HEZU Options History — November 2015 In November 2015, HEZU traded between $26.64 and $27.86. ATM implied volatility averaged 19.2%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.6% (HV 20d: 17.6%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.02.
Notable Days 2015-11-02 : Highest Volume — 212 contracts2015-11-27 : Largest IV spike — 38.4% change2015-11-27 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $27.33 $26.64 $27.86 $27.34 $27.86 Max Pain $26.85 $26.00 $27.00 $26.00 $27.00 ATM IV 19.2% 15.5% 28.5% 17.2% 19.0% Expected Move 5.5% 4.3% 8.2% 4.9% 5.5% HV 20d 17.6% 14.7% 20.0% 18.1% 14.8% HV 60d 23.4% 19.6% 26.1% 26.1% 19.6% Term Structure -0.6% -5.3% 1.1% 1.1% -0.9% VWIV 18.6% 15.5% 26.9% 15.5% 26.9% Skew 25d 5.7% 0.6% 8.8% 8.8% 7.5% Skew 10d 5.4% -0.7% 13.9% 9.5% 5.4% Call IV 25d 15.6% 10.8% 25.5% 10.8% 14.5% Put IV 25d 21.3% 16.4% 28.2% 19.6% 22.0% Bid-Ask Spread % 76.96 37.74 145.15 37.74 69.44 Gamma HHI 0.37 0.28 0.59 0.31 0.33 Net GEX 34.9K 22.1K 44.6K 36.8K 34.5K Net DEX -501.8K -587.5K -342.4K -537.7K -486.4K Net VEX -1.1K -1.2K -1.0K -1.2K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.02 0.00 0.03 0.02 0.02 Total Volume 126.45 0 212 212 0 Total OI 324.6 246 348 342 305
Daily Data (20 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 2015-11-02 $27.34 $26.00 17.2% 4.9% 18.1% 0.0% 15.5% 8.8% 1.1% 36.8K -537.7K -1.2K 0.02 37.74 N/A N/A 208 4 338 4 2015-11-03 $27.41 $26.00 18.4% 5.3% 18.1% 0.0% 15.5% 6.4% -0.4% 37.0K -544.3K -1.2K 0.02 41.64 N/A N/A 208 4 338 4 2015-11-04 $27.31 $26.00 18.0% 5.1% 18.0% 0.0% 17.4% 4.4% 0.8% 39.3K -541.5K -1.2K 0.02 43.10 N/A N/A 208 4 338 4 2015-11-05 $27.36 $27.00 17.6% 5.3% 18.0% 0.0% 18.3% 3.1% 0.3% 37.8K -545.5K -1.2K 0.02 78.42 N/A N/A 208 4 338 4 2015-11-06 $27.62 $27.00 15.5% 4.3% 17.9% 0.0% 0.0% 4.6% 1.1% 30.9K -587.5K -1.1K 0.00 74.27 N/A N/A 6 0 338 4 2015-11-09 $27.18 $27.00 18.2% 5.5% 19.1% 0.0% 0.0% 4.9% -0.6% 41.8K -531.0K -1.1K 0.00 82.48 N/A N/A 0 0 341 4 2015-11-10 $27.20 $27.00 18.3% 5.5% 18.5% 0.0% 19.0% 6.8% -0.4% 38.7K -531.3K -1.1K 0.03 81.62 N/A N/A 147 4 341 4 2015-11-11 $27.34 $27.00 19.1% 5.5% 18.4% 0.0% 19.1% 5.9% -0.3% 36.5K -555.4K -1.1K 0.03 85.36 N/A N/A 147 4 341 4 2015-11-12 $26.76 $27.00 17.9% 5.1% 19.1% 0.0% 17.8% 0.6% 0.5% 44.5K -474.9K -1.1K 0.03 83.26 N/A N/A 150 4 344 4 2015-11-13 $26.64 $27.00 19.9% 5.7% 19.2% 0.0% 19.2% 4.6% -1.0% 43.8K -450.4K -1.1K 0.03 79.21 N/A N/A 150 4 344 4 2015-11-16 $27.07 $27.00 19.7% 5.7% 19.9% 0.0% 0.0% 7.4% -0.1% 36.1K -515.2K -1.1K 0.00 74.43 N/A N/A 0 0 344 4 2015-11-17 $27.25 $27.00 19.6% 5.6% 19.8% 0.0% 19.1% 5.1% -0.6% 44.6K -552.4K -1.0K 0.02 75.15 N/A N/A 197 4 344 4 2015-11-18 $27.53 $27.00 17.3% 5.0% 20.0% 0.0% 18.5% 8.3% 0.2% 32.0K -529.6K -1.0K 0.02 80.18 N/A N/A 195 4 322 4 2015-11-19 $27.42 $27.00 19.6% 5.6% 17.1% 0.0% 18.3% 6.2% -1.7% 35.2K -534.5K -1.0K 0.03 88.01 N/A N/A 150 4 322 4 2015-11-20 $27.46 $27.00 19.8% 5.7% 15.8% 0.0% 18.6% 6.0% -1.5% 22.2K -543.9K -1.0K 0.03 86.82 N/A N/A 134 4 328 4 2015-11-23 $27.38 $27.00 19.2% 5.5% 15.7% 0.0% 0.0% 6.6% -0.8% 22.1K -364.2K -1.0K 0.00 84.16 N/A N/A 0 0 242 4 2015-11-24 $27.20 $27.00 20.1% 5.8% 15.3% 0.0% 16.8% 5.7% -0.6% 22.1K -342.4K -1.0K 0.00 74.37 N/A N/A 41 0 242 4 2015-11-25 $27.50 $27.00 20.6% 5.9% 14.7% 0.0% 18.5% 7.7% -1.5% 31.9K -414.5K -1.1K 0.03 74.47 N/A N/A 153 4 283 4 2015-11-27 $27.78 $27.00 28.5% 8.2% 14.8% 0.0% 26.9% 2.6% -5.3% 29.6K -453.9K -1.1K 0.02 145.15 N/A N/A 171 4 283 4 2015-11-30 $27.86 $27.00 19.0% 5.5% 14.8% 0.0% 0.0% 7.5% -0.9% 34.5K -486.4K -1.2K 0.00 69.44 N/A N/A 0 0 301 4
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