HEZU Options History — August 2017

In August 2017, HEZU traded between $28.56 and $29.36. ATM implied volatility averaged 23.2%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 12.2% (HV 20d: 11.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.46.

Notable Days

  • 2017-08-17: Highest Volume — 68 contracts
  • 2017-08-07: Largest IV spike — 33.9% change
  • 2017-08-08: Highest IV Rank — 39.9%
  • 2017-08-30: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.96$28.56$29.36$29.11$28.83
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV23.2%17.6%30.3%23.9%25.1%
Expected Move6.4%5.0%7.4%6.9%7.2%
HV 20d11.0%9.0%12.7%12.7%11.5%
HV 60d11.9%11.5%12.3%11.8%12.1%
IV Rank29.1%20.8%39.9%30.3%32.0%
IV Percentile50.9%4.0%92.1%62.3%64.7%
Term Structure-2.9%-8.0%1.9%-3.6%-5.6%
VWIV41.2%40.9%41.5%41.5%40.9%
Skew 25d1.8%-3.3%3.8%2.0%2.8%
Skew 10d2.1%-3.6%8.0%8.0%0.3%
Call IV 25d24.0%16.6%30.7%29.5%30.7%
Put IV 25d25.8%17.7%33.9%31.5%33.5%
Bid-Ask Spread %163.96142.21178.04157.49169.71
Gamma HHI0.480.430.570.560.44
Net GEX17.4K12.4K25.9K25.9K13.6K
Net DEX-402.3K-588.5K-204.7K-525.3K-216.9K
Net VEX-757-934-647-863-699
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.310.640.640.31
Total Volume54.43547685447
Total OI218.348150266266150

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$29.11$26.0023.9%6.9%12.7%30.3%41.5%2.0%-3.6%25.9K-525.3K-8630.64157.49N/AN/A332124521
2017-08-02$29.00$26.0025.2%7.2%12.7%32.2%40.9%1.6%-5.9%22.1K-514.2K-8820.64158.08N/AN/A332124521
2017-08-03$29.02$0.0026.1%5.9%9.1%33.5%0.0%3.0%-0.5%20.3K-501.8K-9340.64161.41N/AN/A332124521
2017-08-04$29.36$0.0017.8%5.0%9.8%21.1%0.0%2.0%-0.0%15.1K-588.5K-6580.64164.88N/AN/A332124521
2017-08-07$29.35$0.0023.8%5.3%9.7%30.1%0.0%1.1%-0.3%19.7K-567.4K-7370.55142.21N/AN/A382124521
2017-08-08$29.30$0.0030.3%5.3%9.7%39.9%0.0%1.4%-1.7%19.3K-522.6K-8350.55145.94N/AN/A382123921
2017-08-09$29.17$0.0021.5%6.2%9.0%26.6%0.0%0.8%-5.7%20.8K-525.6K-7800.55167.26N/AN/A382123921
2017-08-10$28.71$0.0020.7%5.9%10.3%25.5%0.0%2.7%-4.3%23.2K-465.8K-8900.55161.65N/AN/A382123921
2017-08-11$28.59$0.0020.3%5.8%10.3%24.8%0.0%3.8%1.9%22.3K-452.0K-8750.55168.81N/AN/A382123921
2017-08-14$28.96$0.0023.7%6.8%11.4%29.9%0.0%2.7%0.4%20.7K-491.4K-7810.55165.06N/AN/A382123921
2017-08-15$29.10$0.0017.6%5.0%11.3%20.8%0.0%1.0%0.0%18.3K-524.2K-7190.55153.26N/AN/A382123921
2017-08-16$29.19$0.0022.1%6.3%11.1%27.6%0.0%1.0%1.2%18.7K-515.5K-7610.49165.08N/AN/A432123921
2017-08-17$28.91$0.0022.3%6.4%11.6%27.8%0.0%1.7%-3.6%21.2K-521.6K-7550.45167.93N/AN/A472124521
2017-08-18$28.95$0.0022.6%6.5%10.8%28.3%0.0%1.6%-2.8%12.7K-496.0K-7600.45173.06N/AN/A472123521
2017-08-21$28.78$0.0024.9%7.1%11.0%31.7%0.0%3.5%-2.8%16.8K-223.9K-6470.31159.68N/AN/A361113911
2017-08-22$29.08$0.0019.3%5.5%11.6%23.3%0.0%-1.6%-4.9%12.4K-250.7K-7050.31162.35N/AN/A361113911
2017-08-23$28.95$0.0024.1%6.9%11.7%30.5%0.0%-3.3%-8.0%12.5K-266.6K-6570.31164.52N/AN/A361113911
2017-08-24$28.94$0.0023.3%6.7%11.7%29.3%0.0%2.3%-1.7%12.8K-224.0K-7340.31176.67N/AN/A361113911
2017-08-25$28.90$0.0023.2%6.7%11.5%29.2%0.0%2.4%-3.3%13.2K-228.0K-6870.31176.22N/AN/A361113911
2017-08-28$28.74$0.0023.4%6.7%11.5%29.4%0.0%2.3%-5.9%13.5K-218.6K-6750.31178.04N/AN/A361113911
2017-08-29$28.56$0.0025.7%7.4%11.2%32.9%0.0%2.7%-4.7%12.6K-204.7K-6990.31165.84N/AN/A361113911
2017-08-30$28.67$0.0025.8%7.4%11.3%33.1%0.0%3.5%-4.8%12.6K-206.4K-6850.31166.06N/AN/A361113911
2017-08-31$28.83$0.0025.1%7.2%11.5%32.0%0.0%2.8%-5.6%13.6K-216.9K-6990.31169.71N/AN/A361113911