HTZ Options History — September 2015

In September 2015, HTZ traded between $70.46 and $83.32. ATM implied volatility averaged 45.7%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 4.9% (HV 20d: 50.7%). Max pain ranged from $78.19 to $82.54. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-09-14: Highest Volume — 33,843 contracts
  • 2015-09-22: Largest IV spike — 13.0% change
  • 2015-09-01: Highest IV Rank — 57.2%
  • 2015-09-29: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.46$70.46$83.32$75.20$72.63
Max Pain$78.61$78.19$82.54$82.54$78.19
ATM IV45.7%39.9%54.6%54.6%51.1%
Expected Move13.2%11.3%15.9%15.5%14.8%
HV 20d50.7%44.9%62.1%62.1%47.8%
HV 60d55.6%54.7%57.4%54.7%57.3%
IV Rank38.0%25.5%57.2%57.2%49.5%
IV Percentile62.2%37.3%87.7%87.7%83.3%
Term Structure-0.4%-5.2%1.6%-5.2%0.2%
VWIV47.5%38.7%55.5%55.4%49.6%
Skew 25d7.1%4.5%9.9%5.6%9.7%
Skew 10d13.1%6.9%23.2%11.4%18.8%
Call IV 25d42.7%37.7%49.5%49.5%45.8%
Put IV 25d49.8%44.5%56.0%55.1%55.6%
Bid-Ask Spread %32.1017.3786.1986.1952.89
Gamma HHI0.190.140.320.140.14
Net GEX1.4M-558.6K4.0M120.5K1.2M
Net DEX4.7M-93.3M59.8M59.8M29.1M
Net VEX-769.7K-903.0K-606.1K-809.3K-704.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.102.510.911.25
Total Volume6,010.811,29933,8433,3034,117
Total OI99,169.04873,938116,867110,52682,119

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$75.20$82.5454.6%15.5%62.1%57.2%55.4%5.6%-5.2%120.5K59.8M-809.3K0.9186.19N/AN/A1,7311,57273,13937,387
2015-09-02$77.67$82.5449.8%14.3%61.0%46.7%51.8%7.5%-1.9%450.1K34.1M-849.2K0.9883.44N/AN/A1,4391,40773,35637,779
2015-09-03$78.06$78.1946.3%13.2%61.0%39.2%47.6%9.0%0.0%451.1K26.4M-847.2K0.9423.58N/AN/A1,3471,26173,46438,083
2015-09-04$76.67$78.1948.2%13.5%60.6%43.3%50.0%9.9%-0.0%-68.0K53.4M-789.7K0.8824.15N/AN/A1,4651,28973,56338,111
2015-09-08$78.41$78.1947.0%13.1%55.7%40.7%43.4%6.1%-1.0%96.0K27.9M-781.0K0.3121.09N/AN/A99330673,16837,624
2015-09-09$78.28$78.1946.1%13.3%53.8%38.8%49.4%6.2%0.0%521.7K22.9M-760.1K0.9218.59N/AN/A1,5801,45773,75637,782
2015-09-10$79.28$78.1946.1%12.9%45.3%38.8%48.6%4.7%-1.4%644.2K11.3M-773.3K0.6721.08N/AN/A1,7371,16174,09437,685
2015-09-11$79.41$78.1944.6%13.0%45.2%35.5%47.3%5.3%0.9%-392.4K10.7M-757.2K0.6223.12N/AN/A1,7811,10474,54537,762
2015-09-14$78.24$78.1944.8%12.8%44.9%36.0%48.0%4.5%0.2%-558.6K36.3M-682.1K0.6717.37N/AN/A20,29113,55273,46837,554
2015-09-15$81.67$78.1941.4%11.9%46.1%28.8%44.3%5.5%0.4%3.1M-67.7M-890.6K2.5117.67N/AN/A1,0232,57274,17239,788
2015-09-16$83.32$78.1941.6%11.9%46.7%29.0%40.8%6.3%0.1%4.0M-93.3M-903.0K0.1719.02N/AN/A11,4551,95774,49340,732
2015-09-17$82.97$78.1940.1%11.5%46.7%25.9%41.6%6.8%-0.5%3.2M-93.1M-891.7K0.1026.02N/AN/A9,95497875,68240,900
2015-09-18$78.80$78.1941.9%12.0%48.3%29.7%40.7%6.2%-0.0%3.0M-14.3M-791.5K0.1620.31N/AN/A10,0301,63175,95940,908
2015-09-21$80.19$78.1939.9%11.3%45.4%25.5%38.7%7.2%1.6%3.4M-38.9M-790.7K1.0723.03N/AN/A1,1911,27850,82923,109
2015-09-22$76.24$78.1945.1%12.7%48.4%36.6%43.8%6.1%-1.0%2.4M-7.9M-734.3K2.4021.42N/AN/A1,1182,67851,23023,389
2015-09-23$74.33$78.1944.8%12.8%49.0%35.9%46.8%8.9%-0.9%1.5M20.0M-689.1K1.8720.87N/AN/A1,5582,91351,51525,020
2015-09-24$74.63$78.1944.3%13.2%47.9%34.8%49.4%8.2%0.5%1.5M18.6M-698.1K0.8724.87N/AN/A1,9361,67851,77025,481
2015-09-25$77.24$78.1943.1%12.4%46.7%32.3%50.9%8.5%-0.3%2.5M-7.2M-751.9K1.2622.75N/AN/A1,3731,73552,38525,507
2015-09-28$72.94$78.1948.3%14.1%50.3%43.5%55.5%6.7%0.8%1.4M24.7M-662.1K0.5752.40N/AN/A1,7771,00652,15825,431
2015-09-29$70.46$78.1951.5%15.9%51.1%50.5%53.8%9.4%-0.4%706.4K44.8M-606.1K1.6854.29N/AN/A2,5334,26352,05225,601
2015-09-30$72.63$78.1951.1%14.8%47.8%49.5%49.6%9.7%0.2%1.2M29.1M-704.7K1.2552.89N/AN/A1,8272,29053,55028,569