HEZU Options History — April 2016

In April 2016, HEZU traded between $23.38 and $25.50. ATM implied volatility averaged 20.8%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.0% (HV 20d: 18.8%). Max pain ranged from $24.00 to $28.86. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.23.

Notable Days

2016-04-01: Highest Volume — 252 contracts
2016-04-13: Largest IV drop — 40.2% change
2016-04-12: Highest IV Rank — 15.4%
2016-04-07: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.64	$23.38	$25.50	$24.13	$24.82
Max Pain	$28.63	$24.00	$28.86	$24.00	$28.86
ATM IV	20.8%	16.4%	33.0%	18.8%	19.4%
Expected Move	5.5%	4.7%	6.6%	5.4%	5.6%
HV 20d	18.8%	15.9%	20.6%	17.2%	19.0%
HV 60d	23.3%	21.0%	25.3%	25.3%	21.1%
IV Rank	8.7%	6.3%	15.4%	7.7%	8.0%
IV Percentile	40.3%	8.8%	91.9%	29.8%	37.0%
Term Structure	0.9%	-2.0%	3.1%	2.1%	0.5%
VWIV	18.7%	18.7%	18.7%	18.7%	18.7%
Skew 25d	3.3%	1.2%	6.8%	1.4%	1.2%
Skew 10d	4.1%	0.1%	6.2%	0.1%	2.2%
Call IV 25d	18.4%	15.5%	21.0%	19.1%	21.0%
Put IV 25d	21.7%	18.7%	25.7%	20.4%	22.2%
Bid-Ask Spread %	126.04	111.25	132.55	119.73	128.81
Gamma HHI	0.48	0.33	0.59	0.42	0.58
Net GEX	19.5K	9.6K	31.6K	30.7K	13.3K
Net DEX	-166.2K	-278.6K	-72.0K	-160.8K	-133.9K
Net VEX	-994	-1.1K	-783	-1.0K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.11	0.40	0.11	0.40
Total Volume	181.238	88	252	252	88
Total OI	246.905	191	278	278	222

Daily Data (21 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
2016-04-01	$24.13	$24.00	18.8%	5.4%	17.2%	7.7%	18.7%	1.4%	2.1%	30.7K	-160.8K	-1.0K	0.11	119.73	N/A	N/A	227	25	253	25
2016-04-04	$24.06	$28.86	20.6%	5.8%	17.2%	8.6%	0.0%	3.2%	0.9%	30.0K	-169.4K	-991	0.11	113.86	N/A	N/A	227	25	253	25
2016-04-05	$23.55	$28.86	24.9%	6.3%	18.7%	11.0%	0.0%	5.6%	0.6%	23.0K	-132.5K	-964	0.11	111.25	N/A	N/A	227	25	253	25
2016-04-06	$23.81	$28.86	20.1%	5.7%	19.0%	8.4%	0.0%	6.3%	1.2%	27.6K	-138.8K	-955	0.11	113.59	N/A	N/A	227	25	253	25
2016-04-07	$23.38	$28.86	24.0%	6.6%	19.9%	10.5%	0.0%	5.5%	2.5%	21.2K	-72.0K	-783	0.11	118.14	N/A	N/A	227	25	253	25
2016-04-08	$23.74	$28.86	26.2%	5.8%	20.6%	11.7%	0.0%	6.8%	0.6%	26.2K	-118.9K	-877	0.11	126.82	N/A	N/A	227	25	253	25
2016-04-11	$23.85	$28.86	28.6%	5.6%	15.9%	13.0%	0.0%	2.5%	2.1%	29.7K	-133.5K	-892	0.11	128.08	N/A	N/A	227	25	253	25
2016-04-12	$24.09	$28.86	33.0%	5.7%	16.3%	15.4%	0.0%	3.2%	3.1%	31.6K	-169.8K	-913	0.11	128.48	N/A	N/A	227	25	253	25
2016-04-13	$24.74	$28.86	19.7%	5.6%	18.9%	8.1%	0.0%	6.1%	-0.8%	30.2K	-246.8K	-947	0.11	122.81	N/A	N/A	227	25	253	25
2016-04-14	$24.84	$28.86	18.1%	5.2%	19.0%	7.2%	0.0%	2.0%	2.8%	27.6K	-278.6K	-995	0.11	132.55	N/A	N/A	227	25	253	25
2016-04-15	$24.76	$28.86	18.0%	5.2%	18.9%	7.2%	0.0%	2.9%	2.2%	10.9K	-270.7K	-925	0.11	132.45	N/A	N/A	227	25	253	25
2016-04-18	$24.95	$28.86	17.9%	5.1%	18.9%	7.2%	0.0%	2.6%	1.8%	9.6K	-118.1K	-938	0.18	131.87	N/A	N/A	140	25	166	25
2016-04-19	$25.34	$28.86	19.8%	5.7%	19.7%	8.2%	0.0%	1.6%	-2.0%	10.3K	-142.3K	-962	0.18	129.06	N/A	N/A	140	25	166	25
2016-04-20	$25.50	$28.86	16.4%	4.7%	19.7%	6.3%	0.0%	3.1%	1.0%	10.4K	-153.7K	-977	0.40	131.31	N/A	N/A	63	25	166	25
2016-04-21	$25.36	$28.86	18.7%	5.4%	19.8%	7.6%	0.0%	3.0%	-0.2%	12.5K	-181.8K	-1.1K	0.40	128.85	N/A	N/A	63	25	197	25
2016-04-22	$25.41	$28.86	18.3%	5.2%	19.2%	7.3%	0.0%	3.0%	0.2%	12.7K	-183.3K	-1.1K	0.40	130.85	N/A	N/A	63	25	197	25
2016-04-25	$25.20	$28.86	18.9%	5.4%	19.6%	7.7%	0.0%	2.9%	1.2%	12.4K	-166.5K	-1.1K	0.40	129.88	N/A	N/A	63	25	197	25
2016-04-26	$25.29	$28.86	18.7%	5.4%	19.5%	7.6%	0.0%	2.2%	0.1%	12.9K	-171.6K	-1.1K	0.40	131.23	N/A	N/A	63	25	197	25
2016-04-27	$25.41	$28.86	18.2%	5.2%	19.3%	7.3%	0.0%	2.6%	0.1%	12.9K	-182.3K	-1.1K	0.40	129.15	N/A	N/A	63	25	197	25
2016-04-28	$25.11	$28.86	18.8%	5.4%	18.9%	7.6%	0.0%	1.7%	-0.3%	13.3K	-165.4K	-1.1K	0.40	128.02	N/A	N/A	63	25	197	25
2016-04-29	$24.82	$28.86	19.4%	5.6%	19.0%	8.0%	0.0%	1.2%	0.5%	13.3K	-133.9K	-1.0K	0.40	128.81	N/A	N/A	63	25	197	25