HEZU Options History — October 2017

In October 2017, HEZU traded between $30.07 and $30.91. ATM implied volatility averaged 18.4%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 11.8% (HV 20d: 6.6%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2017-10-09: Highest Volume — 237 contracts
  • 2017-10-04: Largest IV spike — 56.4% change
  • 2017-10-10: Highest IV Rank — 38.5%
  • 2017-10-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.37$30.07$30.91$30.22$30.91
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV18.4%11.9%29.4%22.4%22.0%
Expected Move4.7%3.4%6.8%6.4%6.3%
HV 20d6.6%5.6%9.6%9.6%7.3%
HV 60d9.7%9.3%10.2%10.1%9.4%
IV Rank22.0%12.3%38.5%28.0%27.4%
IV Percentile22.9%1.2%88.1%42.5%38.1%
Term Structure2.1%-11.0%9.8%-5.9%-3.0%
VWIV17.5%11.2%28.2%14.3%26.2%
Skew 25d1.7%-3.5%4.8%2.0%2.4%
Skew 10d2.9%-3.8%11.7%8.8%2.6%
Call IV 25d19.0%10.8%26.6%24.8%26.2%
Put IV 25d20.7%13.5%29.0%26.8%28.6%
Bid-Ask Spread %150.31137.20171.68165.87151.00
Gamma HHI0.590.431.000.890.48
Net GEX18.9K10.9K26.6K12.8K11.5K
Net DEX-492.0K-552.8K-449.9K-486.3K-549.3K
Net VEX-581-892-242-245-335
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.050.230.200.23
Total Volume202.9096723767167
Total OI230.091200238200238

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$30.22$0.0022.4%6.4%9.6%28.0%0.0%2.0%-5.9%12.8K-486.3K-2450.20165.87N/AN/A561118911
2017-10-03$30.26$0.0015.3%4.4%7.9%17.3%0.0%3.0%0.6%16.3K-490.2K-2420.20160.04N/AN/A561118911
2017-10-04$30.07$0.0023.9%6.8%7.7%30.2%0.0%2.3%-11.0%12.5K-477.5K-2460.05171.68N/AN/A2061118911
2017-10-05$30.29$27.0025.0%4.2%7.9%31.9%14.3%2.4%6.7%23.9K-529.0K-4460.05155.26N/AN/A2061120711
2017-10-06$30.23$27.0025.9%4.1%7.9%33.3%12.5%1.8%7.9%25.9K-525.0K-4390.05156.05N/AN/A2061120711
2017-10-09$30.17$27.0023.3%4.4%5.7%29.4%15.7%-0.8%3.5%22.4K-469.9K-7560.15145.55N/AN/A2063120711
2017-10-10$30.28$27.0029.4%4.8%5.8%38.5%12.9%2.9%3.1%15.9K-449.9K-8920.15148.20N/AN/A2063120731
2017-10-11$30.30$27.0015.5%4.5%5.8%17.7%14.7%-1.6%1.4%21.6K-452.1K-8620.15149.67N/AN/A2063120731
2017-10-12$30.29$27.0014.5%4.1%5.8%16.1%14.4%0.0%-0.5%22.5K-474.8K-7520.15137.20N/AN/A2063120731
2017-10-13$30.32$27.0014.4%4.1%5.7%16.1%11.4%1.6%9.8%24.4K-471.2K-8280.15148.98N/AN/A2063120731
2017-10-16$30.34$27.0015.7%4.5%5.7%18.0%15.4%-3.5%7.1%26.6K-461.4K-8180.15146.88N/AN/A2063120731
2017-10-17$30.34$27.0011.9%3.4%5.7%12.3%23.4%1.9%4.5%18.9K-479.0K-7530.15143.28N/AN/A2063120731
2017-10-18$30.44$27.0013.8%4.0%5.6%15.1%28.2%3.1%4.6%16.7K-475.2K-7880.15145.63N/AN/A2063120731
2017-10-19$30.29$27.0012.2%3.5%5.9%12.7%11.2%2.7%4.8%25.7K-469.7K-7720.15140.41N/AN/A2063120731
2017-10-20$30.31$27.0015.7%4.5%5.9%17.9%15.7%0.4%-2.4%21.7K-480.0K-6870.15144.62N/AN/A2063120731
2017-10-23$30.25$27.0017.7%5.1%5.8%20.9%20.1%1.4%5.3%18.4K-515.4K-3870.15147.43N/AN/A2063120731
2017-10-24$30.41$27.0016.9%4.9%6.0%19.8%15.1%2.4%7.2%22.1K-490.3K-7030.15143.89N/AN/A2063120731
2017-10-25$30.26$27.0014.8%4.2%5.8%16.6%22.6%3.4%7.8%19.3K-450.2K-8170.23153.64N/AN/A1363120731
2017-10-26$30.68$27.0016.0%4.6%7.5%18.4%14.6%4.8%-1.5%11.9K-548.6K-3060.23154.37N/AN/A1363120731
2017-10-27$30.69$27.0022.4%6.4%7.2%27.9%24.7%2.6%-2.3%14.0K-525.8K-4160.23148.17N/AN/A1363120731
2017-10-30$30.75$27.0015.9%4.6%7.2%18.2%20.4%1.8%-0.4%10.9K-552.8K-2890.23149.09N/AN/A1363120731
2017-10-31$30.91$27.0022.0%6.3%7.3%27.4%26.2%2.4%-3.0%11.5K-549.3K-3350.23151.00N/AN/A1363120731