HEZU Options History — June 2016

In June 2016, HEZU traded between $22.70 and $25.39. ATM implied volatility averaged 29.4%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.8% (HV 20d: 22.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2016-06-10: Highest Volume — 223 contracts
  • 2016-06-29: Largest IV drop — 26.5% change
  • 2016-06-24: Highest IV Rank — 18.0%
  • 2016-06-24: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.30$22.70$25.39$25.20$24.06
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV29.4%21.1%37.8%21.2%26.1%
Expected Move8.4%5.7%10.8%6.1%7.5%
HV 20d22.6%13.1%42.2%13.8%42.2%
HV 60d19.4%15.6%27.4%17.0%27.4%
IV Rank13.6%8.9%18.0%8.9%14.0%
IV Percentile78.4%47.2%94.4%48.9%75.4%
Term Structure-3.6%-8.4%2.2%1.7%-2.8%
VWIV29.3%21.5%50.4%23.2%26.5%
Skew 25d6.4%-6.3%15.3%2.8%0.8%
Skew 10d7.4%0.7%14.2%2.6%1.3%
Call IV 25d24.7%17.3%50.3%21.7%26.4%
Put IV 25d31.1%20.3%44.0%24.4%27.2%
Bid-Ask Spread %119.6877.91139.63139.63127.86
Gamma HHI0.560.480.660.560.51
Net GEX17.4K10.3K32.2K15.7K18.0K
Net DEX-131.3K-278.3K-22.1K-155.7K-71.2K
Net VEX-857-1.2K-469-890-637
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.130.450.450.35
Total Volume115.182812238196
Total OI277.136204324204306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$25.20$0.0021.2%6.1%13.8%8.9%0.0%2.8%1.7%15.7K-155.7K-8900.45139.63N/AN/A562517925
2016-06-02$25.30$0.0022.0%5.7%13.1%9.4%0.0%3.7%2.2%16.0K-161.1K-8790.45131.85N/AN/A562517925
2016-06-03$24.96$0.0021.1%5.9%14.2%8.9%0.0%5.9%-1.3%15.4K-129.9K-8410.45134.07N/AN/A562517925
2016-06-06$25.00$0.0024.3%6.5%14.0%10.7%0.0%5.7%-3.9%16.2K-129.7K-8220.45129.16N/AN/A562517925
2016-06-07$25.25$0.0023.1%6.6%14.3%10.0%0.0%3.3%-1.1%15.8K-162.8K-8580.45132.46N/AN/A562517925
2016-06-08$25.20$0.0021.4%6.1%13.9%9.1%0.0%2.5%-2.9%18.3K-145.0K-8140.45132.43N/AN/A562517925
2016-06-09$24.98$0.0023.2%6.7%13.5%10.1%23.2%1.7%-1.0%14.8K-141.2K-8250.36131.39N/AN/A692517925
2016-06-10$24.22$25.0028.4%8.1%17.7%12.9%30.7%-0.4%-2.0%13.6K-88.4K-7210.13122.95N/AN/A1982519225
2016-06-13$23.67$25.0031.9%9.2%19.4%14.8%21.5%4.3%-4.4%16.8K-139.5K-9990.13114.53N/AN/A1982529625
2016-06-14$23.53$25.0033.2%9.5%19.1%15.5%25.1%12.2%-4.8%15.3K-111.5K-9370.13110.78N/AN/A1982529625
2016-06-15$23.52$25.0033.7%9.6%19.0%15.7%25.9%11.9%-6.2%16.2K-88.6K-8460.13114.28N/AN/A1982529625
2016-06-16$23.74$25.0037.6%10.8%19.3%17.9%28.0%13.9%-7.9%17.9K-131.4K-9870.35107.80N/AN/A722529625
2016-06-17$23.96$25.0036.0%10.3%19.6%17.0%22.6%5.9%-5.8%18.6K-120.6K-9220.35112.19N/AN/A722529925
2016-06-20$24.45$25.0034.8%10.0%20.8%16.4%32.9%15.0%-4.7%23.2K-204.1K-1.1K0.35111.42N/AN/A722529925
2016-06-21$24.81$25.0031.5%9.0%21.4%14.6%32.1%7.8%-4.9%22.9K-243.0K-1.2K0.35118.50N/AN/A722529925
2016-06-22$24.72$25.0030.6%8.8%19.7%14.1%29.3%8.6%-6.0%28.1K-207.6K-1.1K0.35109.77N/AN/A722529925
2016-06-23$25.39$25.0032.3%9.3%21.5%15.0%30.0%13.4%-5.6%32.2K-278.3K-1.2K0.35119.85N/AN/A722529925
2016-06-24$23.14$25.0037.8%10.8%39.4%18.0%50.4%-6.3%-1.6%13.2K-66.4K-6830.3577.91N/AN/A712529925
2016-06-27$22.70$25.0037.6%10.8%39.6%17.9%33.5%8.3%-5.2%10.3K-43.0K-5660.35110.56N/AN/A712528125
2016-06-28$23.20$25.0034.3%9.8%40.7%16.1%30.3%15.3%-8.4%10.9K-22.1K-4690.35112.13N/AN/A712528125
2016-06-29$23.57$25.0025.2%7.2%41.4%13.4%27.3%5.5%-1.8%14.0K-48.4K-6000.35131.36N/AN/A712528125
2016-06-30$24.06$25.0026.1%7.5%42.2%14.0%26.5%0.8%-2.8%18.0K-71.2K-6370.35127.86N/AN/A712528125