HTZ Options History — November 2015

In November 2015, HTZ traded between $66.77 and $86.36. ATM implied volatility averaged 51.3%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 5.1% (HV 20d: 56.3%). Max pain ranged from $78.19 to $82.54. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-11-18: Highest Volume — 23,874 contracts
  • 2015-11-09: Largest IV spike — 11.2% change
  • 2015-11-16: Highest IV Rank — 72.0%
  • 2015-11-16: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.23$66.77$86.36$86.36$68.90
Max Pain$78.84$78.19$82.54$82.54$78.19
ATM IV51.3%45.3%59.8%45.3%47.4%
Expected Move15.1%13.7%17.2%14.6%14.2%
HV 20d56.3%33.4%64.8%41.0%62.7%
HV 60d53.2%47.2%55.5%51.0%52.7%
IV Rank52.6%39.1%72.0%39.1%43.7%
IV Percentile87.3%64.3%98.8%64.3%73.4%
Term Structure-0.7%-4.6%3.1%-1.6%1.6%
VWIV53.4%49.0%60.2%51.1%50.9%
Skew 25d8.1%5.4%11.2%7.0%5.4%
Skew 10d25.7%9.5%105.2%25.0%32.0%
Call IV 25d48.0%42.7%53.9%43.0%45.5%
Put IV 25d56.2%50.0%65.1%50.0%50.9%
Bid-Ask Spread %23.2718.9238.0420.0324.20
Gamma HHI0.200.140.280.210.21
Net GEX949.3K-2.8M8.9M8.9M224.1K
Net DEX25.8M-148.7M118.2M-148.7M52.8M
Net VEX-569.7K-732.9K-418.8K-732.9K-496.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.241.930.241.28
Total Volume5,761.8551723,8743,576517
Total OI95,889.1587,049105,29287,46887,902

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$86.36$82.5445.3%14.6%41.0%39.1%51.1%7.0%-1.6%8.9M-148.7M-732.9K0.2420.03N/AN/A2,88269460,33227,136
2015-11-03$81.80$82.5449.0%16.2%44.0%47.4%58.5%6.3%-1.6%6.3M-84.9M-701.9K0.8020.12N/AN/A5,2454,17662,11827,296
2015-11-04$80.67$82.5448.9%16.4%41.7%47.3%58.0%6.6%-0.4%5.5M-64.4M-683.8K0.5319.18N/AN/A1,44976465,02129,710
2015-11-05$78.41$78.1952.2%14.7%33.4%54.8%52.3%8.6%-1.4%3.9M-36.2M-644.6K1.6919.44N/AN/A2,5584,32365,13329,742
2015-11-06$81.71$78.1951.6%14.4%35.6%53.4%52.8%6.5%-3.1%4.6M-68.0M-717.2K1.6923.58N/AN/A1,0341,74366,39932,559
2015-11-09$71.42$78.1957.4%16.1%59.3%66.5%54.4%10.0%-0.0%74.5K56.9M-528.8K1.9329.50N/AN/A3,5066,76360,00333,194
2015-11-10$71.07$78.1954.9%15.9%59.2%60.9%57.2%7.6%0.3%-1.0M76.7M-544.0K1.3318.92N/AN/A1,2811,70361,87137,648
2015-11-11$71.42$78.1952.8%16.0%58.8%56.1%56.0%8.4%3.1%-1.2M76.0M-534.8K1.2421.86N/AN/A1,3881,72762,31738,326
2015-11-12$69.29$78.1953.8%15.8%59.2%58.4%57.9%8.7%1.6%-2.3M98.1M-509.8K1.2820.43N/AN/A1,0641,35863,00839,890
2015-11-13$69.07$78.1955.9%16.4%59.2%63.1%60.2%8.7%1.0%-2.0M98.4M-505.9K1.9023.03N/AN/A8201,56163,09839,876
2015-11-16$66.77$78.1959.8%17.2%59.1%72.0%57.2%11.2%-4.6%-2.8M118.2M-418.8K0.5721.95N/AN/A2,9551,68261,91738,672
2015-11-17$70.98$78.1953.9%15.5%64.3%58.7%52.9%8.7%-2.7%-2.3M70.3M-468.3K0.7121.81N/AN/A2,6751,91163,04138,544
2015-11-18$72.33$78.1951.4%14.8%64.8%53.0%52.2%9.8%-0.9%-1.7M52.6M-461.1K0.7627.01N/AN/A13,56810,30663,42039,149
2015-11-19$72.76$78.1949.5%14.2%64.8%48.5%50.7%9.3%-1.1%-144.6K38.2M-559.6K0.8519.54N/AN/A11,1039,43864,68739,556
2015-11-20$71.76$78.1948.7%13.9%64.7%46.7%49.1%7.9%0.9%1.1M24.0M-632.0K0.8921.36N/AN/A3,7673,35965,17240,120
2015-11-23$69.68$78.1949.0%14.1%64.8%47.5%49.5%6.6%-1.6%447.1K39.6M-581.4K0.5038.04N/AN/A59930054,67632,373
2015-11-24$69.81$78.1949.0%14.0%64.3%47.4%49.7%10.1%-0.7%448.4K41.8M-562.2K0.3432.01N/AN/A79626955,01932,540
2015-11-25$70.55$78.1947.3%13.7%63.0%43.6%49.1%9.3%-0.9%555.1K34.8M-569.8K1.0821.43N/AN/A1,4691,57955,40532,629
2015-11-27$69.85$78.1947.7%13.7%62.9%44.5%49.0%6.3%-1.8%291.7K40.4M-541.0K1.2021.87N/AN/A1,3241,58155,64232,642
2015-11-30$68.90$78.1947.4%14.2%62.7%43.7%50.9%5.4%1.6%224.1K52.8M-496.1K1.2824.20N/AN/A22729055,46132,441