CHFN Options History — April 2016

In April 2016, CHFN traded between $12.60 and $13.58. ATM implied volatility averaged 158.9%. The 30-day expected move averaged 46.2%. IV traded above realized volatility by 142.2% (HV 20d: 16.7%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2016-04-01: Highest Volume — 5 contracts
  • 2016-04-26: Largest IV spike — 26.6% change
  • 2016-04-27: Largest Expected Move — 53.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.30$12.60$13.58$13.55$12.60
ATM IV158.9%136.4%186.5%136.4%159.6%
Expected Move46.2%39.4%53.5%40.5%45.8%
HV 20d16.7%14.9%19.9%15.7%19.9%
HV 60d18.9%16.4%21.1%21.0%17.4%
Term Structure-35.2%-49.8%-17.1%-26.8%-44.8%
Skew 25d-4.6%-61.1%37.3%-20.7%10.5%
Skew 10d59.3%8.7%82.3%61.2%68.5%
Call IV 25d130.7%58.6%199.1%172.1%112.3%
Put IV 25d126.1%64.4%170.1%151.4%122.8%
Bid-Ask Spread %160.47157.76162.66160.54162.28
Gamma HHI1.001.001.001.001.00
Net GEX4134494141
Net DEX-5.2K-5.5K-4.8K-5.5K-4.8K
Net VEX-8-9-7-8-7
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 (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$13.55$0.00136.4%0.0%15.7%0.0%0.0%-20.7%0.0%41-5.5K-80.00160.54N/AN/A5050
2016-04-04$13.46$0.00141.4%40.5%15.7%0.0%0.0%-23.7%-26.8%39-5.4K-80.00159.68N/AN/A5050
2016-04-05$13.43$0.00143.1%41.0%15.5%0.0%0.0%-24.8%-27.1%34-5.3K-90.00160.01N/AN/A5050
2016-04-06$13.38$0.00145.0%41.6%15.0%0.0%0.0%-26.4%-17.1%47-5.1K-80.00161.14N/AN/A5050
2016-04-07$13.30$0.00151.4%43.4%14.9%0.0%0.0%-42.0%-28.5%49-5.1K-80.00159.88N/AN/A5050
2016-04-08$13.07$0.00137.4%39.4%16.0%0.0%0.0%-61.1%-23.7%43-4.9K-80.00159.05N/AN/A5050
2016-04-11$13.33$0.00154.4%44.3%17.5%0.0%0.0%-28.2%-33.4%42-5.4K-80.00162.66N/AN/A5050
2016-04-12$13.36$0.00156.2%44.8%17.3%0.0%0.0%-29.0%-31.1%35-5.2K-80.00160.85N/AN/A5050
2016-04-13$13.39$0.00158.1%45.3%16.9%0.0%0.0%37.3%-32.1%35-5.2K-80.00160.16N/AN/A5050
2016-04-14$13.58$0.00159.0%45.6%17.4%0.0%0.0%7.5%-19.0%47-5.2K-70.00160.72N/AN/A5050
2016-04-15$13.52$0.00161.7%46.4%16.3%0.0%0.0%16.0%-36.7%36-5.4K-80.00160.08N/AN/A5050
2016-04-18$13.53$0.00169.0%48.5%15.6%0.0%0.0%9.8%-40.6%36-5.4K-80.00161.62N/AN/A5050
2016-04-19$13.44$0.00172.4%49.4%15.8%0.0%0.0%9.0%-42.7%36-5.3K-80.00160.17N/AN/A5050
2016-04-20$13.23$0.00176.9%50.7%16.5%0.0%0.0%13.3%-45.8%36-5.2K-80.00162.51N/AN/A5050
2016-04-21$13.13$0.00180.7%51.8%16.7%0.0%0.0%25.8%-38.5%42-4.9K-80.00160.48N/AN/A5050
2016-04-22$13.39$0.00181.8%52.1%18.2%0.0%0.0%3.7%-34.4%44-5.1K-70.00158.26N/AN/A5050
2016-04-25$13.22$0.00143.0%41.0%18.7%0.0%0.0%-7.0%-49.8%38-5.0K-70.00160.97N/AN/A5050
2016-04-26$13.30$0.00181.0%51.9%16.7%0.0%0.0%9.7%-44.7%49-5.1K-70.00157.76N/AN/A5050
2016-04-27$13.25$0.00186.5%53.5%16.1%0.0%0.0%10.7%-47.7%49-5.1K-70.00160.13N/AN/A5050
2016-04-28$12.89$0.00141.4%0.0%18.7%0.0%0.0%12.7%-40.5%39-4.8K-70.00160.85N/AN/A5050
2016-04-29$12.60$0.00159.6%45.8%19.9%0.0%0.0%10.5%-44.8%41-4.8K-70.00162.28N/AN/A5050