HTZ Options History — June 2015 In June 2015, HTZ traded between $78.89 and $91.96. ATM implied volatility averaged 40.6%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.6% (HV 20d: 34.0%). Max pain ranged from $86.88 to $95.57. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.90.
Notable Days 2015-06-18 : Highest Volume — 19,256 contracts2015-06-25 : Largest IV spike — 22.9% change2015-06-25 : Highest IV Rank — 42.1%2015-06-29 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $87.75 $78.89 $91.96 $85.36 $78.89 Max Pain $89.55 $86.88 $95.57 $91.23 $91.23 ATM IV 40.6% 35.7% 47.6% 37.8% 44.0% Expected Move 11.7% 10.6% 14.8% 10.7% 14.2% HV 20d 34.0% 27.4% 39.2% 36.1% 32.9% HV 60d 32.7% 30.8% 34.8% 30.8% 34.8% IV Rank 27.0% 16.5% 42.1% 21.0% 34.4% IV Percentile 55.7% 25.8% 82.5% 45.2% 73.0% Term Structure 0.2% -6.2% 5.1% -0.0% 1.0% VWIV 39.4% 32.7% 49.4% 37.3% 49.4% Skew 25d 4.0% -1.7% 12.5% 1.1% -1.7% Skew 10d 4.1% -8.3% 16.4% 2.6% -1.1% Call IV 25d 38.5% 29.2% 48.2% 36.0% 46.4% Put IV 25d 42.5% 37.0% 56.2% 37.0% 44.6% Bid-Ask Spread % 25.35 20.07 35.45 20.07 20.10 Gamma HHI 0.21 0.14 0.28 0.21 0.14 Net GEX 4.1M 1.4M 6.5M 1.4M 1.6M Net DEX -54.0M -135.0M 39.9M 19.5M 39.9M Net VEX -1.1M -1.3M -1.0M -1.0M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.23 2.70 0.97 1.53 Total Volume 6,236.909 2,304 19,256 3,078 3,600 Total OI 94,776.773 76,084 111,859 93,703 88,538
Daily Data (22 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 2015-06-01 $85.36 $91.23 37.8% 10.7% 36.1% 21.0% 37.3% 1.1% -0.0% 1.4M 19.5M -1.0M 0.97 20.07 N/A N/A 1,562 1,516 58,023 35,680 2015-06-02 $89.01 $91.23 42.6% 11.6% 39.2% 31.3% 40.7% 12.5% -1.5% 3.8M -49.9M -1.1M 0.23 32.78 N/A N/A 3,369 776 58,739 36,055 2015-06-03 $90.44 $89.05 39.8% 11.6% 38.9% 25.2% 41.0% 5.8% -1.4% 5.6M -90.7M -1.2M 0.69 23.57 N/A N/A 1,796 1,240 60,859 36,148 2015-06-04 $88.79 $86.88 40.1% 11.0% 38.5% 26.0% 39.9% 5.2% -2.2% 4.9M -61.9M -1.1M 1.05 26.49 N/A N/A 1,127 1,177 61,162 36,202 2015-06-05 $88.84 $86.88 38.9% 11.1% 38.5% 23.2% 32.7% 4.7% 0.0% 4.5M -47.4M -1.1M 1.45 24.23 N/A N/A 1,294 1,880 61,242 36,276 2015-06-08 $87.79 $86.88 39.5% 11.3% 38.4% 24.6% 35.4% 3.9% 0.7% 4.2M -44.8M -1.1M 0.84 21.18 N/A N/A 2,270 1,906 62,218 37,166 2015-06-09 $88.36 $86.88 40.6% 11.4% 38.2% 27.0% 34.8% 3.7% -1.0% 4.3M -42.9M -1.1M 0.82 24.24 N/A N/A 2,343 1,926 62,296 37,253 2015-06-10 $89.75 $86.88 38.6% 10.8% 36.0% 22.7% 35.0% 4.3% 0.7% 5.8M -74.2M -1.1M 0.72 23.93 N/A N/A 3,812 2,734 62,461 37,348 2015-06-11 $89.97 $86.88 38.8% 10.6% 34.9% 23.1% 36.0% 3.8% -1.9% 6.2M -84.0M -1.1M 0.77 28.26 N/A N/A 3,009 2,308 62,458 38,066 2015-06-12 $90.66 $86.88 35.7% 10.8% 34.9% 16.5% 34.9% 7.2% 2.1% 6.2M -81.8M -1.1M 0.74 23.71 N/A N/A 3,057 2,255 63,015 38,138 2015-06-15 $90.57 $86.88 38.0% 11.0% 29.8% 21.4% 36.0% 2.6% -1.4% 6.1M -88.4M -1.1M 2.70 23.69 N/A N/A 1,159 3,132 64,084 38,820 2015-06-16 $88.97 $86.88 39.0% 11.2% 30.4% 23.5% 35.0% 2.6% 0.3% 4.1M -57.0M -1.0M 0.99 22.58 N/A N/A 9,371 9,293 64,078 39,086 2015-06-17 $89.01 $95.57 39.5% 11.3% 27.4% 24.6% 37.8% 2.1% 3.3% 4.9M -70.4M -1.1M 0.76 35.45 N/A N/A 3,362 2,543 64,751 40,475 2015-06-18 $91.96 $91.23 40.0% 11.3% 28.3% 25.7% 38.6% 4.5% 5.1% 6.5M -135.0M -1.2M 0.73 22.01 N/A N/A 11,129 8,127 66,572 40,568 2015-06-19 $88.97 $91.23 41.2% 11.8% 30.5% 28.3% 39.7% 3.3% -0.5% 2.8M -88.0M -1.2M 0.98 22.57 N/A N/A 7,252 7,113 68,859 43,000 2015-06-22 $88.88 $91.23 39.7% 10.9% 29.9% 25.0% 38.7% 3.8% 0.8% 3.5M -75.2M -1.2M 0.39 23.45 N/A N/A 3,317 1,293 49,399 26,685 2015-06-23 $89.92 $91.23 39.9% 11.0% 28.1% 25.4% 39.7% 6.3% 1.3% 4.1M -91.3M -1.3M 0.80 24.30 N/A N/A 1,435 1,151 51,422 27,481 2015-06-24 $87.97 $91.23 38.8% 11.6% 29.2% 23.0% 40.6% 0.5% 2.5% 3.9M -70.7M -1.2M 0.47 23.29 N/A N/A 3,132 1,468 51,586 27,542 2015-06-25 $82.93 $91.23 47.6% 13.2% 35.8% 42.1% 46.6% 2.8% -6.2% 2.3M -9.2M -1.1M 1.03 31.78 N/A N/A 2,780 2,868 52,095 28,092 2015-06-26 $82.84 $91.23 46.8% 14.3% 35.5% 40.4% 48.1% 8.1% 0.2% 2.2M -2.7M -1.2M 0.47 33.47 N/A N/A 4,796 2,270 55,096 29,669 2015-06-29 $80.67 $91.23 46.5% 14.8% 36.4% 39.6% 48.1% 0.2% 2.5% 1.9M 18.9M -1.1M 0.77 26.55 N/A N/A 2,974 2,290 56,321 30,065 2015-06-30 $78.89 $91.23 44.0% 14.2% 32.9% 34.4% 49.4% -1.7% 1.0% 1.6M 39.9M -1.1M 1.53 20.10 N/A N/A 1,423 2,177 58,032 30,506
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