HEZU Options History — June 2020 In June 2020, HEZU traded between $26.93 and $29.38. ATM implied volatility averaged 54.9%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 23.3% (HV 20d: 31.6%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.53.
Notable Days 2020-06-04 : Highest Volume — 30 contracts2020-06-18 : Largest IV spike — 115.4% change2020-06-12 : Highest IV Rank — 52.7%2020-06-12 : Largest Expected Move — 26.6%Monthly Statistics Metric Avg Min Max Open Close Price $28.14 $26.93 $29.38 $27.35 $28.18 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 54.9% 24.2% 92.9% 24.2% 32.0% Expected Move 16.0% 6.9% 26.6% 6.9% 9.2% HV 20d 31.6% 27.4% 37.3% 27.4% 31.3% HV 60d 42.2% 32.0% 60.6% 60.6% 32.0% IV Rank 28.8% 9.6% 52.7% 9.6% 14.5% IV Percentile 72.3% 19.0% 95.6% 19.0% 38.9% Term Structure -12.1% -59.0% 25.6% -5.1% 25.6% Skew 25d 7.6% -36.0% 62.9% 4.0% 35.3% Skew 10d 22.4% -57.0% 92.3% 2.2% 83.6% Call IV 25d 66.5% 19.5% 117.7% 26.2% 36.9% Put IV 25d 74.1% 30.1% 120.7% 30.1% 72.2% Bid-Ask Spread % 171.23 129.47 191.06 151.09 172.88 Gamma HHI 0.49 0.37 0.65 0.47 0.48 Net GEX -283 -704 532 33 179 Net DEX 32.2K 16.8K 47.8K 42.7K 27.2K Net VEX -95 -156 -43 -43 -132 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.53 0.00 5.25 2.33 0.00 Total Volume 3.273 0 30 0 0 Total OI 29.455 25 38 26 38
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 2020-06-01 $27.35 $26.00 24.2% 6.9% 27.4% 9.6% 0.0% 4.0% -5.1% 33 42.7K -43 0.00 151.09 N/A N/A 0 0 5 21 2020-06-02 $27.68 $26.00 41.7% 12.0% 27.4% 20.6% 0.0% 7.8% -11.7% -380 33.0K -97 0.00 129.47 N/A N/A 0 0 5 21 2020-06-03 $28.65 $26.00 33.3% 9.5% 29.2% 15.3% 0.0% 4.2% 4.9% -704 36.6K -76 0.00 136.59 N/A N/A 0 0 5 21 2020-06-04 $28.40 $0.00 44.9% 12.1% 29.5% 22.5% 0.0% 25.3% -9.3% -572 37.5K -78 2.33 158.99 N/A N/A 9 21 5 21 2020-06-05 $29.09 $0.00 45.6% 19.2% 30.0% 23.0% 0.0% 62.9% -36.8% -456 32.3K -98 0.00 178.45 N/A N/A 0 0 9 21 2020-06-08 $29.38 $0.00 42.9% 10.2% 29.8% 21.3% 0.0% 39.4% -22.3% -31 37.2K -64 0.00 164.54 N/A N/A 0 0 9 21 2020-06-09 $28.87 $0.00 27.1% 10.9% 30.9% 11.4% 0.0% 2.8% -7.1% -637 29.3K -92 0.00 175.08 N/A N/A 0 0 9 21 2020-06-10 $28.51 $0.00 57.0% 16.3% 30.6% 30.1% 0.0% 2.2% -21.1% -366 28.9K -102 0.00 181.19 N/A N/A 0 0 9 21 2020-06-11 $26.93 $0.00 59.1% 16.9% 37.0% 31.4% 0.0% 39.2% -21.8% 17 33.0K -94 0.00 177.18 N/A N/A 0 0 9 21 2020-06-12 $27.46 $0.00 92.9% 26.6% 37.3% 52.7% 0.0% 22.1% -16.7% -61 27.0K -108 0.00 191.06 N/A N/A 0 0 9 21 2020-06-15 $27.60 $0.00 80.2% 23.0% 37.1% 44.7% 0.0% 8.0% -22.3% -91 27.6K -103 0.00 183.07 N/A N/A 0 0 9 21 2020-06-16 $28.04 $0.00 87.6% 25.1% 33.3% 49.3% 0.0% -15.1% -27.3% -192 22.9K -114 0.00 185.69 N/A N/A 0 0 9 21 2020-06-17 $28.23 $0.00 30.3% 8.7% 32.1% 13.4% 0.0% 0.5% 24.2% -326 27.9K -95 0.00 162.22 N/A N/A 0 0 9 21 2020-06-18 $28.10 $0.00 65.3% 18.7% 32.1% 35.4% 0.0% -33.2% -26.5% -142 33.1K -76 0.00 166.41 N/A N/A 0 0 9 21 2020-06-19 $28.04 $0.00 65.1% 18.7% 31.9% 35.2% 0.0% -16.4% -6.3% -641 24.4K -96 0.00 184.00 N/A N/A 0 0 9 21 2020-06-22 $28.24 $0.00 28.3% 8.1% 31.9% 12.1% 0.0% 6.5% -0.1% -559 47.8K -64 0.00 181.12 N/A N/A 0 0 4 21 2020-06-23 $28.44 $0.00 57.4% 16.4% 30.7% 30.4% 0.0% -36.0% 5.7% -599 35.5K -101 5.25 170.59 N/A N/A 4 21 4 21 2020-06-24 $27.84 $0.00 88.4% 25.3% 31.2% 49.8% 0.0% 3.1% -0.7% -570 34.1K -103 0.00 188.39 N/A N/A 0 0 4 21 2020-06-25 $28.20 $0.00 50.0% 14.3% 31.5% 25.7% 0.0% 0.7% -15.8% -598 40.8K -88 0.00 160.13 N/A N/A 17 0 4 21 2020-06-26 $27.80 $0.00 73.0% 20.9% 31.9% 40.2% 0.0% -26.8% -17.3% -72 16.8K -156 0.00 185.18 N/A N/A 0 0 17 21 2020-06-29 $28.09 $0.00 81.9% 23.5% 31.6% 45.7% 0.0% 30.4% -59.0% 532 32.2K -118 0.00 183.65 N/A N/A 0 0 17 21 2020-06-30 $28.18 $0.00 32.0% 9.2% 31.3% 14.5% 0.0% 35.3% 25.6% 179 27.2K -132 0.00 172.88 N/A N/A 0 0 17 21
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