HEZU Options History — February 2016 In February 2016, HEZU traded between $21.72 and $24.43. ATM implied volatility averaged 25.6%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.7% (HV 20d: 29.3%). Max pain ranged from $23.86 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.01.
Notable Days 2016-02-26 : Highest Volume — 293 contracts2016-02-02 : Largest IV spike — 22.3% change2016-02-11 : Highest IV Rank — 14.6%2016-02-11 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $23.08 $21.72 $24.43 $24.43 $23.52 Max Pain $25.68 $23.86 $26.00 $23.86 $26.00 ATM IV 25.6% 19.7% 31.6% 19.7% 23.8% Expected Move 7.4% 5.7% 9.1% 5.7% 6.8% HV 20d 29.3% 27.1% 31.2% 29.1% 27.1% HV 60d 25.7% 23.7% 27.0% 23.7% 26.9% IV Rank 11.4% 8.1% 14.6% 8.1% 10.4% IV Percentile 65.2% 38.3% 87.9% 38.3% 53.6% Term Structure -1.4% -4.5% 4.2% 4.2% -2.4% VWIV 20.4% 14.8% 27.1% 20.4% 27.1% Skew 25d 5.9% 1.0% 9.4% 9.4% 2.9% Skew 10d 10.0% 4.7% 17.1% 13.9% 5.3% Call IV 25d 22.6% 18.1% 28.1% 18.4% 23.4% Put IV 25d 28.5% 24.4% 33.5% 27.8% 26.3% Bid-Ask Spread % 71.08 20.95 115.09 40.91 115.09 Gamma HHI 0.54 0.38 0.95 0.45 0.38 Net GEX 11.2K 2.8K 28.7K 28.7K 16.2K Net DEX -46.1K -192.2K 33.0K -192.2K -113.7K Net VEX -227 -626 -90 -626 -545 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.01 0.00 0.10 0.00 0.00 Total Volume 213.4 193 293 205 293 Total OI 372.15 199 451 431 318
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 2016-02-01 $24.43 $23.86 19.7% 5.7% 29.1% 8.1% 20.4% 9.4% 4.2% 28.7K -192.2K -626 0.00 40.91 N/A N/A 205 0 431 0 2016-02-02 $23.68 $23.86 24.1% 6.9% 30.5% 10.5% 22.1% 1.0% -0.0% 23.2K -122.5K -505 0.00 22.96 N/A N/A 205 0 431 0 2016-02-03 $23.60 $23.86 25.5% 7.3% 30.4% 11.3% 25.1% 8.0% -3.0% 21.3K -99.5K -401 0.00 20.95 N/A N/A 205 0 431 0 2016-02-04 $23.42 $26.00 21.9% 7.2% 29.9% 9.3% 14.8% 5.3% -2.7% 21.1K -83.0K -361 0.00 61.20 N/A N/A 205 0 431 0 2016-02-05 $23.15 $26.00 26.0% 7.2% 29.0% 11.6% 16.2% 4.7% -1.9% 18.2K -69.5K -312 0.00 67.51 N/A N/A 205 0 431 0 2016-02-08 $22.46 $26.00 29.3% 8.1% 30.5% 13.3% 18.4% 2.6% -3.5% 9.5K -32.0K -188 0.00 57.16 N/A N/A 205 0 431 0 2016-02-09 $22.02 $26.00 30.9% 8.6% 30.4% 14.2% 21.9% 4.9% -4.5% 5.9K -20.2K -134 0.00 64.97 N/A N/A 205 0 431 0 2016-02-10 $22.13 $26.00 28.4% 8.1% 29.7% 12.9% 19.9% 3.4% -3.1% 5.8K -18.8K -132 0.00 58.56 N/A N/A 205 0 431 0 2016-02-11 $21.72 $26.00 31.6% 9.1% 29.4% 14.6% 22.3% 5.4% -2.0% 3.3K -12.6K -110 0.00 57.32 N/A N/A 205 0 431 0 2016-02-12 $22.11 $26.00 28.8% 8.3% 30.1% 13.1% 22.8% 8.3% -4.4% 4.2K -12.6K -92 0.00 76.62 N/A N/A 205 0 431 0 2016-02-16 $22.79 $26.00 26.9% 7.7% 30.0% 12.1% 18.8% 6.7% -0.9% 9.1K -22.9K -139 0.00 60.32 N/A N/A 205 0 431 0 2016-02-17 $23.36 $26.00 25.4% 7.3% 31.2% 11.3% 18.3% 7.5% 0.2% 21.3K -52.0K -176 0.00 73.71 N/A N/A 205 0 431 0 2016-02-18 $23.25 $26.00 25.2% 7.2% 30.5% 11.1% 17.4% 6.4% -0.4% 9.0K -19.0K -130 0.10 63.85 N/A N/A 205 20 431 0 2016-02-19 $23.14 $26.00 24.9% 7.1% 30.1% 11.0% 18.3% 7.5% -0.6% 4.3K 33.0K -108 0.10 72.05 N/A N/A 205 20 431 20 2016-02-22 $23.61 $26.00 23.2% 6.6% 28.5% 10.0% 16.9% 8.3% -2.0% 6.8K -19.7K -140 0.00 75.76 N/A N/A 193 0 199 0 2016-02-23 $23.29 $26.00 24.1% 6.9% 28.2% 10.5% 25.3% 5.5% 1.0% 4.4K -15.9K -113 0.00 114.69 N/A N/A 193 0 218 0 2016-02-24 $23.09 $26.00 25.4% 7.3% 27.2% 11.2% 21.5% 8.0% -2.8% 2.8K -11.6K -90 0.00 99.73 N/A N/A 193 0 218 0 2016-02-25 $23.33 $26.00 22.7% 6.5% 27.4% 9.8% 20.3% 6.9% 1.6% 5.5K -20.0K -135 0.00 107.25 N/A N/A 193 0 218 0 2016-02-26 $23.49 $26.00 25.0% 7.2% 27.5% 11.0% 0.0% 4.7% -1.3% 4.2K -17.1K -111 0.00 110.98 N/A N/A 293 0 218 0 2016-02-29 $23.52 $26.00 23.8% 6.8% 27.1% 10.4% 27.1% 2.9% -2.4% 16.2K -113.7K -545 0.00 115.09 N/A N/A 293 0 318 0
« Jan 2016 | All History | Mar 2016 » Home HEZU History February 2016