HEZU Options History — December 2016 In December 2016, HEZU traded between $24.78 and $26.80. ATM implied volatility averaged 27.2%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 14.6% (HV 20d: 12.6%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2016-12-01 : Highest Volume — 18 contracts2016-12-13 : Largest IV spike — 86.6% change2016-12-13 : Highest IV Rank — 100.0%2016-12-01 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $26.20 $24.78 $26.80 $24.78 $26.59 ATM IV 27.2% 17.7% 70.4% 33.0% 22.2% Expected Move 5.8% 4.5% 9.4% 9.4% 6.4% HV 20d 12.6% 10.9% 13.7% 13.7% 11.4% HV 60d 13.5% 12.1% 14.3% 14.2% 12.3% IV Rank 20.4% 11.8% 100.0% 18.6% 20.1% IV Percentile 56.7% 8.7% 100.0% 92.1% 52.0% Term Structure -1.9% -10.8% 3.8% -10.8% 2.0% Skew 25d 3.3% -9.5% 9.3% 2.9% 3.0% Skew 10d 8.5% -6.6% 15.2% 3.0% 14.9% Call IV 25d 22.6% 16.4% 31.3% 31.3% 25.6% Put IV 25d 25.9% 16.5% 36.6% 34.1% 28.5% Bid-Ask Spread % 174.01 155.24 200.00 155.24 166.78 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 2.1K 1.7K 2.6K 2.1K 2.3K Net DEX -25.7K -31.7K -14.3K -19.3K -29.5K Net VEX -74 -81 -66 -81 -67 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 18 18 18 18 Total OI 18 18 18 18 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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-12-01 $24.78 $0.00 33.0% 9.4% 13.7% 18.6% 0.0% 2.9% -10.8% 2.1K -19.3K -81 0.00 155.24 N/A N/A 18 0 18 0 2016-12-02 $24.78 $0.00 30.2% 8.7% 13.4% 16.8% 0.0% 5.5% -7.3% 1.7K -14.3K -70 0.00 160.68 N/A N/A 18 0 18 0 2016-12-05 $25.07 $0.00 27.4% 4.9% 13.3% 11.8% 0.0% -9.5% -7.3% 2.1K -15.9K -73 0.00 160.47 N/A N/A 18 0 18 0 2016-12-06 $25.51 $0.00 43.6% 4.6% 12.3% 22.9% 0.0% 2.3% 3.8% 2.1K -18.3K -79 0.00 175.56 N/A N/A 18 0 18 0 2016-12-07 $25.94 $0.00 30.2% 5.9% 13.1% 13.7% 0.0% 4.6% -1.1% 2.2K -23.0K -78 0.00 171.87 N/A N/A 18 0 18 0 2016-12-08 $26.10 $0.00 27.6% 4.8% 13.1% 11.9% 0.0% 1.8% 1.0% 2.2K -25.5K -79 0.00 162.75 N/A N/A 18 0 18 0 2016-12-09 $26.24 $0.00 29.2% 4.8% 12.6% 13.1% 0.0% 3.9% 0.6% 2.6K -26.0K -79 0.00 172.16 N/A N/A 18 0 18 0 2016-12-12 $26.13 $0.00 37.8% 4.5% 12.7% 20.0% 0.0% 9.3% 0.8% 2.4K -29.1K -76 0.00 171.89 N/A N/A 18 0 18 0 2016-12-13 $26.44 $0.00 70.4% 5.5% 13.0% 100.0% 0.0% -2.2% -5.7% 2.0K -18.3K -75 0.00 200.00 N/A N/A 18 0 18 0 2016-12-14 $26.29 $0.00 19.0% 5.5% 13.3% 14.8% 0.0% 4.3% -2.9% 1.9K -27.1K -77 0.00 179.71 N/A N/A 18 0 18 0 2016-12-15 $26.49 $0.00 20.4% 5.9% 12.7% 17.2% 0.0% 4.4% -4.6% 2.0K -27.2K -77 0.00 168.31 N/A N/A 18 0 18 0 2016-12-16 $26.53 $0.00 17.7% 5.1% 12.7% 12.6% 0.0% 4.7% 1.7% 2.0K -28.9K -75 0.00 191.10 N/A N/A 18 0 18 0 2016-12-19 $26.58 $0.00 19.0% 5.4% 12.3% 14.8% 0.0% 3.6% -0.8% 2.1K -30.1K -72 0.00 191.78 N/A N/A 18 0 18 0 2016-12-20 $26.71 $0.00 20.6% 5.9% 12.3% 17.4% 0.0% 4.3% 0.0% 1.9K -30.3K -71 0.00 169.27 N/A N/A 18 0 18 0 2016-12-21 $26.76 $0.00 20.3% 5.8% 12.3% 17.0% 0.0% 2.6% -2.3% 2.4K -28.8K -73 0.00 186.78 N/A N/A 18 0 18 0 2016-12-22 $26.72 $0.00 18.9% 5.4% 12.2% 14.7% 0.0% 7.1% -5.5% 2.2K -31.7K -68 0.00 176.23 N/A N/A 18 0 18 0 2016-12-23 $26.75 $0.00 18.5% 5.3% 12.2% 13.9% 0.0% 7.7% -0.5% 2.1K -28.7K -71 0.00 162.48 N/A N/A 18 0 18 0 2016-12-27 $26.80 $0.00 19.9% 5.7% 10.9% 16.3% 0.0% 4.0% 0.0% 2.6K -31.2K -66 0.00 158.91 N/A N/A 18 0 18 0 2016-12-28 $26.48 $0.00 23.5% 6.7% 12.2% 22.2% 0.0% 3.6% -4.6% 2.0K -28.6K -70 0.00 182.72 N/A N/A 18 0 18 0 2016-12-29 $26.52 $0.00 21.1% 6.1% 12.2% 18.3% 0.0% 1.8% 3.4% 2.0K -28.4K -68 0.00 189.46 N/A N/A 18 0 18 0 2016-12-30 $26.59 $0.00 22.2% 6.4% 11.4% 20.1% 0.0% 3.0% 2.0% 2.3K -29.5K -67 0.00 166.78 N/A N/A 18 0 18 0
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