HEZU Options History — July 2016

In July 2016, HEZU traded between $22.50 and $24.36. ATM implied volatility averaged 24.5%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 13.9% (HV 20d: 38.4%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2016-07-01: Highest Volume — 96 contracts
2016-07-13: Largest IV drop — 46.6% change
2016-07-12: Highest IV Rank — 22.2%
2016-07-07: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.76	$22.50	$24.36	$24.02	$24.36
Max Pain	$24.05	$24.00	$25.00	$25.00	$24.00
ATM IV	24.5%	16.7%	38.5%	25.8%	16.7%
Expected Move	6.3%	4.8%	8.2%	7.4%	4.8%
HV 20d	38.4%	20.9%	45.3%	42.0%	20.9%
HV 60d	28.2%	27.1%	28.6%	27.1%	27.9%
IV Rank	13.0%	7.9%	22.2%	13.8%	7.9%
IV Percentile	55.9%	7.1%	95.6%	72.6%	7.1%
Term Structure	-2.9%	-49.4%	2.6%	-1.6%	-49.4%
VWIV	21.3%	16.7%	27.7%	27.7%	16.7%
Skew 25d	3.4%	-2.5%	23.2%	0.8%	23.2%
Skew 10d	4.5%	1.3%	23.2%	4.0%	23.2%
Call IV 25d	27.6%	18.9%	150.6%	27.4%	150.6%
Put IV 25d	31.0%	18.3%	173.8%	28.1%	173.8%
Bid-Ask Spread %	128.44	115.97	173.50	138.31	173.50
Gamma HHI	0.46	0.40	0.53	0.53	0.43
Net GEX	13.0K	4.5K	19.5K	19.5K	17.4K
Net DEX	-25.2K	-83.1K	19.9K	-83.1K	-33.7K
Net VEX	-359	-681	-228	-681	-269
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.35	0.43	0.35	0.43
Total Volume	89.5	83	96	96	83
Total OI	299.5	293	306	306	293

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
2016-07-01	$24.02	$25.00	25.8%	7.4%	42.0%	13.8%	27.7%	0.8%	-1.6%	19.5K	-83.1K	-681	0.35	138.31	N/A	N/A	71	25	281	25
2016-07-05	$23.37	$24.00	28.3%	7.5%	42.9%	15.5%	22.9%	2.4%	-0.4%	12.7K	-36.6K	-499	0.35	117.73	N/A	N/A	71	25	281	25
2016-07-06	$22.56	$24.00	36.3%	7.1%	44.0%	20.8%	23.6%	4.0%	-0.2%	5.2K	16.7K	-242	0.35	122.77	N/A	N/A	71	25	281	25
2016-07-07	$22.50	$24.00	31.4%	8.2%	44.0%	17.5%	24.1%	3.5%	-0.9%	4.5K	19.9K	-228	0.35	122.43	N/A	N/A	71	25	281	25
2016-07-08	$23.06	$24.00	28.4%	6.9%	45.3%	15.5%	21.6%	3.5%	1.0%	6.1K	11.2K	-275	0.35	124.68	N/A	N/A	71	25	281	25
2016-07-11	$23.34	$24.00	36.8%	6.4%	44.5%	21.1%	20.3%	-2.5%	2.6%	7.8K	3.8K	-285	0.35	118.12	N/A	N/A	71	25	281	25
2016-07-12	$23.73	$24.00	38.5%	6.2%	44.2%	22.2%	19.8%	6.5%	-1.3%	16.3K	-51.7K	-483	0.35	115.97	N/A	N/A	71	25	281	25
2016-07-13	$23.73	$24.00	20.6%	5.9%	44.1%	10.4%	20.0%	4.3%	-1.7%	13.5K	-27.2K	-400	0.35	127.59	N/A	N/A	71	25	281	25
2016-07-14	$23.94	$24.00	19.4%	5.6%	44.2%	9.7%	19.6%	2.5%	1.7%	16.4K	-41.0K	-443	0.35	131.49	N/A	N/A	71	25	281	25
2016-07-15	$23.90	$24.00	19.6%	5.6%	44.1%	9.8%	19.8%	1.6%	0.6%	15.0K	-38.4K	-448	0.35	131.59	N/A	N/A	71	25	281	25
2016-07-18	$23.89	$24.00	20.5%	5.9%	44.0%	10.4%	20.6%	3.0%	-0.6%	14.3K	-33.9K	-415	0.43	128.92	N/A	N/A	58	25	268	25
2016-07-19	$23.80	$24.00	23.1%	6.6%	43.3%	12.1%	21.7%	3.9%	-2.7%	13.0K	-24.6K	-344	0.43	123.57	N/A	N/A	58	25	268	25
2016-07-20	$24.03	$24.00	20.9%	6.0%	43.1%	10.6%	20.0%	-0.9%	-0.7%	16.1K	-44.1K	-404	0.43	120.56	N/A	N/A	58	25	268	25
2016-07-21	$23.99	$24.00	18.5%	5.3%	43.1%	9.1%	19.7%	1.4%	2.4%	13.6K	-24.6K	-336	0.43	131.92	N/A	N/A	58	25	268	25
2016-07-22	$24.12	$24.00	20.4%	5.9%	41.9%	10.3%	20.8%	1.4%	-1.0%	12.2K	-16.1K	-289	0.43	128.49	N/A	N/A	58	25	268	25
2016-07-25	$24.09	$24.00	20.2%	5.8%	24.9%	10.1%	20.9%	2.4%	0.9%	15.4K	-33.6K	-335	0.43	129.67	N/A	N/A	58	25	268	25
2016-07-26	$24.21	$24.00	21.7%	6.2%	23.7%	11.1%	21.7%	2.1%	-1.4%	12.5K	-17.4K	-261	0.43	124.17	N/A	N/A	58	25	268	25
2016-07-27	$24.31	$24.00	21.9%	6.3%	22.6%	11.3%	21.5%	2.6%	-2.8%	16.5K	-31.8K	-307	0.43	130.57	N/A	N/A	58	25	268	25
2016-07-28	$24.32	$24.00	21.4%	6.1%	22.1%	11.0%	22.1%	2.0%	-3.3%	12.8K	-17.9K	-244	0.43	126.77	N/A	N/A	58	25	268	25
2016-07-29	$24.36	$24.00	16.7%	4.8%	20.9%	7.9%	16.7%	23.2%	-49.4%	17.4K	-33.7K	-269	0.43	173.50	N/A	N/A	58	25	268	25