HTZ Options History — September 2016

In September 2016, HTZ traded between $33.88 and $45.09. ATM implied volatility averaged 40.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.8% (HV 20d: 35.3%). Max pain ranged from $39.10 to $43.44. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-09-27: Highest Volume — 15,408 contracts
  • 2016-09-14: Largest IV drop — 32.2% change
  • 2016-09-13: Highest IV Rank — 12.1%
  • 2016-09-30: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.85$33.88$45.09$42.64$35.03
Max Pain$40.85$39.10$43.44$43.44$39.10
ATM IV40.1%35.5%55.3%38.8%43.6%
Expected Move10.9%9.7%12.5%11.1%12.5%
HV 20d35.3%26.0%53.2%32.4%53.2%
HV 60d63.1%45.3%69.7%69.7%46.7%
IV Rank2.6%0.0%12.1%0.1%5.2%
IV Percentile6.7%0.0%46.4%0.4%13.5%
Term Structure5.7%-0.9%8.4%-0.9%5.2%
VWIV37.6%34.2%42.6%35.4%41.9%
Skew 25d4.2%2.2%6.2%3.5%6.1%
Skew 10d7.8%0.3%20.8%0.3%20.8%
Call IV 25d36.2%32.0%41.4%36.8%40.7%
Put IV 25d40.4%36.2%46.7%40.3%46.7%
Bid-Ask Spread %37.3424.5683.2083.2070.36
Gamma HHI0.230.160.370.200.25
Net GEX690.6K-213.6K2.0M607.6K-180.9K
Net DEX-31.0M-57.0M-5.4M-37.0M-9.8M
Net VEX-78.6K-104.3K-68.3K-72.1K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.101.890.831.89
Total Volume3,883.71499715,4081,5486,878
Total OI25,878.28620,81832,08321,24732,083

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$42.64$43.4438.8%11.1%32.4%0.1%35.4%3.5%-0.9%607.6K-37.0M-72.1K0.8383.20N/AN/A84670215,2845,963
2016-09-02$43.02$43.4436.7%10.5%32.4%0.0%34.2%5.1%-0.2%660.4K-38.9M-74.5K1.0261.15N/AN/A49450315,5566,172
2016-09-06$42.99$39.1040.2%10.3%32.3%2.3%37.3%4.2%7.4%659.8K-38.4M-70.4K0.3726.32N/AN/A3,7151,37315,5506,235
2016-09-07$43.88$39.1043.7%10.1%26.0%4.6%35.7%4.2%8.4%1.5M-49.8M-78.2K1.1828.12N/AN/A52662218,6286,626
2016-09-08$45.09$39.1038.7%9.7%26.6%1.3%34.5%4.2%8.4%1.6M-57.0M-74.0K0.7826.40N/AN/A77860318,7286,647
2016-09-09$43.15$39.1036.8%10.1%32.1%0.1%35.0%3.4%6.9%1.7M-45.7M-78.8K0.9727.28N/AN/A59457719,0166,678
2016-09-12$43.74$39.1043.8%10.1%31.1%4.6%34.3%5.9%7.6%2.0M-48.5M-73.4K1.0726.08N/AN/A53857719,0016,683
2016-09-13$41.71$39.1055.3%10.9%32.3%12.1%38.2%4.3%4.9%1.3M-34.0M-70.2K0.2824.56N/AN/A1,95155219,1156,868
2016-09-14$41.22$39.1037.5%10.8%31.5%0.6%36.1%4.0%6.3%885.2K-30.6M-71.6K0.1424.73N/AN/A3,51750519,0256,969
2016-09-15$41.82$39.1037.3%10.7%32.0%0.4%38.3%4.4%6.4%921.9K-33.0M-73.0K0.1228.55N/AN/A3,73545019,0707,069
2016-09-16$42.81$41.2735.5%10.2%30.6%0.0%36.3%5.4%8.3%657.1K-35.3M-82.8K0.2725.13N/AN/A2,09056719,3267,037
2016-09-19$41.81$41.2736.6%10.5%31.5%0.7%37.4%3.3%7.0%558.6K-33.5M-78.4K0.6230.40N/AN/A2,2341,39215,1155,703
2016-09-20$40.74$41.2737.5%10.7%32.5%1.3%36.3%3.6%6.7%306.7K-28.1M-81.0K0.6126.42N/AN/A3,1381,92715,4106,664
2016-09-21$40.93$43.4437.5%10.7%32.5%1.3%37.4%6.2%6.0%109.5K-24.9M-85.7K0.2328.02N/AN/A2,01947015,2468,131
2016-09-22$41.62$43.4438.3%11.0%33.3%1.8%38.0%3.2%6.7%232.6K-28.7M-89.8K0.1029.53N/AN/A6,72969115,3398,200
2016-09-23$40.42$43.4438.1%10.9%34.5%1.7%38.4%3.4%5.8%733.6K-29.0M-104.3K1.1928.14N/AN/A47756620,9718,325
2016-09-26$40.18$43.4441.2%11.8%34.5%3.7%40.0%3.5%4.5%672.5K-27.6M-100.9K0.8228.15N/AN/A74761321,0878,458
2016-09-27$36.18$43.4441.4%11.9%49.5%3.8%40.7%5.6%4.8%-213.6K-7.4M-68.3K0.2637.17N/AN/A12,2273,18121,0978,729
2016-09-28$35.03$39.1041.8%12.0%50.1%4.1%41.6%2.5%5.0%-102.2K-8.7M-75.1K0.4458.11N/AN/A6,3372,79222,2898,626
2016-09-29$33.88$39.1042.7%12.2%50.7%4.6%42.6%2.2%5.0%-132.0K-5.4M-70.2K0.4166.27N/AN/A2,36496121,1369,589
2016-09-30$35.03$39.1043.6%12.5%53.2%5.2%41.9%6.1%5.2%-180.9K-9.8M-77.9K1.8970.36N/AN/A2,3804,49822,03810,045