1.1%-2.2%2.2M-63.8M-1.0M1.1325.88N/AN/A1,2141,36776,37351,465
2015-01-12$100.74$99.9144.7%12.4%49.6%38.1%43.9%2.4%-1.0%1.8M-30.2M-962.1K1.3924.40N/AN/A9051,26075,66950,662
2015-01-13$99.44$99.9140.2%12.2%47.4%28.8%44.3%0.5%5.3%1.5M-2.9M-910.5K0.5426.29N/AN/A6,1563,32575,72850,832
2015-01-14$94.79$99.9143.2%13.6%50.7%35.1%48.3%-1.2%6.2%-2.0M95.3M-962.3K0.7426.87N/AN/A4,8653,60177,57753,063
2015-01-15$92.70$95.5748.0%14.4%49.7%45.1%49.1%-0.4%1.1%-2.7M118.7M-987.0K0.9123.00N/AN/A8,9638,14981,29254,911
2015-01-16$92.44$95.5748.1%13.5%48.9%45.3%45.8%7.1%-1.6%-3.1M149.5M-1.0M1.7219.20N/AN/A2,9155,02686,47757,680
2015-01-20$93.48$95.5747.4%13.6%44.2%43.7%47.2%8.1%-0.0%1.1M-26.5M-1.1M0.4125.31N/AN/A3,5581,44638,98324,900
2015-01-21$94.92$95.5745.7%13.1%44.6%40.3%46.0%4.7%1.8%1.8M-43.2M-1.1M0.3722.41N/AN/A73426941,11726,115
2015-01-22$95.83$95.5745.1%12.9%44.8%39.1%42.1%7.2%1.2%2.7M-57.1M-1.1M1.0323.82N/AN/A1,7921,84441,65226,300
2015-01-23$93.83$95.5743.7%12.5%33.9%36.1%43.9%4.3%-0.6%2.7M-38.3M-1.1M5.5224.25N/AN/A1,4828,18642,71026,828
2015-01-26$94.92$95.5742.4%12.6%34.5%33.5%43.7%5.5%2.0%1.8M-40.0M-1.1M0.6122.75N/AN/A57835142,88131,994
2015-01-27$94.92$95.5744.3%12.6%34.0%37.4%45.4%10.5%-1.7%2.2M-46.3M-1.1M0.6519.55N/AN/A85955943,24132,161
2015-01-28$92.66$95.5747.3%12.5%31.7%43.6%42.7%4.4%-2.1%1.8M-22.9M-1.0M0.4022.36N/AN/A1,31153143,75432,577
2015-01-29$91.05$95.5746.0%12.7%31.9%40.9%44.6%-1.1%2.2%658.0K2.2M-1.0M0.8724.24N/AN/A3,7763,29044,16332,635
2015-01-30$89.27$95.5747.8%13.5%32.1%44.6%51.0%6.9%1.5%1.1M5.9M-1.0M1.5825.18N/AN/A2,3753,75646,49533,830