HEZU Options History — June 2017

In June 2017, HEZU traded between $29.31 and $30.43. ATM implied volatility averaged 26.9%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 16.7% (HV 20d: 10.3%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-06-28: Highest Volume — 72 contracts
  • 2017-06-08: Largest IV spike — 783.6% change
  • 2017-06-13: Highest IV Rank — 71.4%
  • 2017-06-07: Largest Expected Move — 36.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.03$29.31$30.43$30.21$29.34
ATM IV26.9%3.7%51.4%26.0%26.6%
Expected Move8.2%5.6%36.4%7.5%7.6%
HV 20d10.3%7.9%12.9%12.3%12.7%
HV 60d12.4%11.9%13.5%11.9%13.5%
IV Rank33.2%0.0%71.4%24.1%34.3%
IV Percentile67.7%0.0%99.6%70.6%74.6%
Term Structure-4.8%-23.1%-0.7%-3.0%-5.8%
Skew 25d2.6%0.3%9.2%4.7%0.6%
Skew 10d1.8%-5.4%15.7%15.7%-5.3%
Call IV 25d28.3%20.5%132.3%26.3%27.1%
Put IV 25d30.9%21.4%141.5%31.0%27.7%
Bid-Ask Spread %166.70146.16189.21159.94160.50
Gamma HHI0.880.840.960.960.89
Net GEX7.9K2.1K16.4K8.3K16.4K
Net DEX-299.3K-403.8K-213.5K-310.9K-386.3K
Net VEX-346-643-147-193-532
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.160.910.910.16
Total Volume30.22721722172
Total OI127.955121173121173

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$30.21$0.0026.0%7.5%12.3%24.1%0.0%4.7%-3.0%8.3K-310.9K-1930.91159.94N/AN/A111011110
2017-06-02$30.37$0.0026.8%7.7%11.5%25.5%0.0%6.2%-9.2%6.4K-293.1K-3490.91165.20N/AN/A111011110
2017-06-05$30.20$0.0028.7%7.0%10.3%28.7%0.0%2.4%-1.2%6.4K-258.2K-4600.91155.61N/AN/A111011110
2017-06-06$29.98$0.0028.4%5.6%10.0%28.2%0.0%2.6%-2.0%7.3K-280.6K-3740.91177.21N/AN/A111011110
2017-06-07$30.10$0.003.7%36.4%10.1%0.0%0.0%9.2%-23.1%2.1K-213.5K-5800.91189.21N/AN/A111011110
2017-06-08$30.17$0.0033.0%6.1%10.1%43.8%0.0%2.6%-5.1%6.4K-303.7K-2430.91163.71N/AN/A111011110
2017-06-09$30.18$0.0034.5%6.7%10.1%46.1%0.0%2.5%-2.3%6.8K-289.9K-3320.91162.33N/AN/A111011110
2017-06-12$29.95$0.0041.9%5.9%10.4%57.2%0.0%0.3%-2.5%7.3K-281.1K-3610.91176.01N/AN/A111011110
2017-06-13$30.22$0.0051.4%6.4%10.8%71.4%0.0%3.5%-4.9%6.5K-298.7K-2830.91169.32N/AN/A111011110
2017-06-14$30.12$0.0019.6%5.6%10.9%23.8%0.0%0.4%-3.9%8.4K-300.0K-2440.91175.32N/AN/A111011110
2017-06-15$29.90$0.0025.7%7.4%7.9%32.9%0.0%1.9%-0.7%7.7K-260.0K-4190.91146.16N/AN/A111011110
2017-06-16$30.10$0.0020.5%5.9%8.2%25.2%0.0%3.1%-2.6%6.7K-297.1K-2530.91178.18N/AN/A111011110
2017-06-19$30.43$0.0022.9%6.6%8.9%28.8%0.0%1.4%-3.8%7.6K-293.6K-2840.91163.56N/AN/A111011110
2017-06-20$30.15$0.0027.2%7.8%9.5%35.1%0.0%2.7%-3.5%7.0K-275.9K-3460.91161.74N/AN/A111011110
2017-06-21$30.08$0.0025.7%7.4%9.5%33.0%0.0%2.1%-3.5%7.2K-272.5K-3500.91150.79N/AN/A111011110
2017-06-22$30.05$0.0022.4%6.4%9.5%28.0%0.0%1.4%-4.3%7.1K-289.3K-2960.91170.00N/AN/A111011110
2017-06-23$29.94$0.0023.6%6.8%9.6%29.8%0.0%1.5%-2.8%8.3K-302.4K-2030.91169.59N/AN/A111011110
2017-06-26$30.12$0.0023.2%6.7%9.8%29.2%0.0%0.8%-4.2%5.2K-316.3K-1470.91174.43N/AN/A111011110
2017-06-27$29.76$0.0026.0%7.5%10.6%33.5%0.0%2.8%-4.9%7.6K-295.2K-2270.16167.48N/AN/A611011110
2017-06-28$29.95$0.0026.4%7.6%10.9%34.0%0.0%2.8%-5.3%13.3K-403.8K-4940.16163.22N/AN/A621016110
2017-06-29$29.31$0.0028.6%8.2%12.9%37.3%0.0%1.3%-7.9%13.2K-361.9K-6430.16167.84N/AN/A621016210
2017-06-30$29.34$0.0026.6%7.6%12.7%34.3%0.0%0.6%-5.8%16.4K-386.3K-5320.16160.50N/AN/A621016310