CHFN Options History — January 2016

In January 2016, CHFN traded between $12.64 and $13.33. ATM implied volatility averaged 167.6%. The 30-day expected move averaged 48.0%. IV traded above realized volatility by 143.8% (HV 20d: 23.8%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days.

Notable Days

  • 2016-01-15: Largest IV spike — 54.0% change
  • 2016-01-28: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.12$12.64$13.33$13.32$13.31
ATM IV167.6%109.3%198.5%146.4%192.3%
Expected Move48.0%31.3%56.9%42.0%55.1%
HV 20d23.8%18.1%29.0%26.9%27.8%
Term Structure-47.7%-66.7%-25.7%-38.3%-65.9%
Skew 25d-11.7%-112.4%31.1%-41.7%3.8%
Skew 10d36.0%6.7%55.0%20.3%6.7%
Call IV 25d122.2%52.3%198.0%189.1%85.9%
Put IV 25d110.5%70.5%167.9%147.5%89.7%
Bid-Ask Spread %159.76151.60163.75160.93159.79
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$13.32$0.00146.4%42.0%26.9%0.0%0.0%-41.7%-38.3%0000.00160.93N/AN/A0000
2016-01-05$13.33$0.00143.8%41.2%18.5%0.0%0.0%-26.2%-28.1%0000.00160.69N/AN/A0000
2016-01-06$13.31$0.00150.8%43.2%18.4%0.0%0.0%0.0%-63.4%0000.00160.27N/AN/A0000
2016-01-07$13.31$0.00147.3%42.2%18.1%0.0%0.0%-27.3%-25.7%0000.00161.53N/AN/A0000
2016-01-08$13.11$0.00150.4%43.1%19.1%0.0%0.0%-31.1%-31.7%0000.00160.10N/AN/A0000
2016-01-11$13.26$0.00155.0%44.4%19.5%0.0%0.0%-30.1%-45.7%0000.00151.60N/AN/A0000
2016-01-12$13.30$0.00156.7%44.9%19.4%0.0%0.0%31.1%-37.8%0000.00158.52N/AN/A0000
2016-01-13$13.08$0.00160.4%46.0%20.0%0.0%0.0%0.0%-43.6%0000.00159.86N/AN/A0000
2016-01-14$13.25$0.00109.3%31.3%20.1%0.0%0.0%-112.4%-41.7%0000.00160.15N/AN/A0000
2016-01-15$12.64$0.00168.3%48.2%25.3%0.0%0.0%0.0%-38.1%0000.00162.40N/AN/A0000
2016-01-19$12.69$0.00184.7%52.9%25.3%0.0%0.0%7.0%-53.2%0000.00161.55N/AN/A0000
2016-01-20$13.05$0.00185.5%53.2%27.5%0.0%0.0%4.4%-44.8%0000.00153.80N/AN/A0000
2016-01-21$13.01$0.00181.7%52.1%27.5%0.0%0.0%5.2%-49.2%0000.00160.80N/AN/A0000
2016-01-22$13.24$0.00183.1%52.5%28.3%0.0%0.0%4.2%-49.3%0000.00157.38N/AN/A0000
2016-01-25$13.00$0.00185.1%53.1%29.0%0.0%0.0%6.1%-58.0%0000.00161.05N/AN/A0000
2016-01-26$12.99$0.00190.3%54.6%27.5%0.0%0.0%6.7%-60.9%0000.00162.81N/AN/A0000
2016-01-27$12.99$0.00194.4%55.7%27.2%0.0%0.0%6.3%-63.7%0000.00158.50N/AN/A0000
2016-01-28$13.00$0.00198.5%56.9%27.2%0.0%0.0%7.0%-66.7%0000.00163.75N/AN/A0000
2016-01-29$13.31$0.00192.3%55.1%27.8%0.0%0.0%3.8%-65.9%0000.00159.79N/AN/A0000