CHFN Options History — March 2016

In March 2016, CHFN traded between $13.04 and $13.82. ATM implied volatility averaged 162.7%. The 30-day expected move averaged 47.0%. IV traded above realized volatility by 147.3% (HV 20d: 15.4%). Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2016-03-01: Highest Volume — 5 contracts
  • 2016-03-29: Largest IV spike — 51.0% change
  • 2016-03-29: Largest Expected Move — 57.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.46$13.04$13.82$13.82$13.51
ATM IV162.7%120.1%199.3%181.3%135.3%
Expected Move47.0%34.4%57.1%52.0%57.1%
HV 20d15.4%13.4%18.0%18.0%15.6%
HV 60d21.9%21.0%24.4%24.4%21.0%
Term Structure-67.8%-149.0%-46.1%-149.0%-84.7%
Skew 25d-5.7%-72.4%19.4%-6.7%-21.5%
Skew 10d45.0%-87.4%81.7%61.5%34.8%
Call IV 25d142.0%86.1%196.8%168.0%171.0%
Put IV 25d136.3%68.4%186.5%161.2%149.5%
Bid-Ask Spread %163.15159.23183.63183.63160.96
Gamma HHI1.001.001.001.001.00
Net GEX400703639
Net DEX-5.4K-6.8K-4.9K-5.6K-5.4K
Net VEX-9-100-10-8
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume55555
Total OI55555

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$13.82$0.00181.3%52.0%18.0%0.0%0.0%-6.7%-149.0%36-5.6K-100.00183.63N/AN/A5050
2016-03-02$13.80$0.00186.6%53.5%17.7%0.0%0.0%-14.1%0.0%30-5.9K-80.00181.78N/AN/A5050
2016-03-03$13.80$0.00192.7%37.5%16.1%0.0%0.0%-14.3%-53.2%36-5.6K-100.00160.48N/AN/A5050
2016-03-04$13.73$0.00146.3%41.9%15.5%0.0%0.0%-16.3%-46.1%36-5.5K-100.00162.83N/AN/A5050
2016-03-07$13.62$0.00152.6%43.8%15.4%0.0%0.0%-20.0%-50.7%36-5.5K-100.00159.23N/AN/A5050
2016-03-08$13.46$0.00155.7%44.6%14.7%0.0%0.0%-24.7%-53.4%36-5.3K-100.00163.18N/AN/A5050
2016-03-09$13.35$0.00158.5%45.4%14.8%0.0%0.0%10.0%-47.1%43-5.1K-100.00159.87N/AN/A5050
2016-03-10$13.27$0.00161.3%46.2%14.4%0.0%0.0%8.4%-49.6%43-5.0K-100.00160.97N/AN/A5050
2016-03-11$13.27$0.00163.5%46.9%14.4%0.0%0.0%3.4%-51.6%42-5.0K-100.00160.59N/AN/A5050
2016-03-14$13.16$0.00126.6%36.3%14.7%0.0%0.0%-2.2%-84.1%48-5.4K-90.00160.21N/AN/A5050
2016-03-15$13.04$0.00179.1%51.3%15.0%0.0%0.0%9.9%-82.9%33-5.0K-100.00163.28N/AN/A5050
2016-03-16$13.09$0.00182.2%52.2%15.1%0.0%0.0%9.9%-74.2%42-4.9K-100.00160.84N/AN/A5050
2016-03-17$13.34$0.00178.8%51.2%15.9%0.0%0.0%12.0%-64.0%38-5.1K-100.00162.74N/AN/A5050
2016-03-18$13.52$0.00160.7%46.1%15.7%0.0%0.0%14.9%-67.4%35-5.2K-100.00161.63N/AN/A5050
2016-03-21$13.50$0.00170.6%48.9%15.3%0.0%0.0%17.2%-59.9%51-5.2K-90.00159.39N/AN/A5050
2016-03-22$13.39$0.00120.1%34.4%15.4%0.0%0.0%-72.4%-75.1%48-6.0K-60.00162.51N/AN/A5050
2016-03-23$13.42$0.00180.2%51.7%15.5%0.0%0.0%16.7%-66.2%38-5.4K-90.00161.69N/AN/A5050
2016-03-24$13.46$0.00183.1%52.5%15.4%0.0%0.0%19.4%-61.9%51-5.2K-80.00160.61N/AN/A5050
2016-03-28$13.41$0.00132.0%0.0%13.4%0.0%0.0%-23.3%0.0%43-5.1K-90.00161.69N/AN/A5050
2016-03-29$13.72$0.00199.3%57.1%15.0%0.0%0.0%-16.0%-84.7%70-5.8K-60.00160.62N/AN/A5050
2016-03-30$13.53$0.00133.8%0.0%15.6%0.0%0.0%-15.1%0.0%0-6.8K00.00160.60N/AN/A5050
2016-03-31$13.51$0.00135.3%0.0%15.6%0.0%0.0%-21.5%0.0%39-5.4K-80.00160.96N/AN/A5050