HEZU Options History — December 2015

In December 2015, HEZU traded between $25.35 and $27.81. ATM implied volatility averaged 43.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 19.7% (HV 20d: 23.4%). Max pain ranged from $27.00 to $28.86. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2015-12-08: Highest Volume — 218 contracts
  • 2015-12-03: Largest IV spike — 2876.4% change
  • 2015-12-28: Highest IV Rank — 7.3%
  • 2015-12-10: Largest Expected Move — 44.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.19$25.35$27.81$27.81$25.90
Max Pain$28.55$27.00$28.86$27.00$28.86
ATM IV43.1%4.8%156.6%18.5%17.9%
Expected Move12.4%1.4%44.9%5.3%5.1%
HV 20d23.4%14.4%26.1%14.4%25.8%
HV 60d21.1%19.2%22.1%19.2%20.2%
IV Rank7.0%6.6%7.3%7.3%7.1%
IV Percentile17.3%11.8%23.8%23.8%20.2%
Term Structure-2.0%-47.2%127.8%-2.3%0.2%
VWIV17.3%4.3%23.2%4.3%22.7%
Skew 25d-2.7%-125.4%46.1%3.9%2.4%
Skew 10d-16.5%-143.5%10.1%10.1%0.7%
Call IV 25d40.8%10.4%148.7%15.5%14.0%
Put IV 25d38.1%15.7%132.0%19.3%16.5%
Bid-Ask Spread %95.5660.26188.3176.9675.86
Gamma HHI0.280.130.600.330.32
Net GEX28.9K14.9K53.2K36.3K25.1K
Net DEX-318.3K-637.2K-184.5K-471.9K-217.5K
Net VEX-1.0K-1.9K-647-1.2K-647
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.340.000.34
Total Volume82.8571218111
Total OI349.857269550305269

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$27.81$27.0018.5%5.3%14.4%0.0%0.0%3.9%-2.3%36.3K-471.9K-1.2K0.0076.96N/AN/A103014
2015-12-02$27.30$27.004.8%1.4%16.0%0.0%4.3%-14.7%127.8%14.9K-476.7K-1.4K0.02188.31N/AN/A17043024
2015-12-03$26.32$0.00142.3%40.8%20.5%0.0%0.0%46.1%-35.7%25.0K-284.8K-9900.02139.10N/AN/A17043024
2015-12-04$26.87$0.0017.0%5.5%22.0%0.0%0.0%30.4%-1.5%53.2K-637.2K-1.9K0.02133.68N/AN/A17045428
2015-12-08$26.33$0.00151.4%43.4%22.7%0.0%0.0%16.8%-41.3%46.0K-532.9K-1.8K0.02136.75N/AN/A21445428
2015-12-09$25.88$0.0020.8%6.0%22.8%0.0%0.0%-12.5%-1.4%39.8K-447.8K-1.6K0.02133.40N/AN/A21445398
2015-12-10$25.99$0.00156.6%44.9%22.9%0.0%0.0%-125.4%-45.3%40.6K-481.7K-1.7K0.02138.36N/AN/A21445398
2015-12-11$25.36$0.00148.3%42.5%24.0%0.0%0.0%-52.3%-47.2%35.8K-364.6K-1.5K0.02135.20N/AN/A21445398
2015-12-14$25.35$0.0024.0%6.9%23.1%0.0%0.0%2.6%-0.3%18.8K-184.5K-7450.0063.25N/AN/A4402994
2015-12-15$25.80$0.0022.3%6.4%24.2%0.0%0.0%5.1%-1.6%20.7K-231.9K-8560.0063.48N/AN/A4402994
2015-12-16$26.33$0.0022.1%6.3%24.6%0.0%16.1%6.0%-1.2%22.7K-271.1K-8730.2580.66N/AN/A44112994
2015-12-17$26.33$28.8620.3%5.8%24.5%0.0%14.9%5.1%-1.2%23.6K-248.2K-8610.2582.71N/AN/A441129915
2015-12-18$25.83$28.8618.7%5.4%24.8%0.0%18.3%2.1%0.8%22.2K-201.3K-7810.3468.96N/AN/A441529915
2015-12-21$25.75$28.8617.9%5.1%24.8%0.0%19.4%5.5%0.5%24.8K-206.8K-7120.0060.26N/AN/A01125811
2015-12-22$25.84$28.8616.8%4.8%24.8%0.0%18.8%5.8%1.6%23.4K-205.4K-6980.0065.93N/AN/A01125811
2015-12-23$26.34$28.8616.0%4.6%26.1%0.0%14.6%4.6%1.4%27.2K-238.7K-7240.0061.20N/AN/A01125811
2015-12-24$26.24$28.8616.8%4.8%26.0%0.0%19.1%5.3%1.3%26.3K-249.5K-7320.0078.45N/AN/A01125811
2015-12-28$26.03$28.8618.2%5.2%25.6%7.3%20.1%3.5%-1.3%25.9K-223.7K-6720.0078.14N/AN/A01125811
2015-12-29$26.34$28.8617.0%4.9%25.8%6.6%16.4%2.6%2.5%27.4K-264.5K-6850.0073.36N/AN/A01125811
2015-12-30$26.14$28.8617.1%4.9%25.7%6.7%23.2%-0.4%1.7%26.8K-243.1K-6670.0072.80N/AN/A01125811
2015-12-31$25.90$28.8617.9%5.1%25.8%7.1%22.7%2.4%0.2%25.1K-217.5K-6470.0075.86N/AN/A01125811