HEZU Options History — January 2018

In January 2018, HEZU traded between $29.83 and $31.54. ATM implied volatility averaged 21.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 11.4% (HV 20d: 10.1%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2018-01-02: Highest Volume — 56 contracts
2018-01-10: Largest IV drop — 31.7% change
2018-01-04: Highest IV Rank — 46.0%
2018-01-29: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.98	$29.83	$31.54	$29.83	$30.97
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	21.5%	17.1%	26.8%	23.2%	23.7%
Expected Move	5.7%	4.6%	6.9%	6.7%	6.8%
HV 20d	10.1%	8.3%	10.8%	8.3%	10.5%
HV 60d	9.0%	8.0%	9.4%	8.0%	9.4%
IV Rank	35.5%	26.6%	46.0%	38.9%	39.8%
IV Percentile	40.0%	9.5%	79.4%	55.6%	59.9%
Term Structure	-2.8%	-7.1%	2.8%	-5.8%	-5.2%
VWIV	22.1%	17.6%	26.0%	17.6%	26.0%
Skew 25d	2.1%	-0.6%	4.9%	2.5%	0.8%
Skew 10d	6.9%	-0.3%	11.4%	-0.3%	4.5%
Call IV 25d	22.2%	16.4%	29.0%	27.9%	29.0%
Put IV 25d	24.3%	15.8%	30.8%	30.4%	29.8%
Bid-Ask Spread %	166.05	145.96	178.94	178.94	164.44
Gamma HHI	0.44	0.35	0.68	0.68	0.37
Net GEX	641	-2.7K	8.1K	8.1K	-646
Net DEX	-428.0K	-451.4K	-356.9K	-356.9K	-430.2K
Net VEX	-162	-431	-73	-431	-90
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.56	1.25	0.56	1.25
Total Volume	41.714	36	56	56	36
Total OI	172.667	171	176	176	171

Daily Data (21 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
2018-01-02	$29.83	$0.00	23.2%	6.7%	8.3%	38.9%	0.0%	2.5%	-5.8%	8.1K	-356.9K	-431	0.56	178.94	N/A	N/A	36	20	156	20
2018-01-03	$30.12	$0.00	22.9%	6.6%	8.8%	38.2%	0.0%	3.0%	-4.5%	6.2K	-380.5K	-369	0.56	178.62	N/A	N/A	36	20	156	20
2018-01-04	$30.49	$27.00	26.8%	4.6%	9.9%	46.0%	17.6%	-0.6%	-3.3%	-1.5K	-432.2K	-138	0.56	167.07	N/A	N/A	36	20	156	20
2018-01-05	$30.87	$27.00	22.7%	4.9%	10.7%	37.9%	23.6%	4.9%	0.2%	4.3K	-414.7K	-306	0.56	170.18	N/A	N/A	36	20	156	20
2018-01-08	$30.93	$27.00	25.6%	5.6%	10.6%	43.7%	23.9%	3.1%	2.8%	3.5K	-422.7K	-266	0.56	145.96	N/A	N/A	36	20	156	20
2018-01-09	$31.07	$27.00	25.6%	5.0%	10.5%	43.7%	22.4%	2.8%	-1.6%	1.9K	-437.4K	-214	0.56	170.31	N/A	N/A	36	20	156	20
2018-01-10	$30.90	$27.00	17.5%	5.0%	10.8%	27.5%	18.2%	2.9%	-1.6%	1.7K	-434.0K	-194	1.25	168.85	N/A	N/A	16	20	156	20
2018-01-11	$30.92	$27.00	17.1%	4.9%	10.8%	26.6%	19.2%	2.9%	-1.5%	463	-425.2K	-158	1.25	169.75	N/A	N/A	16	20	151	20
2018-01-12	$30.97	$27.00	17.6%	5.1%	10.4%	27.8%	19.5%	2.7%	-1.8%	225	-427.6K	-154	1.25	170.88	N/A	N/A	16	20	151	20
2018-01-16	$30.88	$27.00	17.7%	5.1%	10.2%	27.9%	19.4%	1.4%	-3.0%	103	-425.3K	-136	1.25	171.06	N/A	N/A	16	20	151	20
2018-01-17	$31.12	$27.00	19.9%	5.7%	10.4%	32.3%	20.6%	1.8%	-0.3%	-2.7K	-438.5K	-85	1.25	157.49	N/A	N/A	16	20	151	20
2018-01-18	$31.08	$27.00	19.0%	5.4%	9.7%	30.4%	20.8%	2.6%	-3.1%	-457	-433.2K	-121	1.25	168.91	N/A	N/A	16	20	151	20
2018-01-19	$31.39	$27.00	20.2%	5.8%	10.1%	32.8%	22.7%	4.4%	0.1%	446	-438.4K	-136	1.25	160.59	N/A	N/A	16	20	151	20
2018-01-22	$31.54	$27.00	20.9%	6.0%	9.4%	34.3%	23.4%	4.9%	-3.2%	-1.2K	-449.3K	-89	1.25	157.95	N/A	N/A	16	20	151	20
2018-01-23	$31.50	$27.00	22.4%	6.4%	9.5%	37.3%	23.4%	1.0%	-4.1%	-2.0K	-451.4K	-73	1.25	163.84	N/A	N/A	16	20	151	20
2018-01-24	$31.26	$27.00	20.0%	5.7%	10.1%	32.4%	22.2%	0.4%	-3.0%	-1.1K	-440.6K	-94	1.25	164.04	N/A	N/A	16	20	151	20
2018-01-25	$31.15	$27.00	20.1%	5.8%	10.2%	32.7%	22.8%	1.2%	-2.5%	-949	-436.6K	-98	1.25	166.01	N/A	N/A	16	20	151	20
2018-01-26	$31.40	$27.00	22.4%	6.4%	10.4%	37.4%	24.5%	1.2%	-5.1%	-1.1K	-444.6K	-88	1.25	163.82	N/A	N/A	16	20	151	20
2018-01-29	$31.22	$27.00	24.0%	6.9%	10.2%	40.4%	25.8%	0.5%	-7.1%	-758	-438.1K	-88	1.25	165.27	N/A	N/A	16	20	151	20
2018-01-30	$30.94	$27.00	22.5%	6.4%	10.5%	37.5%	23.5%	0.1%	-4.3%	-1.2K	-430.8K	-82	1.25	163.03	N/A	N/A	16	20	151	20
2018-01-31	$30.97	$27.00	23.7%	6.8%	10.5%	39.8%	26.0%	0.8%	-5.2%	-646	-430.2K	-90	1.25	164.44	N/A	N/A	16	20	151	20