HEZU Options History — May 2020 In May 2020, HEZU traded between $24.40 and $26.98. ATM implied volatility averaged 39.5%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.8% (HV 20d: 30.7%). Max pain ranged from $26.00 to $32.17. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-05-05 : Highest Volume — 5 contracts2020-05-29 : Largest IV spike — 96.5% change2020-05-12 : Highest IV Rank — 41.1%2020-05-29 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $25.41 $24.40 $26.98 $24.76 $26.88 Max Pain $26.34 $26.00 $32.17 $32.17 $26.00 ATM IV 39.5% 22.2% 74.5% 36.5% 43.7% Expected Move 9.2% 6.4% 12.5% 10.5% 12.5% HV 20d 30.7% 24.6% 38.4% 38.4% 28.7% HV 60d 61.1% 60.7% 62.0% 60.7% 61.1% IV Rank 19.1% 8.3% 41.1% 17.3% 21.8% IV Percentile 56.9% 11.9% 94.8% 65.1% 76.6% Term Structure 15.4% -21.2% 99.0% 1.1% 4.6% VWIV 32.3% 32.3% 32.3% 32.3% 32.3% Skew 25d 9.6% -4.6% 25.0% 5.7% 5.0% Skew 10d 5.5% -15.7% 16.8% 16.8% 14.1% Call IV 25d 29.2% 18.1% 47.9% 37.8% 47.9% Put IV 25d 38.8% 26.2% 52.9% 43.5% 52.9% Bid-Ask Spread % 143.42 111.72 165.12 111.72 162.60 Gamma HHI 0.49 0.40 0.75 0.66 0.48 Net GEX -10 -426 463 -324 -238 Net DEX 44.6K 38.1K 51.9K 51.9K 40.3K Net VEX -60 -96 -27 -27 -72 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 0.4 0 5 0 0 Total OI 70.05 26 107 102 26
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 2020-05-01 $24.76 $32.17 36.5% 10.5% 38.4% 17.3% 0.0% 5.7% 1.1% -324 51.9K -27 0.00 111.72 N/A N/A 0 0 80 22 2020-05-04 $24.70 $0.00 58.3% 10.2% 37.6% 30.9% 0.0% 18.8% 12.6% -426 45.9K -72 0.00 127.16 N/A N/A 0 0 80 22 2020-05-05 $24.85 $0.00 49.1% 10.8% 30.8% 25.2% 32.3% 9.2% 10.6% -411 49.1K -53 0.00 134.70 N/A N/A 5 0 80 22 2020-05-06 $24.74 $26.00 40.0% 11.2% 30.9% 19.4% 0.0% 25.0% 26.7% -87 41.2K -84 0.00 139.34 N/A N/A 0 0 85 22 2020-05-07 $25.10 $26.00 38.7% 7.6% 31.1% 18.7% 0.0% 18.5% -4.0% 167 48.3K -39 0.00 133.36 N/A N/A 0 0 85 22 2020-05-08 $25.51 $26.00 49.5% 6.8% 30.3% 25.5% 0.0% 5.8% -6.6% 463 49.6K -33 0.00 130.63 N/A N/A 0 0 85 22 2020-05-11 $25.44 $26.00 68.3% 10.4% 29.6% 37.2% 0.0% 3.9% -21.2% -29 44.0K -67 0.00 127.06 N/A N/A 0 0 85 22 2020-05-12 $25.05 $26.00 74.5% 9.5% 29.8% 41.1% 0.0% 7.3% -0.1% 300 48.4K -33 0.00 145.61 N/A N/A 0 0 85 22 2020-05-13 $24.55 $26.00 30.3% 8.7% 27.3% 13.4% 0.0% 18.9% 3.3% -6 45.2K -58 0.00 116.52 N/A N/A 0 0 85 22 2020-05-14 $24.51 $26.00 43.3% 12.4% 27.3% 21.5% 0.0% 16.3% 82.4% -53 45.6K -55 0.00 140.11 N/A N/A 3 0 85 22 2020-05-15 $24.40 $26.00 34.5% 9.9% 24.6% 16.0% 0.0% 22.5% 99.0% 38 44.1K -62 0.00 141.09 N/A N/A 0 0 85 22 2020-05-18 $25.69 $26.00 25.7% 7.4% 30.5% 10.5% 0.0% 7.4% 0.0% 193 47.1K -51 0.00 156.48 N/A N/A 0 0 5 22 2020-05-19 $25.20 $26.00 43.7% 12.5% 30.6% 21.8% 0.0% 4.8% 8.8% -185 38.1K -96 0.00 165.12 N/A N/A 0 0 5 22 2020-05-20 $25.61 $26.00 23.1% 6.6% 30.7% 8.9% 0.0% 3.9% 25.3% -71 39.8K -91 0.00 157.80 N/A N/A 0 0 5 22 2020-05-21 $25.45 $26.00 37.8% 10.8% 30.8% 18.1% 0.0% 0.6% -2.0% -78 43.5K -73 0.00 149.03 N/A N/A 0 0 5 22 2020-05-22 $25.57 $26.00 23.5% 6.7% 30.6% 9.1% 0.0% -4.6% -4.8% 270 49.1K -29 0.00 156.54 N/A N/A 0 0 5 22 2020-05-26 $26.30 $26.00 24.7% 7.1% 31.7% 9.9% 0.0% 3.0% 23.5% 212 40.6K -68 0.00 156.99 N/A N/A 0 0 5 21 2020-05-27 $26.88 $26.00 22.2% 6.4% 32.4% 8.3% 0.0% 17.4% 24.7% 18 39.3K -73 0.00 157.97 N/A N/A 0 0 5 21 2020-05-28 $26.98 $26.00 22.2% 6.4% 30.5% 8.3% 0.0% 2.1% 23.4% 48 40.4K -65 0.00 158.56 N/A N/A 0 0 5 21 2020-05-29 $26.88 $26.00 43.7% 12.5% 28.7% 21.8% 0.0% 5.0% 4.6% -238 40.3K -72 0.00 162.60 N/A N/A 0 0 5 21
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