HEZU Options History — August 2016

In August 2016, HEZU traded between $23.78 and $24.91. ATM implied volatility averaged 19.5%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.5% (HV 20d: 12.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.43.

Notable Days

  • 2016-08-01: Highest Volume — 83 contracts
  • 2016-08-19: Largest IV spike — 14.5% change
  • 2016-08-04: Highest IV Rank — 12.1%
  • 2016-08-02: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.50$23.78$24.91$24.15$24.75
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV19.5%17.2%23.1%22.2%18.5%
Expected Move5.5%4.7%6.6%6.4%5.3%
HV 20d12.0%9.4%21.1%21.1%9.5%
HV 60d27.8%27.4%28.1%28.0%27.4%
IV Rank9.7%8.2%12.1%11.5%9.0%
IV Percentile28.9%7.9%57.5%54.0%22.6%
Term Structure0.0%-4.3%4.0%-4.3%-0.8%
VWIV23.2%22.3%24.4%22.3%24.4%
Skew 25d2.3%-4.5%6.2%3.6%2.6%
Skew 10d5.1%1.2%8.3%4.4%6.6%
Call IV 25d19.2%14.5%22.9%21.3%20.6%
Put IV 25d21.5%16.0%25.8%24.8%23.2%
Bid-Ask Spread %138.29126.16152.99128.99147.06
Gamma HHI0.410.350.540.390.38
Net GEX10.9K034.5K11.1K0
Net DEX-16.4K-73.9K6.7K-9.3K0
Net VEX-88-2130-2130
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.430.430.430.43
Total Volume46.913083830
Total OI191.08702932930

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$24.15$24.0022.2%6.4%21.1%11.5%22.3%3.6%-4.3%11.1K-9.3K-2130.43128.99N/AN/A582526825
2016-08-02$23.78$24.0022.9%6.6%19.4%11.9%22.8%2.9%-2.7%8.4K-197-1910.43127.11N/AN/A582526825
2016-08-03$23.85$24.0022.2%6.4%13.9%11.5%24.4%2.2%1.6%6.9K6.0K-1600.43128.59N/AN/A582526825
2016-08-04$23.96$0.0023.1%5.8%13.8%12.1%0.0%1.6%-0.6%6.3K6.7K-1410.43135.90N/AN/A582526825
2016-08-05$24.27$0.0020.3%5.8%11.9%10.2%0.0%6.2%-1.3%12.2K-12.9K-1760.43130.16N/AN/A582526825
2016-08-08$24.36$0.0021.2%6.1%11.3%10.8%0.0%-4.5%1.8%12.3K-13.2K-1420.43132.14N/AN/A582526825
2016-08-09$24.66$0.0020.2%4.7%10.7%10.1%0.0%2.7%0.4%21.2K-37.3K-1670.43126.16N/AN/A582526825
2016-08-10$24.66$0.0018.3%5.2%10.7%8.9%0.0%1.9%-0.7%21.6K-38.5K-1570.43136.46N/AN/A582526825
2016-08-11$24.91$0.0017.6%5.1%10.8%8.5%0.0%2.0%0.2%34.5K-73.9K-1950.43136.84N/AN/A582526825
2016-08-12$24.88$0.0017.9%5.1%10.8%8.6%0.0%2.9%-1.2%30.6K-59.4K-1650.43137.61N/AN/A582526825
2016-08-15$24.91$0.0017.9%5.1%10.8%8.6%0.0%2.8%-0.6%32.0K-62.5K-1230.43137.09N/AN/A582526825
2016-08-16$24.70$0.0018.0%5.2%11.2%8.7%0.0%1.9%0.2%20.1K-33.3K-810.43139.61N/AN/A582526825
2016-08-17$24.61$0.0017.4%5.0%11.0%8.3%0.0%3.3%0.3%16.7K-25.0K-610.00142.72N/AN/A0026825
2016-08-18$24.58$0.0017.2%4.9%11.0%8.2%0.0%3.1%4.0%16.7K-24.9K-470.00140.75N/AN/A0026825
2016-08-19$24.44$0.0019.7%5.6%11.1%9.8%0.0%2.9%-1.2%0000.43136.85N/AN/A582526825
2016-08-22$24.41$0.0020.9%6.0%11.1%10.6%0.0%2.6%-1.9%0000.00138.08N/AN/A0000
2016-08-23$24.60$0.0017.9%5.1%11.3%8.7%0.0%1.8%3.4%0000.00143.76N/AN/A0000
2016-08-24$24.63$0.0017.8%5.1%11.2%8.6%0.0%2.0%-0.6%0000.00140.25N/AN/A0000
2016-08-25$24.47$0.0019.6%5.6%11.5%9.8%0.0%2.1%-2.4%0000.00143.04N/AN/A0000
2016-08-26$24.57$0.0019.1%5.5%11.6%9.5%0.0%1.7%3.7%0000.00147.74N/AN/A0000
2016-08-29$24.65$0.0020.2%5.8%11.1%10.1%0.0%3.7%2.8%0000.00150.69N/AN/A0000
2016-08-30$24.81$0.0018.6%5.3%9.4%9.1%0.0%1.8%-0.1%0000.00152.99N/AN/A0000
2016-08-31$24.75$0.0018.5%5.3%9.5%9.0%0.0%2.6%-0.8%0000.00147.06N/AN/A0000