HEZU Options History — November 2017

In November 2017, HEZU traded between $29.91 and $31.09. ATM implied volatility averaged 21.0%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 12.6% (HV 20d: 8.4%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2017-11-17: Highest Volume — 173 contracts
  • 2017-11-08: Largest IV spike — 55.3% change
  • 2017-11-30: Highest IV Rank — 34.9%
  • 2017-11-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.43$29.91$31.09$31.07$30.24
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV21.0%12.3%27.0%22.6%27.0%
Expected Move5.7%2.9%7.8%6.5%7.8%
HV 20d8.4%6.5%10.0%6.9%8.7%
HV 60d8.6%8.0%9.4%9.4%8.0%
IV Rank25.9%12.8%34.9%28.3%34.9%
IV Percentile37.1%2.0%79.4%44.0%79.4%
Term Structure-4.6%-16.6%1.1%-2.7%-11.5%
VWIV26.7%26.7%26.7%26.7%26.7%
Skew 25d2.0%0.5%3.0%2.1%2.4%
Skew 10d2.4%-8.6%10.0%10.0%-0.4%
Call IV 25d22.0%8.9%31.6%25.8%31.6%
Put IV 25d24.0%11.7%34.0%27.9%34.0%
Bid-Ask Spread %165.76143.32180.37143.32162.59
Gamma HHI0.580.420.950.440.66
Net GEX32.2K-2.2K410.6K13.9K5.1K
Net DEX-396.1K-577.1K-204.7K-522.6K-222.4K
Net VEX-434-680-131-633-478
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.190.230.230.19
Total Volume151.667126173167126
Total OI195.333126238238126

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$31.07$27.0022.6%6.5%6.9%28.3%26.7%2.1%-2.7%13.9K-522.6K-6330.23143.32N/AN/A1363120731
2017-11-02$31.09$0.0022.4%4.9%6.6%27.9%0.0%1.8%-1.1%10.0K-558.0K-3010.23177.83N/AN/A1363120731
2017-11-03$31.04$0.0022.7%5.1%6.6%28.4%0.0%2.4%-3.2%10.5K-562.4K-2880.23156.09N/AN/A1363120731
2017-11-06$31.01$0.0025.6%4.9%6.5%32.8%0.0%2.0%-0.9%10.4K-554.9K-2690.23179.78N/AN/A1363120731
2017-11-07$30.82$0.0012.7%2.9%7.0%13.5%0.0%2.8%0.3%11.0K-577.1K-2050.23152.87N/AN/A1363120731
2017-11-08$30.84$0.0019.8%5.7%7.0%24.0%0.0%3.0%1.1%16.2K-486.1K-6800.23163.55N/AN/A1363120731
2017-11-09$30.49$0.0020.1%5.8%8.2%24.5%0.0%1.6%-3.8%12.2K-507.4K-2940.23176.51N/AN/A1363120731
2017-11-10$30.37$0.0022.0%6.3%8.4%27.4%0.0%0.9%-8.4%18.1K-472.9K-6250.23166.57N/AN/A1363120731
2017-11-13$30.23$0.0019.9%5.7%8.5%24.3%0.0%1.5%-3.2%21.4K-468.8K-5830.23172.70N/AN/A1363120731
2017-11-14$30.06$0.0012.3%3.5%8.7%12.8%0.0%2.5%0.6%46.9K-485.4K-4140.23144.30N/AN/A1363120731
2017-11-15$29.91$0.0017.7%5.1%8.8%20.9%0.0%2.9%-5.7%49.3K-419.3K-6080.23155.30N/AN/A1363120731
2017-11-16$30.21$0.0021.0%6.0%9.4%26.0%0.0%1.7%-2.3%22.3K-446.9K-5700.23170.12N/AN/A1363120731
2017-11-17$29.98$0.0019.8%5.7%9.8%24.0%0.0%1.4%-3.1%410.6K-344.2K-5520.22179.22N/AN/A1423120731
2017-11-20$30.13$0.0021.0%6.0%10.0%25.9%0.0%2.0%-2.6%6.4K-204.7K-5470.19180.37N/AN/A1062010620
2017-11-21$30.28$0.0017.4%5.0%9.9%20.5%0.0%0.5%-1.0%-2.2K-285.3K-1520.19163.17N/AN/A1062010620
2017-11-22$30.10$0.0024.2%6.9%10.0%30.7%0.0%2.1%-9.5%5.5K-208.0K-5480.19167.98N/AN/A1062010620
2017-11-24$30.24$0.0022.7%6.5%8.8%28.4%0.0%1.6%-11.1%3.5K-244.4K-3900.19168.54N/AN/A1062010620
2017-11-27$30.17$0.0023.3%6.7%8.8%29.4%0.0%2.1%-4.2%4.9K-220.9K-5070.19162.93N/AN/A1062010620
2017-11-28$30.40$0.0025.1%7.2%9.2%32.0%0.0%2.5%-8.3%-2.0K-271.2K-1310.19176.92N/AN/A1062010620
2017-11-29$30.32$0.0021.4%6.1%9.0%26.4%0.0%2.2%-16.6%2.7K-255.6K-3310.19160.38N/AN/A1062010620
2017-11-30$30.24$0.0027.0%7.8%8.7%34.9%0.0%2.4%-11.5%5.1K-222.4K-4780.19162.59N/AN/A1062010620