CHFN Options History — January 2017 In January 2017, CHFN traded between $16.46 and $17.18. ATM implied volatility averaged 146.2%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 38.5%. IV traded above realized volatility by 128.1% (HV 20d: 18.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2017-01-05 : Highest Volume — 20 contracts2017-01-24 : Largest IV spike — 113.5% change2017-01-04 : Highest IV Rank — 89.4%2017-01-04 : Largest Expected Move — 51.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.75 $16.46 $17.18 $16.79 $17.11 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 146.2% 68.8% 198.6% 172.9% 171.4% Expected Move 38.5% 19.7% 51.1% 49.6% 49.1% HV 20d 18.1% 13.9% 21.5% 21.5% 13.9% HV 60d 19.1% 18.6% 19.5% 19.1% 19.2% IV Rank 67.1% 34.1% 89.4% 86.7% 85.9% IV Percentile 33.9% 6.3% 74.6% 67.9% 68.3% Term Structure -41.4% -80.7% 66.9% -77.1% -69.1% VWIV 95.8% 41.6% 150.1% 150.1% 41.6% Skew 25d 9.1% -17.9% 29.8% 15.8% 28.8% Skew 10d 47.1% 21.3% 65.0% 53.8% 56.5% Call IV 25d 146.5% 111.2% 187.3% 138.1% 126.8% Put IV 25d 155.7% 124.7% 174.0% 153.9% 155.6% Bid-Ask Spread % 160.82 156.96 163.12 160.32 162.15 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 582 135 1.8K 991 148 Net DEX -71.6K -116.0K -10.9K -71.6K -12.0K Net VEX -34 -78 -20 -78 -21 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 15.5 10 20 10 10 Total OI 48.8 10 72 62 10
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-01-03 $16.79 $15.00 172.9% 49.6% 21.5% 86.7% 150.1% 15.8% -77.1% 991 -71.6K -78 0.00 160.32 N/A N/A 10 0 62 0 2017-01-04 $16.76 $15.00 178.4% 51.1% 21.5% 89.4% 41.6% 16.3% -80.7% 991 -71.3K -78 0.00 160.81 N/A N/A 10 0 62 0 2017-01-05 $16.81 $0.00 184.0% 31.7% 21.0% 55.2% 0.0% 16.2% -23.6% 990 -71.8K -74 0.00 160.39 N/A N/A 20 0 62 0 2017-01-06 $16.93 $0.00 178.5% 26.6% 20.9% 46.3% 0.0% 11.2% -18.3% 1.1K -114.2K -37 0.00 159.26 N/A N/A 20 0 72 0 2017-01-09 $16.77 $0.00 198.6% 33.4% 20.8% 58.1% 0.0% 6.9% -28.9% 934 -114.5K -31 0.00 159.32 N/A N/A 20 0 72 0 2017-01-10 $16.87 $0.00 117.3% 33.6% 20.1% 58.6% 0.0% 7.9% -27.2% 583 -116.0K -28 0.00 162.64 N/A N/A 20 0 72 0 2017-01-11 $16.69 $0.00 117.5% 33.7% 20.6% 58.7% 0.0% 14.2% -36.7% 1.8K -109.8K -42 0.00 162.13 N/A N/A 20 0 72 0 2017-01-12 $16.64 $0.00 119.2% 34.2% 20.6% 59.6% 0.0% -11.9% -32.6% 1.8K -109.2K -42 0.00 163.12 N/A N/A 20 0 72 0 2017-01-13 $16.62 $0.00 121.0% 34.7% 20.6% 60.5% 0.0% -12.5% -40.1% 509 -114.6K -25 0.00 160.40 N/A N/A 20 0 72 0 2017-01-17 $16.73 $0.00 128.2% 36.8% 19.2% 64.1% 0.0% -10.8% -43.6% 359 -115.5K -23 0.00 160.75 N/A N/A 20 0 72 0 2017-01-18 $16.69 $0.00 130.5% 37.4% 18.7% 65.2% 0.0% -11.8% -39.9% 195 -114.7K -24 0.00 161.01 N/A N/A 20 0 72 0 2017-01-19 $16.57 $0.00 133.1% 38.2% 16.4% 66.6% 0.0% -14.9% -42.0% 147 -113.9K -24 0.00 160.20 N/A N/A 20 0 72 0 2017-01-20 $16.47 $0.00 135.9% 39.0% 16.6% 68.0% 0.0% -17.9% -51.5% 135 -114.0K -21 0.00 161.39 N/A N/A 20 0 72 0 2017-01-23 $16.46 $0.00 68.8% 19.7% 16.4% 34.1% 0.0% 13.5% 66.9% 177 -11.0K -23 0.00 156.96 N/A N/A 10 0 10 0 2017-01-24 $16.46 $0.00 146.8% 42.1% 14.1% 73.5% 0.0% 24.4% -52.4% 146 -10.9K -22 0.00 160.60 N/A N/A 10 0 10 0 2017-01-25 $16.48 $0.00 149.9% 43.0% 14.0% 75.0% 0.0% 24.5% -54.7% 147 -11.0K -22 0.00 158.49 N/A N/A 10 0 10 0 2017-01-26 $16.86 $0.00 151.6% 43.5% 15.6% 75.9% 0.0% 26.0% -54.7% 150 -11.6K -22 0.00 161.12 N/A N/A 10 0 10 0 2017-01-27 $17.18 $0.00 153.9% 44.1% 15.1% 77.1% 0.0% 27.1% -55.2% 153 -12.1K -22 0.00 162.65 N/A N/A 10 0 10 0 2017-01-30 $17.02 $0.00 166.9% 47.9% 14.1% 83.7% 0.0% 29.8% -67.6% 143 -12.3K -20 0.00 162.69 N/A N/A 10 0 10 0 2017-01-31 $17.11 $0.00 171.4% 49.1% 13.9% 85.9% 0.0% 28.8% -69.1% 148 -12.0K -21 0.00 162.15 N/A N/A 10 0 10 0
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