Thursday, March 4, 2010

Hertz (HTZ) - Sep Vol Seller

HTZ is trading 9.69. The LIVEVOL™
Pro Summary
is below.

I found HTZ on the high option volume scan (high relative to average). Click the snapshot to enlarge.

The company has traded over 21,000 options today on total daily average option volume of just 491 - that's 4,300% of it's average. The largest trade was the selling 10,500 (21,000 contracts) of the Sep 10 straddle @ ~$2.70. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that the calls are at least mostly opening and ther puts are essentially all opening (compare OI to trade size). You can also see that Sep vol is the highest of all months - even more than June which has earnings (a vol event).

Finally, the Charts Tab (6 months; vol only section) is below (click to enlarge). The yellow shaded area at the very bottom is the IV90™ vs. the IV30™ vol difference.

You can see in the upper left that HV120™ (purple) has fallen hard and is now "flat lining." IV120™ (green line) is still above the HV120™ and still above the IV30™ (red line). I don't have a big opinion here, but I can see why this could be a sale.

The straddle makes money on Sep expo if 7.30 < HTZ < 12.70. Before expo, this makes money with a vol decrease, or a vol stays the same, stock stays the same and time passes (time decay). Max gain is with the stock on $10.00 at expo for a potential gain of $2.70*10,500*100 = $2,835,000.

This is trade analysis, not a recommendation.

Legal Stuff:


No comments:

Post a Comment