HEZU Options History — July 2017

In July 2017, HEZU traded between $28.85 and $29.61. ATM implied volatility averaged 24.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 10.0% (HV 20d: 14.6%). 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 0.31.

Notable Days

2017-07-06: Highest Volume — 103 contracts
2017-07-12: Largest IV drop — 18.1% change
2017-07-05: Highest IV Rank — 40.1%
2017-07-05: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.22	$28.85	$29.61	$29.51	$28.86
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	24.6%	21.1%	30.4%	28.5%	24.0%
Expected Move	6.6%	5.6%	8.7%	8.2%	6.9%
HV 20d	14.6%	12.3%	15.6%	12.8%	12.4%
HV 60d	13.4%	12.1%	14.6%	13.5%	12.1%
IV Rank	31.2%	26.0%	40.1%	37.1%	30.4%
IV Percentile	63.4%	39.3%	91.7%	84.9%	63.9%
Term Structure	-2.3%	-5.7%	2.2%	1.2%	-5.7%
VWIV	32.7%	28.3%	39.3%	29.6%	39.3%
Skew 25d	2.3%	0.6%	8.7%	2.2%	2.4%
Skew 10d	5.9%	-4.9%	10.7%	-4.9%	5.0%
Call IV 25d	24.3%	21.8%	30.5%	28.9%	27.0%
Put IV 25d	26.6%	23.5%	34.2%	31.1%	29.4%
Bid-Ask Spread %	155.20	146.37	169.61	169.61	153.81
Gamma HHI	0.60	0.52	0.89	0.89	0.54
Net GEX	20.0K	13.8K	25.5K	16.5K	21.5K
Net DEX	-496.0K	-536.0K	-380.0K	-380.0K	-516.1K
Net VEX	-968	-1.2K	-538	-541	-913
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.16	0.64	0.16	0.64
Total Volume	91.1	43	103	72	54
Total OI	252.85	173	266	173	266

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
2017-07-03	$29.51	$0.00	28.5%	8.2%	12.8%	37.1%	0.0%	2.2%	1.2%	16.5K	-380.0K	-541	0.16	169.61	N/A	N/A	62	10	163	10
2017-07-05	$29.57	$0.00	30.4%	8.7%	12.7%	40.1%	0.0%	3.7%	2.2%	13.8K	-392.7K	-538	0.30	168.40	N/A	N/A	33	10	163	10
2017-07-06	$28.85	$26.00	26.0%	6.0%	15.1%	33.4%	29.6%	8.7%	-4.4%	15.4K	-408.2K	-843	0.26	154.57	N/A	N/A	82	21	194	10
2017-07-07	$29.01	$26.00	25.8%	6.4%	15.3%	33.1%	28.3%	1.4%	-0.7%	22.9K	-496.6K	-1.1K	0.26	155.48	N/A	N/A	82	21	244	21
2017-07-10	$29.12	$26.00	29.1%	5.9%	15.4%	38.1%	28.7%	1.4%	0.8%	19.0K	-509.0K	-1.1K	0.26	159.44	N/A	N/A	82	21	244	21
2017-07-11	$29.09	$26.00	29.3%	5.6%	15.2%	38.3%	30.0%	2.7%	-0.8%	19.1K	-481.5K	-1.2K	0.26	162.09	N/A	N/A	82	21	244	21
2017-07-12	$29.42	$26.00	24.0%	6.9%	15.5%	30.3%	32.0%	2.0%	-4.1%	20.9K	-513.2K	-1.1K	0.26	149.53	N/A	N/A	82	21	244	21
2017-07-13	$29.55	$26.00	22.4%	6.4%	15.6%	27.9%	30.6%	2.0%	-3.7%	18.3K	-530.2K	-1.1K	0.26	146.37	N/A	N/A	82	21	244	21
2017-07-14	$29.61	$26.00	21.1%	6.0%	15.4%	26.0%	31.5%	2.5%	-3.2%	18.5K	-536.0K	-1.0K	0.26	149.53	N/A	N/A	82	21	244	21
2017-07-17	$29.48	$26.00	23.1%	6.6%	15.2%	29.0%	33.5%	1.7%	-0.7%	18.7K	-521.0K	-1.1K	0.26	148.35	N/A	N/A	82	21	244	21
2017-07-18	$29.25	$26.00	22.5%	6.5%	14.7%	28.2%	29.4%	1.1%	-1.4%	20.7K	-521.3K	-1.0K	0.26	154.92	N/A	N/A	82	21	244	21
2017-07-19	$29.43	$26.00	23.0%	6.6%	14.7%	29.0%	33.6%	1.8%	-4.0%	21.4K	-531.1K	-999	0.26	153.43	N/A	N/A	82	21	244	21
2017-07-20	$29.33	$26.00	22.3%	6.4%	14.8%	27.8%	34.1%	1.9%	0.4%	19.6K	-519.9K	-1.0K	0.26	151.50	N/A	N/A	82	21	244	21
2017-07-21	$28.98	$26.00	21.8%	6.3%	15.2%	27.1%	31.1%	0.6%	-4.0%	20.6K	-499.4K	-1.0K	0.26	153.94	N/A	N/A	82	21	244	21
2017-07-24	$29.00	$26.00	23.1%	6.6%	15.3%	29.0%	34.0%	2.0%	-2.6%	25.2K	-508.8K	-938	0.26	154.59	N/A	N/A	82	21	244	21
2017-07-25	$29.06	$26.00	23.8%	6.8%	15.1%	30.0%	34.8%	1.5%	-1.7%	19.7K	-501.4K	-1.0K	0.26	150.25	N/A	N/A	82	21	244	21
2017-07-26	$29.12	$26.00	23.5%	6.7%	14.6%	29.6%	35.3%	1.7%	-4.4%	20.6K	-518.6K	-959	0.26	155.02	N/A	N/A	82	21	244	21
2017-07-27	$29.16	$26.00	23.6%	6.8%	14.4%	29.9%	36.3%	1.6%	-5.2%	21.5K	-521.5K	-926	0.64	155.80	N/A	N/A	33	21	244	21
2017-07-28	$29.01	$26.00	23.8%	6.8%	12.3%	30.1%	36.8%	2.2%	-2.8%	25.5K	-513.4K	-891	0.64	157.46	N/A	N/A	33	21	245	21
2017-07-31	$28.86	$26.00	24.0%	6.9%	12.4%	30.4%	39.3%	2.4%	-5.7%	21.5K	-516.1K	-913	0.64	153.81	N/A	N/A	33	21	245	21