HTZ Options History — September 2017

In September 2017, HTZ traded between $17.77 and $20.76. ATM implied volatility averaged 75.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 4.6% (HV 20d: 80.4%). Max pain ranged from $15.20 to $17.38. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-09-07: Highest Volume — 31,713 contracts
  • 2017-09-13: Largest IV drop — 15.0% change
  • 2017-09-05: Highest IV Rank — 52.8%
  • 2017-09-07: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.51$17.77$20.76$18.05$19.44
Max Pain$17.27$15.20$17.38$15.20$17.38
ATM IV75.9%68.1%87.8%81.8%68.1%
Expected Move21.6%19.5%23.8%23.5%19.5%
HV 20d80.4%67.6%109.1%109.1%67.6%
HV 60d101.6%99.8%104.0%103.7%100.8%
IV Rank39.6%28.5%52.8%46.8%28.5%
IV Percentile73.9%54.4%88.9%86.1%54.4%
Term Structure5.8%-1.9%13.5%1.0%12.3%
VWIV76.0%69.3%83.8%80.9%69.3%
Skew 25d5.8%2.2%7.9%2.7%2.2%
Skew 10d12.7%2.6%17.5%10.8%2.6%
Call IV 25d73.3%66.8%80.1%79.5%67.6%
Put IV 25d79.1%69.8%87.3%82.2%69.8%
Bid-Ask Spread %12.468.9516.849.7412.38
Gamma HHI0.160.130.210.160.14
Net GEX421.4K-230.9K981.3K236.0K253.9K
Net DEX-93.4M-142.5M-57.4M-65.1M-80.0M
Net VEX-797.7K-845.5K-735.3K-845.5K-735.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.192.920.731.08
Total Volume12,662.653,46431,71319,1676,615
Total OI381,261.45367,001404,699369,905367,822

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$18.05$15.2081.8%23.5%109.1%46.8%80.9%2.7%1.0%236.0K-65.1M-845.5K0.739.74N/AN/A11,0528,115118,949250,956
2017-09-05$17.77$17.3887.8%23.6%108.2%52.8%82.4%6.5%-1.9%325.7K-59.7M-834.3K0.8115.41N/AN/A6,8215,508122,317254,274
2017-09-06$18.57$17.3883.8%22.9%103.9%48.8%83.0%7.4%-1.2%502.9K-81.1M-830.6K0.419.69N/AN/A6,5342,675123,082255,199
2017-09-07$19.55$17.3880.0%23.8%75.4%44.9%83.8%7.2%-1.0%569.0K-106.2M-824.6K0.199.31N/AN/A26,7484,965122,507255,737
2017-09-08$20.11$17.3874.5%23.1%74.8%39.4%82.0%6.6%1.5%940.9K-132.0M-824.1K0.5813.33N/AN/A7,2034,176132,114256,359
2017-09-11$20.48$17.3882.0%22.6%74.8%47.0%77.2%7.8%0.7%846.1K-137.9M-810.2K0.2714.20N/AN/A18,9545,072129,649256,981
2017-09-12$20.50$17.3886.3%22.6%74.1%51.2%79.4%7.9%1.2%970.2K-138.3M-791.6K2.928.95N/AN/A5,79616,910131,627258,183
2017-09-13$20.76$17.3873.3%21.0%73.5%38.2%73.5%5.8%2.7%981.3K-142.5M-803.0K0.3410.60N/AN/A7,8762,714132,084265,864
2017-09-14$18.22$17.3875.8%21.7%84.5%40.6%74.9%5.6%2.2%348.4K-63.8M-809.2K1.8314.15N/AN/A9,34617,069131,239266,221
2017-09-15$17.87$17.3874.0%21.2%84.2%38.9%74.6%2.8%3.8%-230.9K-57.4M-820.7K0.3716.84N/AN/A8,3603,132134,880269,819
2017-09-18$18.61$17.3873.4%21.0%79.0%38.2%73.5%7.0%10.4%-25.2K-58.1M-796.2K0.4313.27N/AN/A7,0033,033115,261251,740
2017-09-19$18.90$17.3871.0%20.4%79.0%35.1%72.1%6.7%13.5%83.2K-65.7M-809.7K0.2414.85N/AN/A8,9432,192117,167252,647
2017-09-20$19.58$17.3873.5%21.1%78.1%37.1%75.5%7.5%11.1%242.0K-83.1M-805.7K1.0814.57N/AN/A2,6012,800119,002253,695
2017-09-21$20.12$17.3872.0%20.6%78.2%35.5%73.3%5.7%11.3%416.7K-97.3M-792.7K2.2513.69N/AN/A2,5415,727118,324254,196
2017-09-22$20.48$17.3875.5%21.6%78.0%38.8%75.5%6.1%8.7%418.7K-103.7M-794.1K1.0210.25N/AN/A2,9673,029119,041257,113
2017-09-25$19.85$17.3874.4%21.3%73.4%37.6%74.5%5.4%8.6%291.8K-88.6M-776.0K0.3315.56N/AN/A7,5432,469118,787258,164
2017-09-26$20.11$17.3871.0%20.4%71.8%32.0%71.4%4.7%10.8%364.9K-95.4M-763.5K0.8212.79N/AN/A3,3712,752119,998258,565
2017-09-27$20.60$17.3870.6%20.3%71.6%31.4%71.5%5.8%10.0%467.2K-107.8M-747.5K0.969.55N/AN/A3,6663,511120,181259,351
2017-09-28$20.54$17.3868.5%19.7%69.7%28.9%71.0%4.4%11.3%424.4K-105.0M-740.2K1.3810.13N/AN/A1,4572,007119,695276,439
2017-09-29$19.44$17.3868.1%19.5%67.6%28.5%69.3%2.2%12.3%253.9K-80.0M-735.3K1.0812.38N/AN/A3,1743,441120,198247,624