HEZU Options History — October 2016 In October 2016, HEZU traded between $24.58 and $25.40. ATM implied volatility averaged 21.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.9% (HV 20d: 15.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2016-10-24 : Highest Volume — 32 contracts2016-10-24 : Largest IV spike — 23.7% change2016-10-31 : Highest IV Rank — 15.6%2016-10-31 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $25.00 $24.58 $25.40 $24.72 $25.13 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 21.9% 18.6% 28.4% 22.0% 28.4% Expected Move 6.1% 5.3% 8.1% 6.3% 8.1% HV 20d 15.0% 10.1% 17.6% 17.4% 10.1% HV 60d 13.4% 13.0% 13.7% 13.5% 13.0% IV Rank 11.3% 9.1% 15.6% 11.3% 15.6% IV Percentile 55.1% 25.4% 86.9% 60.3% 86.9% Term Structure -1.3% -5.7% 2.6% 2.6% -5.7% VWIV 22.0% 14.6% 29.0% 16.8% 29.0% Skew 25d 2.9% 0.9% 5.8% 3.5% 3.5% Skew 10d 4.1% -6.0% 9.0% 4.1% 6.8% Call IV 25d 20.4% 13.2% 27.1% 21.6% 27.1% Put IV 25d 23.4% 15.9% 30.6% 25.1% 30.6% Bid-Ask Spread % 145.75 129.36 156.79 153.74 155.32 Gamma HHI 0.71 0.54 1.00 1.00 0.68 Net GEX 2.5K 1.1K 4.4K 1.1K 4.0K Net DEX -13.9K -31.9K -5.8K -6.4K -29.3K Net VEX -60 -140 -27 -29 -129 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 18 8 32 8 32 Total OI 23.429 10 40 10 40
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 2016-10-03 $24.72 $0.00 22.0% 6.3% 17.4% 11.3% 0.0% 3.5% 2.6% 1.1K -6.4K -29 0.00 153.74 N/A N/A 8 0 10 0 2016-10-04 $24.81 $0.00 19.3% 5.5% 17.5% 9.6% 0.0% 2.0% -0.2% 1.2K -6.2K -28 0.00 147.64 N/A N/A 8 0 10 0 2016-10-05 $24.94 $0.00 20.5% 5.9% 17.6% 10.4% 0.0% 3.1% 0.5% 1.2K -6.5K -28 0.00 150.86 N/A N/A 8 0 10 0 2016-10-06 $24.95 $26.00 20.1% 5.4% 17.6% 10.1% 16.8% 3.5% -0.1% 1.3K -6.5K -28 0.00 145.54 N/A N/A 8 0 10 0 2016-10-07 $24.67 $26.00 21.6% 5.8% 16.6% 11.1% 26.3% 0.9% -1.2% 1.2K -6.3K -27 0.00 129.36 N/A N/A 14 0 10 0 2016-10-10 $24.91 $26.00 22.2% 5.7% 16.9% 11.5% 18.8% 2.5% -1.8% 2.3K -11.0K -49 0.00 143.19 N/A N/A 14 0 22 0 2016-10-11 $24.78 $26.00 24.2% 5.4% 15.7% 12.8% 19.7% 3.3% -1.5% 2.1K -9.0K -42 0.00 144.20 N/A N/A 14 0 22 0 2016-10-12 $24.75 $26.00 19.1% 5.5% 15.6% 9.4% 14.6% 2.7% -1.4% 2.2K -9.6K -42 0.00 138.55 N/A N/A 14 0 22 0 2016-10-13 $24.58 $26.00 18.6% 5.3% 15.6% 9.1% 21.2% 3.6% 2.5% 1.6K -5.8K -29 0.00 142.22 N/A N/A 14 0 22 0 2016-10-14 $24.87 $26.00 20.5% 5.9% 15.5% 10.3% 19.5% 3.3% -1.2% 2.3K -10.6K -43 0.00 140.73 N/A N/A 14 0 22 0 2016-10-17 $24.74 $26.00 22.0% 6.3% 15.6% 11.4% 20.1% 5.8% -3.6% 2.1K -9.6K -40 0.00 139.57 N/A N/A 14 0 22 0 2016-10-18 $25.06 $26.00 20.5% 5.9% 16.2% 10.4% 20.5% 2.4% -0.8% 2.4K -10.7K -42 0.00 143.29 N/A N/A 14 0 22 0 2016-10-19 $25.15 $26.00 19.5% 5.6% 15.7% 9.7% 20.7% 1.5% 0.5% 2.4K -8.4K -35 0.00 142.60 N/A N/A 14 0 22 0 2016-10-20 $25.28 $26.00 20.2% 5.8% 15.0% 10.1% 20.0% 2.8% 0.0% 2.7K -9.8K -37 0.00 139.33 N/A N/A 14 0 22 0 2016-10-21 $25.28 $26.00 19.4% 5.6% 14.6% 9.6% 20.4% 1.3% 1.7% 2.6K -8.6K -34 0.00 142.88 N/A N/A 14 0 22 0 2016-10-24 $25.40 $26.00 24.0% 6.9% 13.4% 12.7% 24.2% 3.1% -4.4% 2.9K -15.4K -46 0.00 149.11 N/A N/A 32 0 22 0 2016-10-25 $25.32 $26.00 24.4% 7.0% 13.5% 12.9% 24.9% 3.1% -4.5% 4.4K -31.8K -140 0.00 147.64 N/A N/A 32 0 40 0 2016-10-26 $25.21 $26.00 24.5% 7.0% 13.1% 13.0% 26.2% 4.0% -2.1% 4.2K -29.3K -135 0.00 152.89 N/A N/A 32 0 40 0 2016-10-27 $25.26 $26.00 23.8% 6.8% 11.5% 12.5% 26.0% 2.5% -3.1% 4.2K -31.9K -137 0.00 156.79 N/A N/A 32 0 40 0 2016-10-28 $25.15 $26.00 25.7% 7.4% 10.3% 13.8% 26.7% 3.5% -2.6% 4.1K -30.1K -134 0.00 155.28 N/A N/A 32 0 40 0 2016-10-31 $25.13 $26.00 28.4% 8.1% 10.1% 15.6% 29.0% 3.5% -5.7% 4.0K -29.3K -129 0.00 155.32 N/A N/A 32 0 40 0
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