HEZU Options History — May 2016

In May 2016, HEZU traded between $24.16 and $25.45. ATM implied volatility averaged 21.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.1% (HV 20d: 15.4%). Max pain ranged from $28.86 to $28.86. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2016-05-02: Highest Volume — 88 contracts
2016-05-24: Largest IV drop — 14.2% change
2016-05-09: Highest IV Rank — 10.9%
2016-05-04: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.59	$24.16	$25.45	$24.87	$25.35
Max Pain	$28.86	$28.86	$28.86	$28.86	$28.86
ATM IV	21.5%	18.3%	24.7%	22.1%	19.9%
Expected Move	6.1%	5.2%	6.7%	6.3%	5.7%
HV 20d	15.4%	13.0%	18.9%	18.9%	15.3%
HV 60d	18.4%	16.9%	21.2%	21.0%	17.0%
IV Rank	9.1%	7.4%	10.9%	9.4%	8.2%
IV Percentile	49.5%	22.9%	66.4%	54.2%	40.9%
Term Structure	1.8%	-1.6%	5.1%	-1.6%	0.2%
Skew 25d	2.2%	0.8%	3.8%	2.4%	2.6%
Skew 10d	1.6%	-1.5%	7.3%	3.2%	6.0%
Call IV 25d	20.6%	18.4%	24.0%	21.8%	20.7%
Put IV 25d	22.8%	20.3%	26.1%	24.2%	23.3%
Bid-Ask Spread %	133.87	124.46	143.59	129.49	143.59
Gamma HHI	0.55	0.51	0.61	0.57	0.57
Net GEX	13.2K	10.9K	19.6K	12.4K	17.7K
Net DEX	-111.1K	-170.7K	-82.3K	-146.3K	-167.6K
Net VEX	-890	-1.1K	-783	-1.1K	-893
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.40	0.45	0.40	0.45
Total Volume	81.333	81	88	88	81
Total OI	216.857	204	222	222	204

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
2016-05-02	$24.87	$28.86	22.1%	6.3%	18.9%	9.4%	0.0%	2.4%	-1.6%	12.4K	-146.3K	-1.1K	0.40	129.49	N/A	N/A	63	25	197	25
2016-05-03	$24.42	$28.86	21.4%	6.1%	18.5%	9.1%	0.0%	2.5%	0.6%	11.9K	-104.2K	-957	0.45	128.10	N/A	N/A	56	25	197	25
2016-05-04	$24.17	$28.86	23.5%	6.7%	18.6%	10.2%	0.0%	2.1%	0.4%	10.9K	-90.2K	-908	0.45	128.68	N/A	N/A	56	25	197	25
2016-05-05	$24.16	$0.00	22.9%	6.6%	17.2%	9.9%	0.0%	2.3%	1.5%	10.9K	-89.0K	-902	0.45	132.99	N/A	N/A	56	25	197	25
2016-05-06	$24.34	$0.00	24.0%	6.0%	16.6%	10.5%	0.0%	1.9%	5.1%	11.4K	-83.4K	-860	0.45	134.49	N/A	N/A	56	25	197	25
2016-05-09	$24.35	$0.00	24.7%	6.5%	16.6%	10.9%	0.0%	2.6%	1.6%	12.0K	-100.2K	-903	0.45	134.69	N/A	N/A	56	25	197	25
2016-05-10	$24.63	$0.00	22.8%	6.2%	16.7%	9.8%	0.0%	3.8%	-1.4%	13.5K	-109.1K	-933	0.45	129.34	N/A	N/A	56	25	197	25
2016-05-11	$24.33	$0.00	20.9%	6.0%	14.3%	8.8%	0.0%	1.2%	4.1%	13.2K	-96.5K	-879	0.45	134.90	N/A	N/A	56	25	197	25
2016-05-12	$24.33	$0.00	20.4%	5.8%	14.2%	8.5%	0.0%	1.1%	3.0%	12.0K	-94.8K	-886	0.45	124.46	N/A	N/A	56	25	197	25
2016-05-13	$24.20	$0.00	21.8%	6.3%	14.3%	9.3%	0.0%	3.0%	3.0%	12.1K	-91.6K	-857	0.45	131.20	N/A	N/A	56	25	197	25
2016-05-16	$24.42	$0.00	20.9%	6.0%	14.4%	8.8%	0.0%	3.1%	4.5%	12.2K	-92.4K	-844	0.45	132.17	N/A	N/A	56	25	197	25
2016-05-17	$24.25	$0.00	21.4%	6.1%	13.1%	9.1%	0.0%	0.9%	3.2%	11.9K	-83.3K	-810	0.45	134.39	N/A	N/A	56	25	197	25
2016-05-18	$24.38	$0.00	21.3%	6.1%	13.0%	9.0%	0.0%	2.0%	4.9%	12.4K	-92.1K	-848	0.45	128.79	N/A	N/A	56	25	197	25
2016-05-19	$24.29	$0.00	21.2%	6.1%	13.0%	9.0%	0.0%	1.9%	-0.6%	11.5K	-82.8K	-806	0.45	137.52	N/A	N/A	56	25	197	25
2016-05-20	$24.45	$0.00	22.4%	6.4%	13.3%	9.6%	0.0%	2.3%	-0.9%	12.9K	-82.3K	-783	0.45	136.67	N/A	N/A	56	25	197	25
2016-05-23	$24.38	$0.00	22.7%	6.5%	13.1%	9.8%	0.0%	3.2%	4.1%	12.8K	-95.8K	-846	0.45	134.47	N/A	N/A	56	25	179	25
2016-05-24	$24.97	$0.00	19.5%	5.6%	15.9%	8.0%	0.0%	2.8%	-0.4%	14.7K	-128.8K	-885	0.45	138.56	N/A	N/A	56	25	179	25
2016-05-25	$25.26	$0.00	20.1%	5.8%	16.3%	8.4%	0.0%	0.8%	3.2%	14.8K	-166.5K	-956	0.45	137.70	N/A	N/A	56	25	179	25
2016-05-26	$25.36	$0.00	19.8%	5.7%	15.8%	8.2%	0.0%	1.6%	1.5%	15.6K	-170.7K	-943	0.45	136.73	N/A	N/A	56	25	179	25
2016-05-27	$25.45	$0.00	18.3%	5.2%	15.2%	7.4%	0.0%	1.9%	0.9%	19.6K	-165.2K	-931	0.45	142.31	N/A	N/A	56	25	179	25
2016-05-31	$25.35	$0.00	19.9%	5.7%	15.3%	8.2%	0.0%	2.6%	0.2%	17.7K	-167.6K	-893	0.45	143.59	N/A	N/A	56	25	179	25