HTZ Options History — November 2016

In November 2016, HTZ traded between $21.61 and $31.00. ATM implied volatility averaged 61.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 27.9% (HV 20d: 89.3%). Max pain ranged from $19.55 to $30.41. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-11-08: Highest Volume — 47,176 contracts
  • 2016-11-08: Largest IV spike — 47.6% change
  • 2016-11-08: Highest IV Rank — 47.3%
  • 2016-11-08: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.45$21.61$31.00$28.60$21.99
Max Pain$25.13$19.55$30.41$30.41$23.89
ATM IV61.4%50.8%109.1%62.8%51.4%
Expected Move16.7%14.6%22.5%18.0%14.7%
HV 20d89.3%28.3%108.2%29.8%108.2%
HV 60d62.7%39.0%70.4%40.1%70.4%
IV Rank16.6%9.9%47.3%17.6%10.2%
IV Percentile56.7%27.8%99.6%71.0%27.8%
Term Structure-2.0%-9.4%3.0%-9.4%-1.4%
VWIV58.9%49.1%87.3%63.6%50.9%
Skew 25d6.6%2.1%16.1%2.2%8.8%
Skew 10d14.1%8.0%27.6%13.8%10.6%
Call IV 25d55.6%46.5%73.7%61.0%46.5%
Put IV 25d62.1%53.4%89.8%63.2%55.3%
Bid-Ask Spread %34.3312.8375.3260.7151.02
Gamma HHI0.220.170.490.170.26
Net GEX74.9K-447.8K542.5K116.6K-181.7K
Net DEX6.7M-16.5M21.7M5.2M14.1M
Net VEX-112.1K-140.5K-70.2K-79.5K-118.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.102.650.342.33
Total Volume7,437.3811,60947,1761,7823,438
Total OI53,703.38128,99475,24528,99456,914

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$28.60$30.4162.8%18.0%29.8%17.6%63.6%2.2%-9.4%116.6K5.2M-79.5K0.3460.71N/AN/A1,32945317,65111,343
2016-11-02$28.18$30.4164.0%18.4%29.7%18.4%64.7%7.8%-9.2%138.9K6.0M-76.5K0.6175.32N/AN/A99961018,18111,342
2016-11-03$29.11$28.2466.6%16.0%33.0%20.0%53.0%6.1%-3.7%163.1K2.0M-81.3K0.1025.17N/AN/A6,73364718,31211,410
2016-11-04$28.95$28.2466.2%16.2%28.3%19.8%54.6%6.8%-3.5%401.1K-4.9M-108.5K0.2222.88N/AN/A2,12146323,35411,379
2016-11-07$31.00$28.2473.9%16.4%38.3%24.7%58.4%9.4%-2.9%542.5K-16.5M-118.9K0.3322.04N/AN/A4,2221,40324,38411,434
2016-11-08$23.47$28.24109.1%22.5%105.2%47.3%87.3%16.1%-8.9%118.2K13.6M-70.2K0.7423.64N/AN/A27,03620,14023,88412,001
2016-11-09$24.37$19.5569.8%20.0%106.7%22.0%71.4%5.9%-4.3%154.4K1.4M-111.7K1.0827.39N/AN/A8,6899,37133,96421,401
2016-11-10$24.74$23.8966.7%19.1%106.7%20.0%66.6%4.5%-2.8%345.9K-986.0K-123.2K0.8826.85N/AN/A3,5933,17936,46725,046
2016-11-11$24.38$23.8960.3%17.3%106.7%15.9%60.3%6.9%0.1%304.4K2.7M-113.0K1.0622.70N/AN/A9,1109,68736,43125,018
2016-11-14$24.27$23.8963.2%18.1%106.7%17.8%66.6%7.0%-2.8%317.8K713.6K-140.5K1.4819.73N/AN/A1,8042,66342,54030,140
2016-11-15$23.65$23.8960.1%17.2%106.7%15.8%63.5%7.8%-0.5%136.6K5.7M-132.2K1.2817.30N/AN/A1,8852,41942,70230,652
2016-11-16$23.01$23.8958.3%16.7%106.8%14.6%60.1%4.1%-0.7%-105.9K10.2M-125.1K0.7019.29N/AN/A2,2041,55342,73830,465
2016-11-17$21.82$23.8954.5%15.6%107.9%12.2%56.6%6.2%3.0%-447.8K21.7M-107.9K1.4426.86N/AN/A2,2563,25843,39230,679
2016-11-18$21.89$23.8951.9%14.9%107.7%10.6%51.7%2.1%1.0%-17.4K16.1M-108.1K1.2818.68N/AN/A2,1132,70043,83231,413
2016-11-21$22.42$23.8952.8%15.1%107.7%11.1%51.4%7.8%-0.4%9.0K8.4M-113.5K1.2812.83N/AN/A1,7612,25129,58322,240
2016-11-22$22.76$23.8950.8%14.6%107.9%9.9%50.9%5.4%1.7%27.8K7.5M-127.2K2.6562.20N/AN/A1,2913,41829,97723,343
2016-11-23$22.73$23.8951.7%14.8%107.8%10.4%51.6%9.3%0.4%-49.5K9.1M-130.7K1.5868.31N/AN/A1,0361,63330,24524,959
2016-11-25$22.49$23.8951.0%14.6%107.8%10.0%51.7%4.5%-0.1%-70.8K9.6M-129.8K1.3416.56N/AN/A9631,29130,45325,393
2016-11-28$21.95$23.8951.3%14.7%107.7%10.2%53.2%4.3%1.2%-131.1K13.4M-120.4K1.8544.89N/AN/A9971,84030,52325,691
2016-11-29$21.61$23.8952.3%15.0%107.6%10.8%49.1%5.3%0.1%-199.5K16.3M-116.4K2.2056.64N/AN/A1,1332,49330,57626,319
2016-11-30$21.99$23.8951.4%14.7%108.2%10.2%50.9%8.8%-1.4%-181.7K14.1M-118.6K2.3351.02N/AN/A1,0322,40630,79826,116