HEZU Options History — March 2020 In March 2020, HEZU traded between $20.16 and $29.86. ATM implied volatility averaged 84.9%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 18.4% (HV 20d: 66.5%). Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2020-03-26 : Highest Volume — 80 contracts2020-03-12 : Largest IV spike — 89.8% change2020-03-16 : Highest IV Rank — 100.0%2020-03-16 : Largest Expected Move — 42.0%Monthly Statistics Metric Avg Min Max Open Close Price $24.29 $20.16 $29.86 $29.05 $23.55 ATM IV 84.9% 36.4% 168.4% 55.6% 55.2% Expected Move 21.5% 9.6% 42.0% 15.9% 15.8% HV 20d 66.5% 26.0% 94.4% 26.4% 94.3% HV 60d 41.4% 17.9% 56.4% 18.1% 56.4% IV Rank 53.8% 22.2% 100.0% 37.7% 29.0% IV Percentile 94.8% 78.2% 100.0% 95.6% 89.3% Term Structure -11.3% -32.7% 10.3% -14.4% -7.3% Skew 25d 5.2% -27.1% 46.3% -2.0% 13.0% Skew 10d -10.6% -46.0% 21.4% -13.3% 3.1% Call IV 25d 83.0% 34.9% 165.1% 62.7% 46.3% Put IV 25d 88.1% 42.9% 164.5% 60.6% 59.2% Bid-Ask Spread % 161.35 123.20 182.49 182.49 144.40 Gamma HHI 0.78 0.43 0.90 0.90 0.59 Net GEX -409 -1.3K 857 -1.1K 595 Net DEX 39.0K 26.4K 46.1K 43.4K 40.8K Net VEX -113 -161 -62 -144 -106 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.682 0 80 1 0 Total OI 32.864 21 102 21 102
Daily Data (22 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 2020-03-02 $29.05 $0.00 55.6% 15.9% 26.4% 37.7% 0.0% -2.0% -14.4% -1.1K 43.4K -144 0.00 182.49 N/A N/A 0 1 0 21 2020-03-03 $28.96 $0.00 57.5% 16.5% 26.0% 39.2% 0.0% 3.0% -26.5% -966 44.2K -150 0.00 168.17 N/A N/A 0 0 0 22 2020-03-04 $29.86 $0.00 43.6% 12.5% 27.8% 28.0% 0.0% 2.5% -4.2% -1.3K 43.6K -161 0.00 160.29 N/A N/A 0 0 0 22 2020-03-05 $28.59 $0.00 36.4% 9.6% 30.2% 22.2% 0.0% -0.1% 9.1% -977 43.4K -148 0.00 170.23 N/A N/A 0 0 0 22 2020-03-06 $27.88 $0.00 59.4% 12.3% 30.6% 40.8% 0.0% 1.8% -11.7% -891 44.6K -136 0.00 156.32 N/A N/A 0 0 0 22 2020-03-09 $25.29 $0.00 89.2% 12.6% 44.1% 64.8% 0.0% 10.4% -2.0% -522 38.8K -127 0.00 171.41 N/A N/A 0 0 0 22 2020-03-10 $26.05 $0.00 111.1% 15.0% 46.3% 82.5% 0.0% 25.1% 7.5% -632 42.4K -120 0.00 161.28 N/A N/A 0 0 0 22 2020-03-11 $24.77 $0.00 54.0% 15.5% 47.8% 36.4% 0.0% 3.6% -8.4% -529 44.9K -97 0.00 164.13 N/A N/A 0 0 0 22 2020-03-12 $21.95 $0.00 102.5% 29.4% 60.1% 75.5% 0.0% 0.7% -14.2% -300 31.3K -121 0.00 169.82 N/A N/A 0 0 0 22 2020-03-13 $23.11 $0.00 78.0% 22.3% 65.1% 55.7% 0.0% 11.1% -15.6% -399 38.0K -110 0.00 161.22 N/A N/A 0 0 0 22 2020-03-16 $20.38 $0.00 146.4% 42.0% 75.1% 100.0% 0.0% -24.4% -32.7% -247 29.1K -107 0.00 169.22 N/A N/A 0 0 0 22 2020-03-17 $21.52 $0.00 141.1% 40.4% 79.8% 96.1% 0.0% 1.4% -26.1% -299 32.3K -111 0.00 175.10 N/A N/A 0 0 0 22 2020-03-18 $20.16 $0.00 168.4% 0.0% 80.6% 100.0% 0.0% -27.1% 0.0% -219 26.4K -111 0.00 169.82 N/A N/A 0 0 0 22 2020-03-19 $21.49 $0.00 94.9% 27.2% 86.3% 53.9% 0.0% 12.0% -24.9% -324 37.0K -87 0.00 153.14 N/A N/A 0 0 0 22 2020-03-20 $21.72 $0.00 122.6% 35.2% 87.0% 71.3% 0.0% -3.2% -15.5% -289 30.8K -117 0.00 174.84 N/A N/A 0 0 0 22 2020-03-23 $21.55 $0.00 117.4% 33.7% 86.8% 68.0% 0.0% -9.5% -30.2% -303 34.8K -98 0.00 167.89 N/A N/A 0 0 0 22 2020-03-24 $23.18 $0.00 73.5% 21.1% 92.6% 40.5% 0.0% 2.1% 3.4% -304 43.2K -72 0.00 171.27 N/A N/A 0 0 0 22 2020-03-25 $24.04 $0.00 101.4% 29.1% 94.2% 58.0% 0.0% 20.1% -25.9% -367 40.8K -96 0.00 172.41 N/A N/A 0 0 0 22 2020-03-26 $24.20 $0.00 49.5% 14.2% 94.1% 25.4% 0.0% 16.5% -4.5% -460 46.1K -73 0.00 136.65 N/A N/A 80 0 0 22 2020-03-27 $23.32 $0.00 57.1% 16.4% 94.3% 30.2% 0.0% 46.3% 10.3% -27 45.4K -62 0.00 123.20 N/A N/A 0 0 80 22 2020-03-30 $23.68 $0.00 53.0% 15.2% 94.4% 27.6% 0.0% 10.3% -4.6% 857 36.4K -128 0.00 126.34 N/A N/A 0 0 80 22 2020-03-31 $23.55 $0.00 55.2% 15.8% 94.3% 29.0% 0.0% 13.0% -7.3% 595 40.8K -106 0.00 144.40 N/A N/A 0 0 80 22
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