HEZU Options History — November 2016

In November 2016, HEZU traded between $24.15 and $25.13. ATM implied volatility averaged 27.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 14.1% (HV 20d: 13.4%). 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 1 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2016-11-01: Highest Volume — 32 contracts
2016-11-10: Largest IV drop — 39.1% change
2016-11-09: Highest IV Rank — 19.8%
2016-11-09: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.83	$24.15	$25.13	$24.81	$25.01
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	27.4%	21.2%	34.9%	27.9%	33.5%
Expected Move	7.5%	6.1%	10.0%	8.0%	9.6%
HV 20d	13.4%	11.1%	14.4%	11.1%	13.7%
HV 60d	14.1%	13.2%	14.5%	13.3%	14.1%
IV Rank	14.9%	10.8%	19.8%	15.2%	18.9%
IV Percentile	78.0%	47.6%	94.4%	84.9%	92.9%
Term Structure	-4.3%	-10.0%	3.4%	-5.8%	-7.9%
VWIV	32.8%	30.7%	35.0%	30.7%	35.0%
Skew 25d	3.3%	-1.5%	6.2%	3.9%	3.4%
Skew 10d	2.6%	-2.5%	7.7%	6.6%	4.7%
Call IV 25d	25.6%	20.6%	37.6%	27.2%	30.0%
Put IV 25d	28.9%	19.8%	41.0%	31.1%	33.4%
Bid-Ask Spread %	156.62	136.81	176.78	153.47	154.11
Gamma HHI	0.87	0.63	1.00	0.71	1.00
Net GEX	2.8K	1.5K	4.1K	3.9K	1.7K
Net DEX	-20.2K	-36.5K	-8.6K	-26.8K	-16.5K
Net VEX	-92	-121	-61	-120	-76
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	27.333	18	32	32	18
Total OI	32.667	18	40	40	18

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2016-11-01	$24.81	$26.00	27.9%	8.0%	11.1%	15.2%	30.7%	3.9%	-5.8%	3.9K	-26.8K	-120	153.47	N/A	N/A	32	40
2016-11-02	$24.57	$26.00	28.7%	8.2%	11.5%	15.7%	35.0%	5.1%	-0.7%	3.4K	-24.1K	-115	159.73	N/A	N/A	32	40
2016-11-03	$24.40	$0.00	30.4%	6.7%	11.7%	16.8%	0.0%	3.2%	3.4%	2.6K	-16.7K	-96	160.09	N/A	N/A	32	40
2016-11-04	$24.15	$0.00	27.3%	6.3%	11.5%	14.9%	0.0%	-1.5%	-1.8%	2.1K	-8.6K	-61	136.81	N/A	N/A	32	40
2016-11-07	$24.70	$0.00	32.9%	6.9%	13.8%	18.5%	0.0%	5.1%	-3.1%	3.4K	-24.1K	-107	157.03	N/A	N/A	32	40
2016-11-08	$24.94	$0.00	31.3%	6.7%	14.1%	17.5%	0.0%	6.2%	-5.2%	4.0K	-26.1K	-111	155.91	N/A	N/A	32	40
2016-11-09	$25.13	$0.00	34.9%	10.0%	14.3%	19.8%	0.0%	3.5%	-10.0%	3.5K	-36.5K	-121	176.78	N/A	N/A	32	40
2016-11-10	$24.95	$0.00	21.3%	6.1%	14.4%	10.9%	0.0%	3.2%	-5.6%	4.1K	-26.3K	-108	160.51	N/A	N/A	32	40
2016-11-11	$24.85	$0.00	21.2%	6.1%	13.8%	10.8%	0.0%	2.7%	-3.1%	3.6K	-20.1K	-97	153.39	N/A	N/A	32	40
2016-11-14	$24.83	$0.00	27.8%	8.0%	13.7%	15.1%	0.0%	4.1%	-4.7%	3.4K	-22.0K	-93	152.01	N/A	N/A	32	40
2016-11-15	$25.02	$0.00	27.6%	7.9%	13.2%	15.0%	0.0%	3.3%	-5.2%	3.9K	-24.1K	-97	150.24	N/A	N/A	32	40
2016-11-16	$24.81	$0.00	23.6%	6.8%	13.4%	12.4%	0.0%	3.3%	-5.5%	3.6K	-23.6K	-91	158.38	N/A	N/A	32	40
2016-11-17	$24.96	$0.00	26.4%	7.6%	13.5%	14.3%	0.0%	1.7%	-4.7%	3.6K	-20.6K	-87	152.72	N/A	N/A	32	40
2016-11-18	$24.82	$0.00	27.9%	8.0%	13.6%	15.2%	0.0%	1.7%	-5.2%	1.5K	-16.9K	-83	155.34	N/A	N/A	32	40
2016-11-21	$24.92	$0.00	22.1%	6.3%	13.6%	11.4%	0.0%	2.3%	-1.0%	1.7K	-14.2K	-80	157.81	N/A	N/A	18	18
2016-11-22	$25.04	$0.00	22.9%	6.6%	13.7%	12.0%	0.0%	3.6%	-0.5%	1.5K	-14.9K	-80	167.42	N/A	N/A	18	18
2016-11-23	$24.95	$0.00	25.1%	7.2%	13.7%	13.4%	0.0%	3.5%	-1.1%	1.7K	-16.5K	-81	163.55	N/A	N/A	18	18
2016-11-25	$25.02	$0.00	28.1%	8.0%	13.7%	15.3%	0.0%	3.4%	-6.5%	1.7K	-16.6K	-79	157.05	N/A	N/A	18	18
2016-11-28	$24.74	$0.00	28.0%	8.0%	14.2%	15.3%	0.0%	3.4%	-5.4%	1.7K	-15.9K	-77	160.70	N/A	N/A	18	18
2016-11-29	$24.91	$0.00	26.9%	7.7%	14.4%	14.6%	0.0%	3.3%	-9.9%	1.9K	-13.5K	-69	146.01	N/A	N/A	18	18
2016-11-30	$25.01	$0.00	33.5%	9.6%	13.7%	18.9%	0.0%	3.4%	-7.9%	1.7K	-16.5K	-76	154.11	N/A	N/A	18	18