HEZU Options History — April 2017

In April 2017, HEZU traded between $28.06 and $29.53. ATM implied volatility averaged 26.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 16.5% (HV 20d: 9.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.96.

Notable Days

2017-04-18: Highest Volume — 150 contracts
2017-04-04: Largest IV spike — 44.2% change
2017-04-21: Highest IV Rank — 38.5%
2017-04-21: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.71	$28.06	$29.53	$28.57	$29.37
Max Pain	$27.31	$27.00	$28.00	$27.00	$28.00
ATM IV	26.2%	16.3%	34.4%	16.3%	29.5%
Expected Move	7.4%	4.7%	9.9%	4.7%	8.5%
HV 20d	9.7%	7.1%	15.6%	7.6%	15.6%
HV 60d	9.7%	8.8%	11.8%	8.9%	11.5%
IV Rank	24.4%	7.6%	38.5%	7.6%	30.2%
IV Percentile	73.1%	1.2%	94.0%	1.2%	86.5%
Term Structure	-3.8%	-11.3%	3.8%	-0.7%	-1.2%
VWIV	33.6%	28.4%	39.3%	33.6%	34.8%
Skew 25d	6.7%	1.2%	17.7%	1.2%	2.0%
Skew 10d	10.6%	3.9%	21.5%	6.1%	12.5%
Call IV 25d	26.5%	22.8%	30.8%	22.8%	28.8%
Put IV 25d	33.1%	24.0%	47.4%	24.0%	30.8%
Bid-Ask Spread %	137.25	115.44	149.62	141.16	143.31
Gamma HHI	0.56	0.44	0.61	0.60	0.58
Net GEX	-2.9K	-10.8K	7.7K	-10.8K	7.4K
Net DEX	-42.2K	-274.5K	73.1K	48.6K	-274.5K
Net VEX	-397	-650	-244	-244	-650
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.50	3.50	0.50	3.33
Total Volume	81.158	50	150	50	91
Total OI	146.421	90	260	90	260

Daily Data (19 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
2017-04-03	$28.57	$0.00	16.3%	4.7%	7.6%	7.6%	0.0%	1.2%	-0.7%	-10.8K	48.6K	-244	0.00	141.16	N/A	N/A	0	50	0	90
2017-04-04	$28.61	$0.00	23.5%	6.7%	7.3%	19.8%	0.0%	2.3%	1.0%	-10.3K	58.7K	-270	0.00	145.48	N/A	N/A	0	50	0	90
2017-04-05	$28.47	$0.00	24.6%	7.1%	7.6%	21.7%	0.0%	1.9%	-5.8%	-10.4K	63.4K	-287	0.00	145.15	N/A	N/A	0	50	0	90
2017-04-06	$28.61	$27.00	21.7%	6.1%	7.3%	16.8%	33.6%	6.4%	-2.3%	-7.6K	63.3K	-299	0.00	133.50	N/A	N/A	0	50	0	90
2017-04-07	$28.71	$27.00	22.0%	6.3%	7.3%	17.3%	30.7%	6.0%	-3.3%	-9.8K	58.5K	-262	0.00	135.76	N/A	N/A	0	50	0	90
2017-04-10	$28.58	$27.00	25.3%	6.4%	7.5%	23.0%	32.3%	4.2%	0.6%	-8.9K	65.0K	-283	0.00	132.73	N/A	N/A	0	50	0	90
2017-04-11	$28.56	$27.00	26.5%	6.9%	7.2%	25.1%	36.2%	4.8%	-1.8%	-7.4K	66.4K	-285	0.00	131.39	N/A	N/A	0	50	0	90
2017-04-12	$28.44	$27.00	27.3%	7.8%	7.4%	26.3%	34.7%	10.3%	-6.5%	-8.9K	65.4K	-278	0.00	133.89	N/A	N/A	0	50	0	90
2017-04-13	$28.34	$27.00	28.0%	8.0%	7.1%	27.6%	34.9%	11.1%	-8.0%	-8.9K	68.7K	-277	0.00	133.78	N/A	N/A	0	50	0	90
2017-04-17	$28.40	$27.00	29.2%	8.4%	7.1%	29.6%	36.8%	11.4%	-8.9%	-8.8K	66.2K	-262	0.00	134.03	N/A	N/A	0	50	0	90
2017-04-18	$28.06	$27.00	26.1%	7.5%	8.3%	24.2%	28.4%	10.5%	-5.7%	-9.4K	73.1K	-272	0.50	115.44	N/A	N/A	100	50	0	90
2017-04-19	$28.10	$27.00	28.5%	8.2%	7.8%	28.3%	30.8%	12.2%	-1.3%	3.9K	-75.1K	-602	0.50	149.62	N/A	N/A	100	50	100	90
2017-04-20	$28.40	$27.00	29.6%	8.5%	8.6%	30.2%	31.9%	12.2%	-4.9%	4.1K	-89.3K	-581	0.50	148.76	N/A	N/A	100	50	100	90
2017-04-21	$28.39	$27.00	34.4%	9.9%	8.6%	38.5%	39.3%	17.7%	-6.5%	3.0K	-78.8K	-573	3.50	134.13	N/A	N/A	20	70	100	90
2017-04-24	$29.47	$28.00	23.2%	6.6%	15.6%	19.3%	33.8%	4.9%	3.8%	6.9K	-231.2K	-446	3.50	125.11	N/A	N/A	20	70	120	110
2017-04-25	$29.53	$28.00	25.7%	7.4%	15.6%	23.6%	32.7%	3.6%	-3.3%	5.7K	-225.0K	-494	1.71	136.57	N/A	N/A	41	70	120	110
2017-04-26	$29.41	$28.00	27.6%	7.9%	15.6%	26.9%	33.4%	1.8%	-11.3%	7.7K	-268.1K	-567	1.71	146.10	N/A	N/A	41	70	141	110
2017-04-27	$29.43	$28.00	28.4%	8.2%	15.6%	28.3%	33.9%	2.0%	-5.4%	6.7K	-256.7K	-605	2.41	141.94	N/A	N/A	29	70	141	110
2017-04-28	$29.37	$28.00	29.5%	8.5%	15.6%	30.2%	34.8%	2.0%	-1.2%	7.4K	-274.5K	-650	3.33	143.31	N/A	N/A	21	70	150	110