HEZU Options History — October 2015

In October 2015, HEZU traded between $24.53 and $27.30. ATM implied volatility averaged 26.7%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 22.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.01.

Notable Days

  • 2015-10-12: Highest Volume — 247 contracts
  • 2015-10-28: Largest IV spike — 419.6% change
  • 2015-10-28: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.18$24.53$27.30$24.53$27.06
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV26.7%17.6%93.4%27.7%18.3%
Expected Move7.6%5.0%26.8%7.9%5.3%
HV 20d22.0%19.3%24.5%22.5%19.3%
HV 60d25.3%24.6%26.0%26.0%26.0%
Term Structure-2.8%-73.0%39.4%-3.2%-0.2%
VWIV22.8%17.2%79.1%22.9%19.4%
Skew 25d1.0%-94.3%11.0%0.7%8.2%
Skew 10d5.2%-9.6%16.5%0.4%6.0%
Call IV 25d26.3%11.9%124.6%24.7%12.0%
Put IV 25d27.3%18.3%134.3%25.4%20.2%
Bid-Ask Spread %87.3941.58171.2995.8245.24
Gamma HHI0.290.230.340.290.32
Net GEX23.8K11.3K37.5K12.3K36.7K
Net DEX-316.4K-520.0K-153.3K-153.3K-484.8K
Net VEX-1.2K-1.6K-926-926-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.020.000.02
Total Volume208.8640247221212
Total OI290.455249342249342

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$24.53$26.0027.7%7.9%22.5%0.0%22.9%0.7%-3.2%12.3K-153.3K-9260.0095.82N/AN/A22102490
2015-10-02$25.09$26.0026.7%7.6%23.9%0.0%19.0%11.0%-0.8%13.7K-178.2K-9690.00100.75N/AN/A22102490
2015-10-05$25.68$26.0021.1%6.3%24.5%0.0%0.0%7.7%-1.4%15.5K-213.4K-1.0K0.0089.74N/AN/A002490
2015-10-06$25.72$26.0019.7%6.1%23.2%0.0%19.8%7.0%-0.4%16.1K-216.8K-1.0K0.0091.24N/AN/A23102490
2015-10-07$25.97$26.0020.7%6.0%23.1%0.0%19.3%5.2%0.6%20.9K-247.4K-1.1K0.0093.27N/AN/A23102610
2015-10-08$26.11$26.0019.2%6.0%23.1%0.0%17.2%8.1%-0.5%21.9K-254.0K-1.1K0.0094.89N/AN/A22802610
2015-10-09$25.96$26.0018.1%5.8%23.0%0.0%18.9%5.8%0.0%21.8K-247.4K-1.0K0.0095.49N/AN/A23502590
2015-10-12$25.93$26.0021.6%5.8%22.8%0.0%18.9%3.1%-0.0%24.0K-250.0K-1.0K0.0097.47N/AN/A24702670
2015-10-13$25.65$26.0025.3%5.7%22.7%0.0%19.2%4.4%-0.0%24.0K-240.1K-1.1K0.0095.16N/AN/A24602850
2015-10-14$25.56$26.0019.4%5.6%22.4%0.0%17.3%7.0%0.2%24.0K-227.1K-1.1K0.0096.84N/AN/A24602940
2015-10-15$26.11$26.0017.9%5.1%23.7%0.0%18.0%6.7%1.5%28.6K-275.2K-1.1K0.0094.21N/AN/A23802940
2015-10-16$26.11$26.0018.9%5.4%22.4%0.0%18.2%4.0%1.5%21.6K-295.9K-1.1K0.0098.61N/AN/A23802950
2015-10-19$26.13$26.0019.8%5.7%22.4%0.0%18.2%2.4%39.4%21.9K-262.4K-1.1K0.0098.48N/AN/A21302650
2015-10-20$26.00$26.0018.9%5.4%19.3%0.0%17.4%4.0%0.8%23.4K-256.7K-1.1K0.0056.46N/AN/A16002770
2015-10-21$25.98$26.0018.9%5.4%19.3%0.0%17.8%1.2%0.7%25.6K-283.4K-1.2K0.0057.85N/AN/A16002940
2015-10-22$26.79$26.0088.6%25.4%21.3%0.0%79.1%-94.3%-73.0%11.3K-418.6K-1.5K0.00155.79N/AN/A20802940
2015-10-23$27.30$26.0018.4%5.3%21.8%0.0%18.9%5.5%-0.5%36.5K-520.0K-1.4K0.0251.94N/AN/A20843380
2015-10-26$27.13$26.0017.6%5.0%20.5%0.0%17.8%2.2%0.2%36.6K-496.5K-1.3K0.0241.58N/AN/A20843384
2015-10-27$26.82$26.0018.0%5.2%21.4%0.0%17.7%5.7%0.4%37.3K-457.4K-1.3K0.0253.94N/AN/A20843384
2015-10-28$27.25$26.0093.4%26.8%20.7%0.0%44.1%9.7%-28.0%13.1K-503.0K-1.6K0.02171.29N/AN/A20843384
2015-10-29$27.04$26.0018.3%5.3%20.4%0.0%19.2%7.4%0.1%37.5K-479.1K-1.3K0.0246.47N/AN/A20843384
2015-10-30$27.06$26.0018.3%5.3%19.3%0.0%19.4%8.2%-0.2%36.7K-484.8K-1.3K0.0245.24N/AN/A20843384