HEZU Options History — September 2017

Name: HEZU Options Analytics - September 2017
Creator: Options Analysis Suite

In September 2017, HEZU traded between $28.64 and $30.11. ATM implied volatility averaged 25.3%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 14.5% (HV 20d: 10.9%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.29.

Notable Days

2017-09-27: Highest Volume — 67 contracts
2017-09-25: Largest IV spike — 79.2% change
2017-09-12: Highest IV Rank — 75.0%
2017-09-01: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.49	$28.64	$30.11	$29.00	$30.11
ATM IV	25.3%	11.8%	53.8%	25.9%	21.5%
Expected Move	5.8%	3.4%	7.4%	7.4%	6.2%
HV 20d	10.9%	9.6%	12.6%	10.9%	9.7%
HV 60d	12.1%	10.1%	12.8%	12.1%	10.1%
IV Rank	32.4%	12.1%	75.0%	33.2%	26.7%
IV Percentile	46.7%	0.4%	99.6%	70.6%	34.5%
Term Structure	-3.3%	-8.7%	1.0%	-3.8%	-6.2%
Skew 25d	2.4%	-3.3%	8.6%	1.5%	1.5%
Skew 10d	6.3%	0.4%	11.3%	5.2%	7.4%
Call IV 25d	21.4%	14.1%	30.0%	30.0%	24.0%
Put IV 25d	23.8%	11.7%	31.5%	31.5%	25.5%
Bid-Ask Spread %	167.12	152.43	180.43	173.58	171.28
Gamma HHI	0.48	0.43	0.81	0.44	0.81
Net GEX	15.1K	12.4K	19.5K	13.3K	12.7K
Net DEX	-287.9K	-473.1K	-225.9K	-225.9K	-473.1K
Net VEX	-490	-680	-271	-680	-271
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.20	0.31	0.31	0.20
Total Volume	50	47	67	47	67
Total OI	155	150	200	150	200

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
2017-09-01	$29.00	$0.00	25.9%	7.4%	10.9%	33.2%	0.0%	1.5%	-3.8%	13.3K	-225.9K	-680	0.31	173.58	N/A	N/A	36	11	139	11
2017-09-05	$28.64	$0.00	28.6%	6.1%	11.7%	37.3%	0.0%	8.6%	-2.6%	12.4K	-232.5K	-656	0.31	152.43	N/A	N/A	36	11	139	11
2017-09-06	$28.99	$0.00	31.6%	5.8%	12.6%	41.8%	0.0%	5.1%	-1.0%	15.1K	-236.2K	-656	0.31	169.88	N/A	N/A	36	11	139	11
2017-09-07	$28.99	$0.00	31.4%	5.9%	12.5%	41.6%	0.0%	3.1%	-4.8%	13.3K	-251.4K	-585	0.31	170.45	N/A	N/A	36	11	139	11
2017-09-08	$28.94	$0.00	33.6%	5.6%	11.1%	44.7%	0.0%	4.5%	1.0%	13.5K	-234.7K	-598	0.31	167.93	N/A	N/A	36	11	139	11
2017-09-11	$29.44	$0.00	47.6%	7.0%	12.4%	65.7%	0.0%	2.5%	0.4%	12.9K	-251.5K	-617	0.31	154.79	N/A	N/A	36	11	139	11
2017-09-12	$29.51	$0.00	53.8%	5.5%	11.7%	75.0%	0.0%	2.1%	-1.3%	13.7K	-266.1K	-575	0.31	163.06	N/A	N/A	36	11	139	11
2017-09-13	$29.55	$0.00	19.4%	5.6%	11.6%	23.5%	0.0%	2.0%	-1.6%	13.9K	-263.9K	-580	0.31	162.76	N/A	N/A	36	11	139	11
2017-09-14	$29.59	$0.00	21.0%	6.0%	11.6%	25.9%	0.0%	2.5%	-2.1%	13.9K	-265.1K	-572	0.31	180.43	N/A	N/A	36	11	139	11
2017-09-15	$29.54	$0.00	20.6%	5.9%	11.0%	25.3%	0.0%	2.2%	-0.9%	13.0K	-268.0K	-562	0.31	163.41	N/A	N/A	36	11	139	11
2017-09-18	$29.62	$0.00	16.8%	4.8%	11.0%	19.7%	0.0%	-2.4%	0.8%	17.4K	-273.9K	-481	0.31	161.47	N/A	N/A	36	11	139	11
2017-09-19	$29.63	$0.00	20.8%	6.0%	10.7%	25.6%	0.0%	1.5%	-7.3%	16.7K	-286.6K	-419	0.31	169.11	N/A	N/A	36	11	139	11
2017-09-20	$29.76	$0.00	21.7%	6.2%	10.2%	27.0%	0.0%	4.0%	-4.4%	15.2K	-304.7K	-338	0.31	162.94	N/A	N/A	36	11	139	11
2017-09-21	$29.68	$0.00	20.0%	5.7%	10.1%	24.5%	0.0%	2.1%	-6.1%	19.3K	-291.7K	-349	0.31	175.06	N/A	N/A	36	11	139	11
2017-09-22	$29.72	$0.00	11.8%	3.4%	10.1%	12.1%	0.0%	-3.3%	0.9%	17.8K	-294.3K	-388	0.31	161.49	N/A	N/A	36	11	139	11
2017-09-25	$29.62	$0.00	21.1%	6.1%	10.2%	26.1%	0.0%	2.5%	-7.9%	14.5K	-284.7K	-440	0.31	165.91	N/A	N/A	36	11	139	11
2017-09-26	$29.64	$0.00	21.6%	6.2%	9.9%	26.8%	0.0%	2.6%	-7.5%	19.5K	-287.4K	-355	0.31	175.65	N/A	N/A	36	11	139	11
2017-09-27	$29.87	$0.00	20.8%	6.0%	9.6%	25.6%	0.0%	3.6%	-8.7%	17.1K	-304.0K	-388	0.20	179.39	N/A	N/A	56	11	139	11
2017-09-28	$29.92	$0.00	17.1%	4.9%	9.6%	20.1%	0.0%	1.6%	-3.8%	15.9K	-462.8K	-286	0.20	161.38	N/A	N/A	56	11	189	11
2017-09-29	$30.11	$0.00	21.5%	6.2%	9.7%	26.7%	0.0%	1.5%	-6.2%	12.7K	-473.1K	-271	0.20	171.28	N/A	N/A	56	11	189	11