HEZU Options History — September 2015 In September 2015, HEZU traded between $24.23 and $25.95. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.9% (HV 20d: 30.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2015-09-30 : Highest Volume — 221 contracts2015-09-04 : Largest IV spike — 24.9% change2015-09-29 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $25.22 $24.23 $25.95 $25.09 $24.82 Max Pain $27.62 $26.00 $28.00 $27.00 $26.00 ATM IV 26.2% 20.8% 31.5% 31.2% 26.3% Expected Move 7.5% 6.0% 9.0% 9.0% 7.5% HV 20d 30.1% 23.3% 34.1% 31.0% 23.3% HV 60d 28.2% 25.6% 29.8% 29.7% 26.1% Term Structure -1.7% -5.1% 0.1% -4.3% -3.6% VWIV 18.9% 14.4% 24.9% 22.0% 18.9% Skew 25d 8.1% 1.8% 11.8% 6.8% 11.8% Skew 10d 13.0% 10.1% 20.8% 11.8% 20.8% Call IV 25d 21.7% 16.0% 28.8% 25.6% 22.0% Put IV 25d 29.8% 26.1% 34.8% 32.4% 33.8% Bid-Ask Spread % 86.94 74.46 105.32 95.00 91.10 Gamma HHI 0.26 0.20 0.38 0.21 0.30 Net GEX 7.0K 5.0K 10.3K 5.7K 8.6K Net DEX -75.3K -148.5K -33.6K -39.7K -122.2K Net VEX -406 -615 -238 -285 -615 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 121.286 0 221 109 221 Total OI 150.81 134 194 134 179
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-09-01 $25.09 $27.00 31.2% 9.0% 31.0% 0.0% 22.0% 6.8% -4.3% 5.7K -39.7K -285 0.00 95.00 N/A N/A 109 0 134 0 2015-09-02 $25.55 $27.00 25.8% 7.4% 31.8% 0.0% 19.6% 11.3% -1.3% 6.9K -46.1K -321 0.00 96.21 N/A N/A 109 0 134 0 2015-09-03 $25.78 $28.00 24.5% 7.0% 32.2% 0.0% 15.3% 7.3% 0.1% 7.4K -51.0K -345 0.00 74.46 N/A N/A 109 0 134 0 2015-09-04 $25.30 $28.00 30.6% 8.0% 32.5% 0.0% 16.6% 6.3% -1.1% 6.0K -40.2K -282 0.00 75.45 N/A N/A 109 0 134 0 2015-09-08 $25.85 $28.00 26.2% 7.0% 33.7% 0.0% 0.0% 8.7% -1.1% 7.5K -48.4K -308 0.00 76.65 N/A N/A 0 0 134 0 2015-09-09 $25.58 $28.00 25.0% 7.2% 33.5% 0.0% 15.3% 5.4% -1.7% 6.3K -41.2K -275 0.00 75.51 N/A N/A 109 0 134 0 2015-09-10 $25.75 $28.00 23.9% 6.9% 33.1% 0.0% 15.1% 9.0% -1.1% 6.7K -41.8K -278 0.00 77.50 N/A N/A 109 0 134 0 2015-09-11 $25.53 $28.00 23.8% 6.8% 33.2% 0.0% 15.0% 6.9% -0.7% 5.8K -37.8K -263 0.00 78.94 N/A N/A 109 0 134 0 2015-09-14 $25.35 $28.00 26.9% 7.7% 33.1% 0.0% 17.7% 11.1% -2.0% 5.0K -33.6K -238 0.00 84.30 N/A N/A 109 0 134 0 2015-09-15 $25.69 $28.00 22.9% 6.6% 33.7% 0.0% 0.0% 11.5% -0.8% 5.6K -36.8K -251 0.00 87.35 N/A N/A 0 0 134 0 2015-09-16 $25.95 $28.00 22.6% 6.5% 34.1% 0.0% 14.4% 6.5% -1.4% 6.9K -42.0K -265 0.00 85.32 N/A N/A 169 0 134 0 2015-09-17 $25.85 $28.00 20.8% 6.0% 33.7% 0.0% 14.7% 5.4% -0.2% 10.3K -148.5K -607 0.00 105.32 N/A N/A 169 0 194 0 2015-09-18 $25.33 $28.00 25.2% 7.2% 32.4% 0.0% 18.0% 7.2% -0.7% 8.1K -121.9K -554 0.00 88.25 N/A N/A 169 0 194 0 2015-09-21 $25.39 $28.00 25.0% 7.2% 29.9% 0.0% 18.4% 7.3% -1.5% 8.4K -125.3K -540 0.00 92.06 N/A N/A 132 0 156 0 2015-09-22 $24.65 $28.00 26.5% 7.6% 27.9% 0.0% 22.1% 1.8% -2.0% 7.5K -108.8K -546 0.00 80.40 N/A N/A 132 0 162 0 2015-09-23 $24.62 $28.00 25.7% 7.4% 27.4% 0.0% 23.1% 8.7% -0.6% 7.2K -105.7K -538 0.00 92.88 N/A N/A 132 0 162 0 2015-09-24 $24.43 $28.00 29.1% 8.4% 23.9% 0.0% 24.6% 8.0% -2.9% 6.9K -101.7K -512 0.00 92.72 N/A N/A 132 0 162 0 2015-09-25 $24.67 $28.00 26.1% 7.5% 23.4% 0.0% 20.4% 11.8% -1.7% 7.2K -104.9K -527 0.00 92.93 N/A N/A 134 0 160 0 2015-09-28 $24.23 $26.00 30.7% 8.8% 24.0% 0.0% 23.9% 9.4% -2.8% 6.6K -92.7K -497 0.00 91.28 N/A N/A 134 0 162 0 2015-09-29 $24.26 $26.00 31.5% 9.0% 24.0% 0.0% 24.9% 8.3% -5.1% 6.7K -92.0K -489 0.00 92.13 N/A N/A 151 0 162 0 2015-09-30 $24.82 $26.00 26.3% 7.5% 23.3% 0.0% 18.9% 11.8% -3.6% 8.6K -122.2K -615 0.00 91.10 N/A N/A 221 0 179 0
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