HTZ Options History — May 2016

In May 2016, HTZ traded between $33.36 and $42.22. ATM implied volatility averaged 61.7%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 0.4% (HV 20d: 61.3%). Max pain ranged from $39.10 to $39.10. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-05-12: Highest Volume — 6,739 contracts
  • 2016-05-12: Largest IV spike — 15.7% change
  • 2016-05-04: Highest IV Rank — 58.1%
  • 2016-05-04: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.70$33.36$42.22$39.27$42.22
Max Pain$39.10$39.10$39.10$39.10$39.10
ATM IV61.7%55.5%66.4%64.1%55.5%
Expected Move18.0%16.0%21.0%18.8%16.6%
HV 20d61.3%45.4%67.8%67.8%64.3%
HV 60d72.6%65.6%78.4%78.4%65.8%
IV Rank49.3%36.9%58.1%53.9%36.9%
IV Percentile73.8%57.9%86.1%81.0%57.9%
Term Structure-0.2%-2.9%4.7%-2.1%-1.3%
VWIV63.2%55.0%72.1%70.0%58.0%
Skew 25d7.9%4.4%12.8%7.3%8.5%
Skew 10d17.2%-24.1%43.4%12.4%31.1%
Call IV 25d58.3%51.2%63.5%60.0%51.2%
Put IV 25d66.2%59.7%72.6%67.3%59.7%
Bid-Ask Spread %19.5611.9137.9226.4116.11
Gamma HHI0.300.200.400.200.31
Net GEX101.3K-868.0K626.2K-91.8K626.2K
Net DEX6.1M-17.6M22.1M5.3M-17.6M
Net VEX-170.3K-189.6K-134.1K-189.6K-177.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.354.260.770.61
Total Volume3,006.1431,8086,7391,8083,242
Total OI38,226.61935,45140,17437,40239,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$39.27$39.1064.1%18.8%67.8%53.9%70.0%7.3%-2.1%-91.8K5.3M-189.6K0.7726.41N/AN/A1,02378518,49018,912
2016-05-03$37.71$39.1065.1%20.6%67.6%55.7%71.0%7.9%-1.5%-322.1K12.7M-182.2K1.2625.43N/AN/A1,8242,30518,79519,053
2016-05-04$37.32$39.1066.4%21.0%66.3%58.1%72.1%8.9%-2.2%-441.2K14.1M-181.8K1.0737.92N/AN/A1,7731,89819,70919,814
2016-05-05$37.40$39.1064.9%18.1%64.9%55.4%66.3%12.8%-1.7%-868.0K15.2M-178.8K1.6416.90N/AN/A9811,60419,78220,178
2016-05-06$39.18$39.1062.1%17.7%66.6%50.2%62.1%10.4%0.1%87.9K5.1M-184.9K1.0014.56N/AN/A1,5731,57219,76320,224
2016-05-09$38.31$39.1064.3%18.2%51.8%54.3%66.4%9.5%-1.2%64.4K7.8M-179.4K0.4715.79N/AN/A2,9041,36418,25717,194
2016-05-10$38.10$39.1058.6%17.1%51.3%43.9%64.7%6.9%0.9%214.8K7.5M-178.3K0.3515.47N/AN/A2,11373519,94917,922
2016-05-11$38.31$39.1056.1%17.4%45.4%39.3%61.0%6.3%4.7%304.6K3.4M-177.6K0.6314.41N/AN/A1,52796320,28317,438
2016-05-12$35.10$39.1064.9%18.8%54.6%55.4%67.2%8.2%4.1%-71.9K18.7M-154.6K4.2616.92N/AN/A1,2805,45920,52317,525
2016-05-13$33.41$39.1065.3%18.9%56.7%56.0%66.5%8.3%1.0%-120.1K22.1M-140.8K0.8211.91N/AN/A1,4381,18621,07717,638
2016-05-16$33.36$39.1064.6%18.6%56.0%54.8%64.4%8.2%1.3%-146.1K20.8M-134.1K0.8318.64N/AN/A1,11592119,58917,121
2016-05-17$36.40$39.1063.3%18.1%65.2%52.4%63.9%9.4%-0.9%71.2K9.9M-160.5K0.8314.85N/AN/A1,12393619,88017,069
2016-05-18$36.27$39.1064.8%18.6%65.2%55.1%63.4%4.4%-1.2%115.4K9.4M-159.3K0.8618.88N/AN/A1,5181,30420,58717,380
2016-05-19$36.58$39.1065.0%18.7%65.0%55.5%61.2%7.0%-2.9%150.2K8.9M-162.3K0.8615.64N/AN/A1,2801,10621,18917,579
2016-05-20$37.79$39.1060.2%17.2%66.0%46.9%59.2%6.1%3.2%219.6K4.2M-166.4K0.7616.82N/AN/A1,4041,06121,47517,733
2016-05-23$38.23$39.1059.3%16.0%64.4%45.2%56.5%8.7%-0.5%342.4K-3.8K-169.6K0.5619.29N/AN/A1,8841,06219,89216,783
2016-05-24$37.10$39.1060.7%17.7%59.6%46.4%58.9%7.2%1.2%298.9K4.0M-161.9K0.6926.64N/AN/A1,44099920,44816,839
2016-05-25$39.57$39.1057.9%16.6%63.6%41.3%61.3%5.1%-2.2%473.4K-5.3M-170.3K1.5216.10N/AN/A1,4492,19620,59617,196
2016-05-26$40.01$39.1057.0%16.3%62.4%39.5%59.0%6.8%-0.2%618.5K-7.0M-184.5K0.7726.54N/AN/A1,3591,05021,24718,449
2016-05-27$40.10$39.1056.7%16.1%62.4%39.0%55.0%7.4%-1.8%600.4K-11.1M-182.7K1.1625.58N/AN/A1,0991,27421,71118,463
2016-05-31$42.22$39.1055.5%16.6%64.3%36.9%58.0%8.5%-1.3%626.2K-17.6M-177.5K0.6116.11N/AN/A2,0141,22820,57618,431