CHFN Options History — June 2016

In June 2016, CHFN traded between $12.85 and $13.23. ATM implied volatility averaged 155.4%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 46.0%. IV traded above realized volatility by 144.7% (HV 20d: 10.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2016-06-01: Highest Volume — 5 contracts
  • 2016-06-28: Largest IV spike — 6766.8% change
  • 2016-06-23: Highest IV Rank — 98.6%
  • 2016-06-23: Largest Expected Move — 56.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$12.85$13.23$13.23$13.23
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV155.4%2.0%196.6%146.1%137.0%
Expected Move46.0%0.6%56.4%43.6%0.6%
HV 20d10.7%9.0%12.1%11.1%11.7%
HV 60d16.4%15.6%17.2%17.2%16.2%
IV Rank72.7%0.0%98.6%95.8%0.0%
IV Percentile72.4%0.0%98.4%95.2%0.0%
Term Structure-65.8%-105.9%-47.0%-50.6%-57.4%
Skew 25d-7.4%-106.5%15.9%-29.1%-28.5%
Skew 10d7.8%-89.7%26.6%11.1%23.5%
Call IV 25d157.0%112.3%198.4%187.0%175.7%
Put IV 25d149.6%39.3%197.5%157.9%147.3%
Bid-Ask Spread %163.06160.42186.59186.59160.52
Gamma HHI1.001.001.001.001.00
Net GEX00220
Net DEX-3.9K-6.6K0-6.6K0
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.9550550
Total OI2.9550550

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$13.23$10.00146.1%0.0%11.1%0.0%0.0%-29.1%0.0%2-6.6K00.00186.59N/AN/A5050
2016-06-02$13.15$0.00152.2%43.6%11.5%0.0%0.0%-40.5%-50.6%2-6.6K00.00160.44N/AN/A5050
2016-06-03$13.05$0.00110.6%31.7%12.1%0.0%0.0%-106.5%-83.5%2-6.5K00.00160.42N/AN/A5050
2016-06-06$13.13$0.00155.9%44.7%11.7%0.0%0.0%10.3%-47.0%0-6.6K00.00161.29N/AN/A5050
2016-06-07$13.06$0.00158.4%45.4%12.0%0.0%0.0%13.9%-54.2%0-6.5K00.00161.31N/AN/A5050
2016-06-08$13.06$0.00160.5%46.0%11.8%0.0%0.0%12.6%-53.5%0-6.5K00.00161.05N/AN/A5050
2016-06-09$13.04$0.00166.6%47.8%11.9%0.0%0.0%11.3%-59.9%0-6.5K00.00161.30N/AN/A5050
2016-06-10$13.05$0.00165.1%47.3%11.8%0.0%0.0%-73.0%-105.9%0-6.5K00.00160.78N/AN/A5050
2016-06-13$13.08$0.00172.5%49.4%11.7%0.0%0.0%11.7%-67.3%0-6.5K00.00164.41N/AN/A5050
2016-06-14$13.18$0.00178.7%51.2%11.9%0.0%0.0%9.9%-75.9%0-6.6K00.00161.58N/AN/A5050
2016-06-15$13.17$0.00177.4%50.9%11.3%0.0%0.0%10.5%-62.3%0-6.6K00.00161.01N/AN/A5050
2016-06-16$13.22$0.00180.1%51.6%10.7%0.0%0.0%15.9%-70.8%0-6.6K00.00161.01N/AN/A5050
2016-06-17$13.06$0.00184.5%52.9%11.0%0.0%0.0%12.0%-76.6%0-6.5K00.00165.40N/AN/A5050
2016-06-20$13.07$0.00183.0%52.5%9.4%0.0%0.0%14.8%-64.3%0000.00160.74N/AN/A0000
2016-06-21$12.93$0.00191.0%54.8%9.1%95.8%0.0%14.0%-61.2%0000.00162.75N/AN/A0000
2016-06-22$13.01$0.00192.6%55.2%9.0%96.6%0.0%13.1%-61.3%0000.00163.01N/AN/A0000
2016-06-23$13.02$0.00196.6%56.4%9.0%98.6%0.0%15.0%-66.7%0000.00161.93N/AN/A0000
2016-06-24$12.90$0.00131.4%0.0%9.1%0.0%0.0%14.7%-57.4%0000.00160.76N/AN/A0000
2016-06-27$12.86$0.002.0%0.6%9.0%0.0%0.0%14.8%0.0%0000.00162.69N/AN/A0000
2016-06-28$12.85$0.00136.7%0.0%9.0%0.0%0.0%-37.6%0.0%0000.00164.51N/AN/A0000
2016-06-29$13.02$0.00140.8%0.0%10.3%0.0%0.0%-42.3%0.0%0000.00163.84N/AN/A0000
2016-06-30$13.23$0.00137.0%0.0%11.7%0.0%0.0%-28.5%0.0%0000.00160.52N/AN/A0000