HEZU Options History — January 2017 In January 2017, HEZU traded between $26.57 and $27.17. ATM implied volatility averaged 20.9%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 11.7% (HV 20d: 9.3%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2017-01-03 : Highest Volume — 18 contracts2017-01-11 : Largest IV drop — 23.4% change2017-01-09 : Highest IV Rank — 23.2%2017-01-31 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $26.88 $26.57 $27.17 $26.98 $26.57 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 20.9% 18.2% 24.1% 21.4% 24.1% Expected Move 5.7% 5.1% 6.9% 6.1% 6.9% HV 20d 9.3% 8.2% 11.9% 11.9% 9.5% HV 60d 12.0% 11.7% 12.7% 12.7% 11.7% IV Rank 13.8% 7.3% 23.2% 18.8% 17.7% IV Percentile 39.5% 11.9% 69.8% 44.4% 69.8% Term Structure 3.9% -4.1% 107.9% -2.1% -2.5% VWIV 22.4% 18.3% 27.9% 22.0% 25.2% Skew 25d 2.2% 0.0% 4.4% 1.8% 1.1% Skew 10d 7.2% 1.9% 9.7% 7.4% 8.2% Call IV 25d 20.6% 17.3% 26.0% 21.6% 26.0% Put IV 25d 22.8% 17.3% 27.8% 23.5% 27.1% Bid-Ask Spread % 151.51 138.76 196.01 196.01 145.72 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 2.7K 2.1K 3.1K 2.7K 3.0K Net DEX -34.7K -38.6K -31.3K -35.6K -31.3K Net VEX -47 -60 -34 -54 -38 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 (20 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 2017-01-03 $26.98 $0.00 21.4% 6.1% 11.9% 18.8% 0.0% 1.8% -2.1% 2.7K -35.6K -54 0.00 196.01 N/A N/A 18 0 18 0 2017-01-04 $26.96 $0.00 23.0% 6.6% 11.7% 21.5% 0.0% 3.3% -0.5% 2.1K -32.5K -60 0.00 155.79 N/A N/A 18 0 18 0 2017-01-05 $26.94 $26.00 23.3% 5.2% 10.6% 21.9% 22.0% 4.4% -2.2% 2.3K -32.7K -59 0.00 149.84 N/A N/A 18 0 18 0 2017-01-06 $27.02 $26.00 22.0% 5.1% 9.3% 19.8% 18.3% 0.0% 0.2% 3.0K -36.2K -51 0.00 138.76 N/A N/A 18 0 18 0 2017-01-09 $26.85 $26.00 24.1% 5.4% 9.6% 23.2% 22.2% 4.3% -3.4% 2.4K -32.2K -56 0.00 152.40 N/A N/A 18 0 18 0 2017-01-10 $26.85 $26.00 23.8% 5.1% 9.5% 22.8% 21.7% 2.4% -1.5% 2.4K -33.4K -55 0.00 157.23 N/A N/A 18 0 18 0 2017-01-11 $26.93 $26.00 18.2% 5.2% 9.3% 7.3% 22.0% 3.5% -1.7% 2.4K -34.2K -52 0.00 152.56 N/A N/A 18 0 18 0 2017-01-12 $26.86 $26.00 18.5% 5.3% 8.5% 7.8% 21.4% 1.9% -1.8% 2.4K -33.5K -54 0.00 153.06 N/A N/A 18 0 18 0 2017-01-13 $26.95 $26.00 19.5% 5.6% 8.2% 9.5% 21.8% 1.4% -3.2% 2.6K -35.6K -51 0.00 150.17 N/A N/A 18 0 18 0 2017-01-17 $26.74 $26.00 18.8% 5.4% 8.5% 8.3% 18.3% 1.7% -1.0% 2.9K -35.3K -45 0.00 139.41 N/A N/A 18 0 18 0 2017-01-18 $26.81 $26.00 18.6% 5.3% 8.5% 8.0% 21.5% 2.0% 3.6% 2.6K -33.5K -49 0.00 153.82 N/A N/A 18 0 18 0 2017-01-19 $26.76 $26.00 18.9% 5.4% 8.5% 8.4% 19.2% 1.4% -2.1% 2.8K -35.8K -43 0.00 142.69 N/A N/A 18 0 18 0 2017-01-20 $26.83 $26.00 19.0% 5.4% 8.4% 8.7% 21.7% 1.0% -2.5% 2.8K -36.8K -42 0.00 152.96 N/A N/A 18 0 18 0 2017-01-23 $26.77 $26.00 20.4% 5.9% 8.4% 11.2% 23.2% 3.3% 107.9% 2.7K -33.1K -45 0.00 151.42 N/A N/A 18 0 18 0 2017-01-24 $26.87 $26.00 19.5% 5.6% 8.5% 9.5% 23.3% 2.7% -0.3% 2.6K -34.5K -42 0.00 153.11 N/A N/A 18 0 18 0 2017-01-25 $27.17 $26.00 20.1% 5.8% 9.3% 10.7% 27.9% 2.8% -2.0% 2.7K -38.3K -36 0.00 150.01 N/A N/A 18 0 18 0 2017-01-26 $27.05 $26.00 21.5% 6.2% 9.5% 13.1% 25.6% 2.0% -3.7% 2.6K -38.6K -34 0.00 148.40 N/A N/A 18 0 18 0 2017-01-27 $27.01 $26.00 21.1% 6.1% 8.3% 12.5% 22.9% 0.0% -4.1% 3.1K -37.9K -34 0.00 141.94 N/A N/A 18 0 18 0 2017-01-30 $26.73 $26.00 23.0% 6.6% 9.2% 15.8% 25.6% 2.2% 0.9% 2.8K -33.1K -38 0.00 145.00 N/A N/A 18 0 18 0 2017-01-31 $26.57 $26.00 24.1% 6.9% 9.5% 17.7% 25.2% 1.1% -2.5% 3.0K -31.3K -38 0.00 145.72 N/A N/A 18 0 18 0
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