HTZ Options History — February 2016

In February 2016, HTZ traded between $31.06 and $40.14. ATM implied volatility averaged 79.7%, placing in the 91.3% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 6.2% (HV 20d: 85.9%). Max pain ranged from $39.10 to $47.78. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2016-02-03: Highest Volume — 5,500 contracts
  • 2016-02-08: Largest IV spike — 12.4% change
  • 2016-02-04: Highest IV Rank — 100.0%
  • 2016-02-08: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.38$31.06$40.14$40.14$37.23
Max Pain$40.40$39.10$47.78$47.78$39.10
ATM IV79.7%68.1%89.4%68.1%81.5%
Expected Move23.6%20.5%26.2%20.5%26.1%
HV 20d85.9%66.6%99.7%66.6%99.5%
HV 60d64.0%57.3%73.6%58.3%73.6%
IV Rank91.3%76.5%100.0%88.6%87.0%
IV Percentile98.3%96.0%100.0%97.6%96.4%
Term Structure-1.6%-5.2%10.3%-1.6%-3.2%
VWIV81.4%70.2%91.9%70.2%89.5%
Skew 25d10.2%7.4%12.7%11.5%12.6%
Skew 10d26.3%-26.8%61.7%48.7%18.0%
Call IV 25d75.8%63.8%84.4%63.8%74.8%
Put IV 25d86.0%75.3%94.9%75.3%87.4%
Bid-Ask Spread %68.1615.5088.5128.5077.52
Gamma HHI0.360.250.420.250.36
Net GEX-10.8K-239.5K221.5K221.5K148.8K
Net DEX37.2M19.8M51.6M19.8M26.9M
Net VEX-210.7K-267.9K-163.3K-267.9K-217.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.521.841.450.82
Total Volume2,882.651,3575,5002,9353,842
Total OI62,492.759,18364,71660,34663,174

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$40.14$47.7868.1%20.5%66.6%88.6%70.2%11.5%-1.6%221.5K19.8M-267.9K1.4528.50N/AN/A1,2001,73533,41426,932
2016-02-02$35.53$47.7873.1%21.9%75.4%99.7%73.5%8.2%-1.7%-43.5K39.9M-227.9K1.8437.16N/AN/A1,7863,27833,66026,959
2016-02-03$36.49$47.7872.4%21.3%77.2%98.1%75.6%10.3%-0.9%-60.1K37.2M-239.0K1.3788.45N/AN/A2,3173,18334,77728,285
2016-02-04$37.36$39.1074.3%20.8%77.3%100.0%72.1%8.7%1.2%-30.3K32.3M-251.2K0.7116.05N/AN/A2,3781,68035,61528,477
2016-02-05$35.93$39.1075.7%21.9%77.3%100.0%74.3%8.2%-4.1%18.2K36.6M-236.3K0.8015.50N/AN/A1,8701,50135,99328,590
2016-02-08$32.49$39.1085.1%26.2%81.0%100.0%91.9%9.7%10.3%-167.0K49.0M-190.5K1.6417.72N/AN/A1,3672,24734,67427,830
2016-02-09$32.28$39.1083.8%24.3%81.3%97.7%83.6%11.8%1.3%-206.8K49.6M-186.3K0.8987.38N/AN/A1,03992534,99028,200
2016-02-10$32.75$39.1085.8%24.0%82.1%100.0%82.7%10.0%-1.7%-187.2K46.9M-191.1K0.7888.51N/AN/A1,05181535,16128,106
2016-02-11$31.06$39.1089.4%25.5%81.2%100.0%87.7%10.5%-1.7%-239.5K51.6M-170.3K1.1284.95N/AN/A1,0971,22935,32128,295
2016-02-12$32.54$39.1085.5%24.9%84.3%93.5%84.5%12.0%3.7%-122.9K48.1M-184.9K0.6982.93N/AN/A1,23484735,44328,079
2016-02-16$35.32$39.1083.8%24.0%90.3%90.8%82.3%11.3%-2.4%11.2K36.7M-209.4K0.5282.78N/AN/A1,23763835,00227,591
2016-02-17$36.88$39.1082.0%23.5%89.9%87.9%80.8%7.9%-4.3%155.4K28.7M-222.1K1.7280.00N/AN/A9561,64135,40827,599
2016-02-18$37.27$39.1078.5%22.8%90.0%82.2%88.3%12.7%-4.2%95.5K30.6M-220.2K1.7286.94N/AN/A9891,70135,50328,663
2016-02-19$36.14$39.1077.8%22.7%89.8%81.1%77.4%9.3%-5.0%25.1K36.0M-210.2K0.6582.81N/AN/A1,12372535,66829,048
2016-02-22$38.40$39.1075.0%22.3%91.8%76.5%76.2%11.7%-5.2%184.7K23.8M-217.1K0.6684.90N/AN/A85756332,14327,040
2016-02-23$37.58$39.1077.6%23.2%90.8%80.7%79.2%9.8%-4.5%170.8K26.2M-212.9K0.8888.47N/AN/A72263532,49027,074
2016-02-24$32.58$39.1084.4%25.8%95.8%91.9%86.6%7.4%-4.1%-166.0K48.0M-163.3K0.7873.86N/AN/A1,9851,55432,58427,150
2016-02-25$33.67$39.1081.8%25.7%96.0%87.6%86.9%9.0%-1.6%-90.6K43.6M-185.5K1.2080.15N/AN/A8821,05434,40727,946
2016-02-26$36.06$39.1078.2%24.8%99.7%81.7%84.7%12.0%-2.8%66.8K32.4M-210.4K1.6078.68N/AN/A1,4512,31934,52028,043
2016-02-29$37.23$39.1081.5%26.1%99.5%87.0%89.5%12.6%-3.2%148.8K26.9M-217.2K0.8277.52N/AN/A2,1141,72834,26328,911