CHFN Options History — February 2016

In February 2016, CHFN traded between $13.08 and $13.95. ATM implied volatility averaged 148.1%. The 30-day expected move averaged 44.5%. IV traded above realized volatility by 122.6% (HV 20d: 25.5%). Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2016-02-03: Highest Volume — 5 contracts
  • 2016-02-16: Largest IV spike — 97.1% change
  • 2016-02-01: Largest Expected Move — 55.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.42$13.08$13.95$13.73$13.73
ATM IV148.1%47.8%194.8%194.8%193.3%
Expected Move44.5%25.4%55.8%55.8%55.4%
HV 20d25.5%20.5%30.1%28.1%21.0%
HV 60d24.8%23.8%25.9%25.8%24.4%
Term Structure-65.3%-88.7%-36.5%-72.9%-72.4%
Skew 25d-1.0%-42.4%30.4%9.6%-15.6%
Skew 10d44.4%-26.4%69.4%51.7%69.4%
Call IV 25d103.9%19.3%174.3%83.1%174.3%
Put IV 25d102.9%28.2%158.7%92.7%158.7%
Bid-Ask Spread %182.35160.43191.74161.27185.53
Gamma HHI1.001.001.001.001.00
Net GEX37062031
Net DEX-4.5K-6.4K00-5.4K
Net VEX-8-1100-11
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.50505
Total OI4.250505

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$13.73$0.00194.8%55.8%28.1%0.0%0.0%9.6%-72.9%0000.00161.27N/AN/A0000
2016-02-02$13.61$0.00142.4%0.0%28.4%0.0%0.0%-42.4%0.0%0000.00160.43N/AN/A0000
2016-02-03$13.35$0.00145.6%0.0%29.3%0.0%0.0%14.4%0.0%0000.00161.96N/AN/A5000
2016-02-04$13.20$0.0047.8%42.5%29.5%0.0%0.0%11.9%-51.7%47-5.0K-110.00185.99N/AN/A5050
2016-02-05$13.08$0.0081.5%29.7%29.7%0.0%0.0%-24.3%-88.7%50-5.6K-90.00186.64N/AN/A5050
2016-02-08$13.34$0.00154.4%44.3%30.0%0.0%0.0%3.8%-61.1%36-5.2K-110.00188.51N/AN/A5050
2016-02-09$13.26$0.00157.0%45.0%29.9%0.0%0.0%11.9%-56.2%55-5.2K-100.00185.99N/AN/A5050
2016-02-10$13.11$0.00121.4%34.8%30.1%0.0%0.0%30.4%-63.9%42-5.0K-110.00187.23N/AN/A5050
2016-02-11$13.13$0.0089.2%25.6%29.5%0.0%0.0%6.4%-75.9%24-6.4K-30.00183.53N/AN/A5050
2016-02-12$13.17$0.0088.6%25.4%29.2%0.0%0.0%8.9%-64.2%53-5.1K-100.00185.40N/AN/A5050
2016-02-16$13.17$0.00174.5%50.0%23.4%0.0%0.0%9.1%-79.8%36-5.1K-110.00187.30N/AN/A5050
2016-02-17$13.15$0.00177.6%50.9%23.4%0.0%0.0%8.5%-77.1%39-5.0K-110.00191.74N/AN/A5050
2016-02-18$13.32$0.00179.3%51.4%21.7%0.0%0.0%8.6%-72.6%47-5.1K-100.00186.59N/AN/A5050
2016-02-19$13.53$0.00160.4%46.0%22.2%0.0%0.0%14.2%-78.2%35-5.2K-110.00187.87N/AN/A5050
2016-02-22$13.66$0.00166.1%47.6%21.7%0.0%0.0%-16.1%-52.1%51-5.3K-100.00185.97N/AN/A5050
2016-02-23$13.60$0.00171.3%49.1%20.5%0.0%0.0%-17.7%-54.9%42-5.2K-100.00183.63N/AN/A5050
2016-02-24$13.62$0.00174.4%50.0%20.5%0.0%0.0%-17.4%-57.3%56-5.4K-90.00184.74N/AN/A5050
2016-02-25$13.68$0.00176.4%50.6%20.5%0.0%0.0%-13.9%-59.4%39-5.3K-100.00183.63N/AN/A5050
2016-02-26$13.95$0.00165.1%47.3%21.3%0.0%0.0%-9.7%-36.5%62-5.6K-80.00182.99N/AN/A5050
2016-02-29$13.73$0.00193.3%55.4%21.0%0.0%0.0%-15.6%-72.4%31-5.4K-110.00185.53N/AN/A5050