HEZU Options History — March 2016

In March 2016, HEZU traded between $23.93 and $24.91. ATM implied volatility averaged 18.5%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 3.2% (HV 20d: 21.7%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.03.

Notable Days

  • 2016-03-01: Highest Volume — 293 contracts
  • 2016-03-03: Largest IV drop — 22.2% change
  • 2016-03-02: Highest IV Rank — 10.5%
  • 2016-03-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.48$23.93$24.91$24.23$24.39
Max Pain$24.18$24.00$26.00$26.00$24.00
ATM IV18.5%14.1%24.0%22.1%18.1%
Expected Move5.2%4.0%6.9%6.3%5.2%
HV 20d21.7%15.7%29.2%29.2%16.8%
HV 60d25.8%25.1%27.7%27.7%25.2%
IV Rank7.5%5.1%10.5%9.4%7.3%
IV Percentile23.5%1.1%54.7%47.3%22.1%
Term Structure0.8%-3.1%3.8%-0.8%-3.1%
VWIV17.8%13.7%23.2%23.2%19.8%
Skew 25d2.3%-2.8%5.5%3.9%-0.3%
Skew 10d3.7%-1.4%6.1%1.6%-0.1%
Call IV 25d16.9%14.8%21.5%18.7%18.6%
Put IV 25d19.2%16.6%23.7%22.6%18.3%
Bid-Ask Spread %120.44112.82126.50123.71122.37
Gamma HHI0.410.330.550.380.37
Net GEX22.2K16.2K33.0K25.9K27.7K
Net DEX-179.3K-262.7K-125.4K-173.4K-213.9K
Net VEX-614-1.1K-419-662-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.110.000.11
Total Volume259.955119293293252
Total OI279.091144318318278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$24.23$26.0022.1%6.3%29.2%9.4%23.2%3.9%-0.8%25.9K-173.4K-6620.00123.71N/AN/A29303180
2016-03-02$24.27$26.0024.0%6.9%26.9%10.5%22.4%5.5%-2.2%22.8K-159.2K-6020.00119.63N/AN/A29303180
2016-03-03$24.33$24.0018.7%5.7%26.8%7.6%18.9%4.1%0.6%19.7K-152.8K-5500.00113.85N/AN/A29303180
2016-03-04$24.36$24.0020.4%5.7%26.6%8.5%18.9%3.7%0.7%22.5K-165.5K-5780.00117.76N/AN/A29303180
2016-03-07$24.25$24.0021.5%5.9%26.3%9.1%19.4%3.7%0.7%18.5K-145.9K-5210.00117.49N/AN/A29303180
2016-03-08$24.07$24.0023.9%5.8%23.6%10.4%19.3%3.0%0.7%18.5K-140.9K-5160.00117.45N/AN/A29303180
2016-03-09$24.17$24.0019.9%5.7%22.0%8.2%19.1%3.3%0.9%18.6K-142.6K-5100.00119.97N/AN/A29303180
2016-03-10$23.93$24.0020.3%5.8%22.6%8.5%19.5%-2.8%1.4%16.2K-125.4K-4900.00112.82N/AN/A29303180
2016-03-11$24.78$24.0016.6%4.8%23.5%6.4%17.1%4.2%1.6%25.2K-194.5K-5050.00121.08N/AN/A29303180
2016-03-14$24.91$24.0018.6%5.3%23.1%7.5%17.4%1.4%1.0%33.0K-213.2K-5180.00120.46N/AN/A29303180
2016-03-15$24.71$24.0017.6%5.1%21.7%7.0%15.9%-0.3%1.2%24.5K-188.5K-4790.00120.70N/AN/A29303180
2016-03-16$24.70$24.0017.2%4.9%20.3%6.8%15.5%1.6%0.9%20.7K-187.6K-4680.00121.83N/AN/A29303180
2016-03-17$24.56$24.0014.1%4.0%20.4%5.1%14.9%3.4%1.7%20.5K-164.7K-4580.00119.55N/AN/A29303180
2016-03-18$24.75$24.0016.9%4.8%20.2%6.6%16.0%3.5%-1.8%17.1K-176.5K-4610.00118.00N/AN/A29303180
2016-03-21$24.74$24.0014.8%4.2%19.3%5.4%15.7%1.8%3.1%19.2K-186.7K-4310.00126.50N/AN/A11901440
2016-03-22$24.71$24.0015.0%4.3%18.4%5.6%13.7%2.2%3.6%19.0K-182.0K-4300.00122.99N/AN/A11901440
2016-03-23$24.62$24.0017.4%5.0%18.0%6.9%14.9%-0.5%-2.9%18.7K-186.7K-4200.00121.69N/AN/A11901440
2016-03-24$24.35$24.0018.3%5.2%18.5%7.3%16.9%3.4%3.8%20.0K-150.2K-4190.11121.38N/AN/A227251440
2016-03-28$24.38$24.0019.7%5.6%18.4%8.1%18.3%2.1%2.3%25.9K-209.9K-1.1K0.11120.64N/AN/A2272525325
2016-03-29$24.51$24.0016.4%4.7%18.5%6.3%17.1%2.4%0.6%27.5K-220.7K-1.1K0.11125.00N/AN/A2272525325
2016-03-30$24.77$24.0015.5%4.4%15.7%5.8%16.8%1.3%3.6%27.2K-262.7K-1.1K0.11124.79N/AN/A2272525325
2016-03-31$24.39$24.0018.1%5.2%16.8%7.3%19.8%-0.3%-3.1%27.7K-213.9K-1.1K0.11122.37N/AN/A2272525325