HEZU Options History — September 2016 In September 2016, HEZU traded between $24.23 and $25.25. ATM implied volatility averaged 22.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 9.4% (HV 20d: 13.5%). Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2016-09-28 : Highest Volume — 8 contracts2016-09-29 : Largest IV spike — 137.6% change2016-09-13 : Highest IV Rank — 26.2%2016-09-29 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $24.73 $24.23 $25.25 $24.80 $24.84 ATM IV 22.9% 17.5% 44.5% 17.9% 18.3% Expected Move 5.8% 4.9% 11.9% 5.1% 5.2% HV 20d 13.5% 9.5% 18.5% 9.5% 18.5% HV 60d 22.1% 14.0% 27.6% 27.4% 14.3% IV Rank 12.0% 8.4% 26.2% 8.6% 8.9% IV Percentile 46.8% 9.5% 97.2% 13.1% 21.8% Term Structure 0.1% -5.4% 2.7% -2.3% 1.9% Skew 25d 2.1% -0.6% 6.5% 0.9% 2.3% Skew 10d 2.2% -1.9% 11.6% 4.2% 5.9% Call IV 25d 20.4% 16.0% 44.0% 21.6% 20.0% Put IV 25d 22.5% 18.2% 46.2% 22.5% 22.2% Bid-Ask Spread % 147.77 136.78 184.17 149.80 146.16 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 138 0 1.1K 0 1.1K Net DEX -950 -8.2K 0 0 -5.4K Net VEX -4 -33 0 0 -27 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.619 0 8 0 8 Total OI 1.429 0 10 0 10
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 2016-09-01 $24.80 $0.00 17.9% 5.1% 9.5% 8.6% 0.0% 0.9% -2.3% 0 0 0 0.00 149.80 N/A N/A 0 0 0 0 2016-09-02 $25.23 $0.00 17.7% 5.1% 10.2% 8.5% 0.0% 6.5% -0.4% 0 0 0 0.00 146.40 N/A N/A 0 0 0 0 2016-09-06 $25.15 $0.00 20.3% 4.9% 10.4% 10.2% 0.0% 1.0% 0.2% 0 0 0 0.00 150.00 N/A N/A 0 0 0 0 2016-09-07 $25.25 $0.00 23.6% 5.2% 9.6% 12.4% 0.0% -0.6% 0.7% 0 0 0 0.00 142.70 N/A N/A 0 0 0 0 2016-09-08 $25.24 $0.00 21.6% 5.0% 9.7% 11.1% 0.0% 2.8% -0.7% 0 0 0 0.00 147.44 N/A N/A 0 0 0 0 2016-09-09 $24.76 $0.00 26.1% 5.0% 11.5% 14.0% 0.0% 1.3% 2.7% 0 0 0 0.00 149.02 N/A N/A 0 0 0 0 2016-09-12 $24.87 $0.00 29.8% 5.6% 11.6% 16.5% 0.0% 5.1% -2.4% 0 0 0 0.00 142.36 N/A N/A 0 0 0 0 2016-09-13 $24.43 $0.00 44.5% 5.9% 13.2% 26.2% 0.0% 1.0% 1.8% 0 0 0 0.00 139.93 N/A N/A 0 0 0 0 2016-09-14 $24.30 $0.00 21.8% 6.3% 13.0% 11.2% 0.0% 0.3% 2.0% 0 0 0 0.00 136.78 N/A N/A 0 0 0 0 2016-09-15 $24.49 $0.00 21.7% 6.2% 13.3% 11.1% 0.0% 3.0% -4.0% 0 0 0 0.00 148.23 N/A N/A 0 0 0 0 2016-09-16 $24.23 $0.00 20.6% 5.9% 13.8% 10.4% 0.0% 2.3% 1.8% 0 0 0 0.00 145.51 N/A N/A 0 0 0 0 2016-09-19 $24.35 $0.00 21.6% 6.2% 13.8% 11.1% 0.0% 0.7% 2.5% 0 0 0 0.00 138.82 N/A N/A 0 0 0 0 2016-09-20 $24.44 $0.00 22.8% 6.5% 13.9% 11.9% 0.0% 1.4% -5.4% 0 0 0 0.00 143.77 N/A N/A 0 0 0 0 2016-09-21 $24.74 $0.00 19.2% 5.5% 14.3% 9.5% 0.0% 2.6% 1.7% 0 0 0 0.00 143.22 N/A N/A 2 0 0 0 2016-09-22 $25.10 $0.00 18.4% 5.3% 15.2% 9.0% 0.0% 1.3% 0.9% 240 -1.6K -7 0.00 144.10 N/A N/A 2 0 2 0 2016-09-23 $24.89 $0.00 17.8% 5.1% 15.3% 8.6% 0.0% 1.7% 0.7% 231 -1.4K -7 0.00 150.26 N/A N/A 2 0 2 0 2016-09-26 $24.51 $0.00 20.0% 5.7% 16.3% 10.0% 0.0% 2.4% 0.7% 206 -1.0K -5 0.00 151.86 N/A N/A 2 0 2 0 2016-09-27 $24.54 $0.00 18.9% 5.4% 16.2% 9.3% 0.0% 1.6% 0.6% 198 -1.0K -5 0.00 151.94 N/A N/A 2 0 2 0 2016-09-28 $24.83 $0.00 17.5% 5.0% 16.6% 8.4% 0.0% 4.1% 2.6% 200 -1.3K -6 0.00 150.58 N/A N/A 8 0 2 0 2016-09-29 $24.44 $0.00 41.5% 11.9% 17.5% 24.2% 0.0% 2.2% -3.1% 689 -8.2K -33 0.00 184.17 N/A N/A 8 0 10 0 2016-09-30 $24.84 $0.00 18.3% 5.2% 18.5% 8.9% 0.0% 2.3% 1.9% 1.1K -5.4K -27 0.00 146.16 N/A N/A 8 0 10 0
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