HEZU Options History — January 2016 In January 2016, HEZU traded between $23.25 and $25.49. ATM implied volatility averaged 25.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.0% (HV 20d: 24.9%). Max pain ranged from $23.86 to $23.86. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.16.
Notable Days 2016-01-26 : Highest Volume — 205 contracts2016-01-12 : Largest IV spike — 143.0% change2016-01-27 : Highest IV Rank — 22.8%2016-01-11 : Largest Expected Move — 46.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.27 $23.25 $25.49 $25.49 $24.30 Max Pain $23.86 $23.86 $23.86 $23.86 $23.86 ATM IV 25.9% 10.1% 46.6% 23.5% 24.8% Expected Move 9.3% 5.8% 46.5% 5.8% 7.1% HV 20d 24.9% 21.7% 29.0% 25.6% 29.0% HV 60d 22.4% 20.3% 23.9% 20.4% 23.8% IV Rank 11.5% 2.9% 22.8% 10.2% 10.9% IV Percentile 65.7% 0.7% 91.8% 62.3% 62.8% Term Structure -1.7% -80.5% 112.2% 0.2% -1.2% VWIV 25.1% 18.9% 61.5% 25.8% 19.6% Skew 25d 6.3% 4.0% 13.3% 6.2% 7.1% Skew 10d 10.5% -3.8% 14.6% 14.6% 12.1% Call IV 25d 30.6% 18.2% 176.4% 19.1% 19.4% Put IV 25d 36.9% 24.3% 189.7% 25.4% 26.6% Bid-Ask Spread % 53.52 27.72 173.28 52.51 37.14 Gamma HHI 0.38 0.21 0.55 0.29 0.41 Net GEX 17.6K 4.0K 29.2K 21.9K 29.2K Net DEX -133.4K -322.2K -52.6K -175.7K -186.7K Net VEX -476 -848 -225 -597 -657 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.16 0.00 1.57 1.57 0.00 Total Volume 73.947 11 205 11 205 Total OI 307.316 250 431 269 431
Daily Data (19 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 2016-01-04 $25.49 $23.86 23.5% 5.8% 25.6% 10.2% 0.0% 6.2% 0.2% 21.9K -175.7K -597 0.00 52.51 N/A N/A 0 11 258 11 2016-01-05 $25.47 $23.86 24.1% 5.9% 22.5% 10.6% 0.0% 5.6% 0.7% 21.5K -172.4K -563 0.00 54.24 N/A N/A 0 11 258 11 2016-01-06 $24.96 $23.86 27.1% 6.2% 21.7% 12.2% 0.0% 4.6% 0.3% 18.5K -139.5K -515 0.00 43.83 N/A N/A 0 11 258 11 2016-01-07 $24.37 $23.86 25.9% 6.6% 22.1% 11.5% 0.0% 4.2% -1.4% 15.3K -102.1K -455 0.00 52.65 N/A N/A 0 11 258 11 2016-01-08 $24.08 $23.86 32.2% 7.0% 21.8% 15.0% 0.0% 4.0% -1.7% 14.0K -85.3K -397 0.00 47.88 N/A N/A 0 11 258 11 2016-01-11 $24.38 $23.86 10.1% 46.5% 22.4% 2.9% 0.0% 13.3% -80.5% 4.0K -322.2K -848 0.00 173.28 N/A N/A 0 11 258 11 2016-01-12 $24.75 $23.86 24.5% 6.2% 21.8% 10.7% 0.0% 6.7% -0.7% 16.6K -110.7K -387 0.00 52.04 N/A N/A 0 11 258 11 2016-01-13 $24.18 $23.86 25.1% 7.2% 23.1% 11.1% 0.0% 4.7% -2.0% 14.3K -85.6K -357 0.00 39.26 N/A N/A 0 11 258 11 2016-01-14 $24.43 $23.86 21.9% 6.3% 22.4% 9.3% 0.0% 6.5% 0.1% 15.0K -95.7K -368 0.00 38.88 N/A N/A 0 11 258 11 2016-01-15 $23.53 $23.86 25.8% 7.4% 23.9% 11.5% 25.8% 6.5% -2.0% 11.2K -52.6K -293 1.57 27.72 N/A N/A 7 11 258 11 2016-01-19 $23.71 $23.86 24.6% 7.1% 24.3% 10.8% 20.4% 4.0% 112.2% 12.0K -82.1K -271 0.00 42.48 N/A N/A 24 0 258 0 2016-01-20 $23.25 $23.86 30.7% 8.8% 24.3% 14.1% 23.0% 4.6% -2.9% 9.4K -63.2K -225 0.00 34.56 N/A N/A 24 0 250 0 2016-01-21 $23.58 $23.86 26.9% 7.7% 25.3% 12.1% 22.3% 7.0% -1.9% 10.3K -70.9K -228 0.00 34.90 N/A N/A 24 0 250 0 2016-01-22 $24.36 $23.86 25.8% 7.4% 28.4% 11.5% 18.9% 9.5% -1.9% 13.5K -107.3K -264 0.00 35.19 N/A N/A 198 0 250 0 2016-01-25 $23.91 $23.86 25.0% 7.2% 27.6% 11.0% 19.9% 4.1% -1.3% 25.1K -147.2K -573 0.00 37.27 N/A N/A 198 0 424 0 2016-01-26 $24.37 $23.86 22.5% 6.4% 28.9% 9.7% 19.1% 9.6% 0.2% 28.9K -186.3K -671 0.00 36.08 N/A N/A 205 0 424 0 2016-01-27 $24.09 $23.86 46.6% 13.3% 29.0% 22.8% 61.5% 4.2% -45.7% 28.7K -194.1K -769 0.00 139.70 N/A N/A 205 0 431 0 2016-01-28 $24.01 $23.86 24.4% 7.0% 28.4% 10.7% 20.9% 7.7% -2.2% 25.6K -154.0K -611 0.00 37.33 N/A N/A 205 0 431 0 2016-01-29 $24.30 $23.86 24.8% 7.1% 29.0% 10.9% 19.6% 7.1% -1.2% 29.2K -186.7K -657 0.00 37.14 N/A N/A 205 0 431 0
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