HEZU Options History — March 2017 In March 2017, HEZU traded between $27.56 and $28.73. ATM implied volatility averaged 22.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 12.7% (HV 20d: 9.9%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days.
Notable Days 2017-03-29 : Highest Volume — 50 contracts2017-03-20 : Largest IV spike — 64.7% change2017-03-14 : Highest IV Rank — 49.4%2017-03-02 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $28.02 $27.56 $28.73 $27.70 $28.73 ATM IV 22.5% 11.9% 41.9% 22.0% 14.8% Expected Move 5.4% 3.4% 6.6% 6.3% 4.2% HV 20d 9.9% 7.2% 10.9% 10.6% 7.3% HV 60d 9.5% 8.8% 10.6% 10.6% 8.8% IV Rank 16.7% 0.0% 49.4% 14.2% 5.0% IV Percentile 47.5% 0.0% 98.8% 57.1% 0.8% Term Structure 1.2% -5.7% 8.4% -5.7% 8.4% Skew 25d 1.7% -3.5% 4.9% 2.6% -3.5% Skew 10d 5.5% 0.9% 10.0% 0.9% 6.4% Call IV 25d 19.4% 15.9% 25.8% 25.8% 20.6% Put IV 25d 21.1% 15.3% 28.4% 28.4% 17.1% Bid-Ask Spread % 151.78 133.60 167.44 160.06 146.90 Gamma HHI 0.96 0.50 1.00 1.00 0.54 Net GEX -1.2K -6.0K -717 -717 -6.0K Net DEX 11.1K 7.3K 43.8K 9.4K 43.8K Net VEX -74 -233 -54 -68 -233 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 15.217 10 50 10 50 Total OI 14.348 10 70 10 70
Daily Data (23 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 2017-03-01 $27.70 $0.00 22.0% 6.3% 10.6% 14.2% 0.0% 2.6% -5.7% -717 9.4K -68 0.00 160.06 N/A N/A 0 10 0 10 2017-03-02 $27.62 $0.00 23.1% 6.6% 10.7% 16.1% 0.0% 2.2% -1.0% -723 9.6K -68 0.00 167.44 N/A N/A 0 10 0 10 2017-03-03 $27.77 $0.00 22.9% 6.5% 10.8% 15.7% 0.0% 2.1% -0.7% -772 9.2K -65 0.00 161.91 N/A N/A 0 10 0 10 2017-03-06 $27.69 $0.00 19.8% 4.8% 10.9% 10.4% 0.0% 3.7% 3.4% -804 8.5K -65 0.00 137.21 N/A N/A 0 10 0 10 2017-03-07 $27.57 $0.00 28.2% 4.9% 9.9% 25.2% 0.0% 0.9% 1.7% -743 9.5K -67 0.00 164.30 N/A N/A 0 10 0 10 2017-03-08 $27.56 $0.00 27.5% 4.8% 9.9% 24.0% 0.0% 1.7% -1.3% -789 8.4K -64 0.00 136.61 N/A N/A 0 10 0 10 2017-03-09 $27.80 $0.00 25.7% 5.2% 10.2% 20.7% 0.0% 2.7% 1.2% -834 8.3K -62 0.00 133.60 N/A N/A 0 10 0 10 2017-03-10 $27.85 $0.00 27.4% 4.8% 9.9% 23.9% 0.0% 2.6% -0.2% -797 8.4K -64 0.00 154.44 N/A N/A 0 10 0 10 2017-03-13 $27.96 $0.00 33.1% 5.1% 10.0% 33.9% 0.0% 1.9% 1.7% -856 7.7K -60 0.00 163.42 N/A N/A 0 10 0 10 2017-03-14 $27.82 $0.00 41.9% 5.3% 9.9% 49.4% 0.0% 1.7% 2.0% -893 8.5K -62 0.00 160.56 N/A N/A 0 10 0 10 2017-03-15 $27.95 $0.00 19.4% 5.6% 9.9% 9.7% 0.0% 1.1% 1.4% -806 9.1K -62 0.00 159.25 N/A N/A 0 10 0 10 2017-03-16 $28.16 $0.00 20.4% 5.8% 10.2% 11.4% 0.0% 2.0% 0.6% -931 7.8K -57 0.00 155.47 N/A N/A 0 10 0 10 2017-03-17 $28.22 $0.00 11.9% 3.4% 10.0% 0.0% 0.0% -1.0% 5.6% -730 7.4K -60 0.00 139.07 N/A N/A 0 10 0 10 2017-03-20 $28.14 $0.00 19.6% 5.6% 10.2% 13.1% 0.0% 2.6% 2.8% -820 7.9K -59 0.00 160.88 N/A N/A 0 10 0 10 2017-03-21 $27.93 $0.00 18.4% 5.3% 10.5% 11.1% 0.0% 0.1% -0.7% -1.0K 7.3K -55 0.00 148.86 N/A N/A 0 10 0 10 2017-03-22 $28.01 $0.00 19.8% 5.7% 10.5% 13.5% 0.0% 0.9% 1.8% -883 8.6K -59 0.00 156.93 N/A N/A 0 10 0 10 2017-03-23 $28.10 $0.00 18.8% 5.4% 10.5% 11.9% 0.0% 2.0% 3.2% -839 8.0K -58 0.00 154.77 N/A N/A 0 10 0 10 2017-03-24 $28.20 $0.00 18.5% 5.3% 10.0% 11.3% 0.0% 0.1% -0.6% -795 7.3K -55 0.00 140.20 N/A N/A 0 10 0 10 2017-03-27 $28.19 $0.00 20.9% 6.0% 10.0% 15.4% 0.0% 1.9% 0.8% -764 8.5K -59 0.00 158.99 N/A N/A 0 10 0 10 2017-03-28 $28.44 $0.00 21.2% 6.1% 10.2% 16.0% 0.0% 4.7% -1.2% -877 7.5K -54 0.00 139.73 N/A N/A 0 10 0 10 2017-03-29 $28.44 $0.00 22.6% 6.5% 7.3% 18.4% 0.0% 1.4% -3.1% -728 7.9K -57 0.00 149.99 N/A N/A 0 50 0 10 2017-03-30 $28.53 $0.00 20.0% 5.7% 7.2% 13.8% 0.0% 4.9% 7.5% -3.9K 36.2K -190 0.00 140.32 N/A N/A 0 50 0 50 2017-03-31 $28.73 $0.00 14.8% 4.2% 7.3% 5.0% 0.0% -3.5% 8.4% -6.0K 43.8K -233 0.00 146.90 N/A N/A 0 50 0 70
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