HEZU Options History — May 2017

In May 2017, HEZU traded between $29.54 and $30.55. ATM implied volatility averaged 24.3%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.2% (HV 20d: 15.1%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2017-05-08: Highest Volume — 150 contracts
  • 2017-05-22: Largest IV spike — 54.1% change
  • 2017-05-08: Highest IV Rank — 31.7%
  • 2017-05-03: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.07$29.54$30.55$29.54$29.97
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV24.3%15.2%30.4%26.5%25.4%
Expected Move6.5%4.4%8.4%7.6%7.3%
HV 20d15.1%12.0%18.0%15.5%12.0%
HV 60d12.0%11.2%12.8%11.5%11.9%
IV Rank21.2%5.7%31.7%25.0%23.1%
IV Percentile58.8%1.2%88.5%75.0%68.3%
Term Structure-4.3%-11.3%1.8%-3.3%-11.3%
VWIV37.9%35.4%39.8%35.4%39.8%
Skew 25d3.8%-6.4%15.1%2.5%9.3%
Skew 10d10.6%-3.6%16.6%6.7%11.5%
Call IV 25d21.9%7.5%30.6%29.0%27.7%
Put IV 25d25.7%13.2%37.1%31.5%37.1%
Bid-Ask Spread %154.25136.65169.04145.17156.87
Gamma HHI0.710.461.000.700.86
Net GEX10.1K2.2K18.8K11.9K9.8K
Net DEX-424.5K-625.9K-247.8K-351.5K-290.0K
Net VEX-425-6350-498-295
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.882.332.330.91
Total Volume90.5452015010021
Total OI247.773120340270121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$29.54$28.0026.5%7.6%15.5%25.0%35.4%2.5%-3.3%11.9K-351.5K-4982.33145.17N/AN/A3070160110
2017-05-02$29.66$28.0029.0%8.3%15.4%29.2%38.5%3.7%-9.3%8.7K-334.1K-5482.33142.11N/AN/A3070160110
2017-05-03$29.68$28.0029.2%8.4%15.4%29.6%39.8%4.9%-7.1%8.5K-326.0K-5692.33136.65N/AN/A3070160110
2017-05-04$30.09$0.0030.2%6.2%15.7%31.3%0.0%6.3%-3.4%8.7K-384.9K-4292.33147.83N/AN/A3070160110
2017-05-05$30.55$0.0025.6%5.5%16.3%23.4%0.0%5.5%-5.2%2.2K-487.7K02.33152.96N/AN/A3070160110
2017-05-08$30.25$0.0030.4%5.8%16.9%31.7%0.0%15.1%-0.7%8.3K-407.9K-3390.88150.06N/AN/A8070160110
2017-05-09$30.22$0.0030.1%6.0%16.8%31.1%0.0%2.9%-3.4%13.9K-574.5K-4620.88158.50N/AN/A8070220110
2017-05-10$30.29$0.0020.2%5.8%16.7%14.3%0.0%1.2%1.8%18.8K-583.8K-4020.88155.80N/AN/A8070220110
2017-05-11$30.21$0.0015.2%4.4%16.7%5.7%0.0%7.4%0.9%15.0K-536.2K-5910.88157.79N/AN/A8070220110
2017-05-12$30.28$0.0020.1%5.8%16.5%14.0%0.0%-5.5%-4.6%14.0K-597.2K-3110.88166.17N/AN/A8070220110
2017-05-15$30.39$0.0020.5%5.9%16.5%14.8%0.0%5.2%-5.5%10.8K-601.7K-3200.88164.71N/AN/A8070220110
2017-05-16$30.42$0.0025.6%7.3%15.5%23.4%0.0%2.3%-2.4%11.4K-585.1K-4260.88142.84N/AN/A8070220110
2017-05-17$29.76$0.0022.7%6.5%18.0%18.5%0.0%1.8%-4.0%13.7K-502.1K-5882.33162.19N/AN/A3070220110
2017-05-18$29.84$0.0023.5%6.7%17.8%19.8%0.0%3.5%-2.1%15.1K-528.8K-6352.33160.82N/AN/A3070230110
2017-05-19$29.98$0.0016.3%4.7%17.8%7.6%0.0%-6.4%0.6%6.9K-625.9K-4562.33162.22N/AN/A3070230110
2017-05-22$30.03$0.0025.1%7.2%12.2%22.6%0.0%4.2%-8.7%6.2K-247.8K-5311.00139.72N/AN/A101011010
2017-05-23$30.14$0.0023.1%6.6%12.2%19.2%0.0%4.6%-4.5%11.1K-268.5K-3771.00157.57N/AN/A101011010
2017-05-24$30.13$0.0020.7%5.9%12.1%15.1%0.0%3.4%-4.2%6.8K-283.0K-3651.00169.04N/AN/A101011010
2017-05-25$30.15$0.0024.0%6.9%12.1%20.7%0.0%3.2%-7.7%6.6K-289.0K-3431.00161.10N/AN/A101011010
2017-05-26$30.08$0.0023.8%6.8%12.1%20.5%0.0%3.7%-7.1%6.9K-281.4K-3961.00161.16N/AN/A101011010
2017-05-30$29.96$0.0027.0%7.8%12.1%25.9%0.0%3.8%-3.6%6.6K-251.5K-4790.91142.23N/AN/A111011010
2017-05-31$29.97$0.0025.4%7.3%12.0%23.1%0.0%9.3%-11.3%9.8K-290.0K-2950.91156.87N/AN/A111011110