CHFN Options History — February 2017 In February 2017, CHFN traded between $16.85 and $20.00. ATM implied volatility averaged 109.1%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 32.4%. IV traded above realized volatility by 87.3% (HV 20d: 21.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.02.
Notable Days 2017-02-28 : Highest Volume — 68 contracts2017-02-08 : Largest IV spike — 4125.5% change2017-02-01 : Highest IV Rank — 89.2%2017-02-01 : Largest Expected Move — 51.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.31 $16.85 $20.00 $16.85 $19.62 Max Pain $15.83 $15.00 $20.00 $15.00 $20.00 ATM IV 109.1% 2.8% 188.0% 177.9% 148.9% Expected Move 32.4% 8.0% 51.0% 51.0% 42.7% HV 20d 21.9% 14.9% 27.5% 14.9% 27.5% HV 60d 20.8% 19.3% 22.7% 19.6% 22.5% IV Rank 56.5% 13.4% 89.2% 89.2% 74.5% IV Percentile 25.3% 5.8% 78.6% 78.6% 39.8% Term Structure -40.5% -100.0% 53.8% -75.8% -66.4% VWIV 108.0% 85.3% 152.7% 85.3% 152.7% Skew 25d 20.8% -67.0% 117.4% 27.3% 14.0% Skew 10d 46.5% -106.1% 154.5% 52.1% 56.1% Call IV 25d 126.8% 32.9% 179.2% 131.7% 179.2% Put IV 25d 147.6% 27.7% 193.2% 159.1% 193.2% Bid-Ask Spread % 155.43 149.05 161.85 161.85 153.11 Gamma HHI 0.97 0.75 1.00 1.00 1.00 Net GEX 234 15 783 152 783 Net DEX -13.5K -37.1K -924 -11.6K -37.1K Net VEX -54 -142 -5 -21 -142 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.02 0.00 0.45 0.00 0.45 Total Volume 22.368 10 68 10 68 Total OI 12.263 1 36 10 36
Daily Data (19 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 2017-02-01 $16.85 $0.00 177.9% 51.0% 14.9% 89.2% 0.0% 27.3% -75.8% 152 -11.6K -21 0.00 161.85 N/A N/A 10 0 10 0 2017-02-02 $17.26 $15.00 181.8% 31.2% 17.1% 54.3% 85.3% 30.3% -49.6% 148 -12.4K -20 0.00 158.02 N/A N/A 10 0 10 0 2017-02-03 $17.29 $15.00 188.0% 31.7% 17.1% 55.1% 85.5% 30.7% -48.9% 148 -12.5K -20 0.00 157.73 N/A N/A 10 0 10 0 2017-02-06 $17.37 $15.00 2.8% 32.9% 17.0% 57.3% 86.7% 23.5% -51.9% 150 -12.6K -19 0.00 156.87 N/A N/A 11 0 10 0 2017-02-07 $17.31 $15.00 2.8% 33.4% 16.6% 58.2% 88.2% 24.0% -52.6% 164 -13.5K -24 0.00 156.70 N/A N/A 11 0 11 0 2017-02-08 $16.97 $15.00 119.2% 34.2% 18.2% 59.5% 91.8% 23.6% -53.6% 170 -13.0K -22 0.00 157.59 N/A N/A 11 0 11 0 2017-02-09 $17.33 $0.00 117.1% 33.6% 19.1% 58.5% 93.1% 19.1% -55.1% 15 -930 -5 0.00 157.88 N/A N/A 11 0 1 0 2017-02-10 $17.48 $0.00 119.5% 34.3% 19.2% 59.7% 91.5% 22.8% -56.3% 18 -1.0K -5 0.00 157.72 N/A N/A 11 0 1 0 2017-02-13 $17.57 $0.00 64.3% 18.4% 19.1% 31.9% 95.5% 2.5% -22.6% 24 -924 -5 0.00 159.21 N/A N/A 11 0 1 0 2017-02-14 $17.52 $0.00 27.8% 8.0% 19.2% 13.4% 0.0% -67.0% 36.6% 16 -950 -5 0.00 155.76 N/A N/A 11 0 1 0 2017-02-15 $18.00 $0.00 129.1% 37.0% 21.0% 64.6% 102.8% 36.4% -55.5% 19 -1.0K -5 0.00 155.77 N/A N/A 11 0 1 0 2017-02-16 $19.00 $0.00 68.3% 19.6% 27.1% 33.9% 97.1% 117.4% 35.2% 27 -1.1K -5 0.00 151.68 N/A N/A 32 0 1 0 2017-02-17 $19.48 $0.00 62.2% 17.8% 27.4% 30.8% 102.9% 19.8% 53.8% 411 -22.4K -125 0.00 150.85 N/A N/A 32 0 22 0 2017-02-21 $19.67 $0.00 126.6% 36.3% 27.2% 63.3% 118.6% 10.9% -45.2% 433 -22.6K -124 0.00 149.05 N/A N/A 32 0 22 0 2017-02-22 $19.63 $0.00 128.0% 36.7% 27.3% 64.0% 126.5% 12.4% -50.7% 490 -23.9K -128 0.00 154.56 N/A N/A 32 0 22 0 2017-02-23 $19.67 $0.00 130.7% 37.5% 27.2% 65.4% 145.3% 13.6% -100.0% 420 -21.4K -118 0.00 152.50 N/A N/A 32 0 21 0 2017-02-24 $19.89 $0.00 133.2% 38.2% 26.8% 66.6% 125.3% 10.8% -51.8% 435 -21.8K -118 0.00 153.34 N/A N/A 32 0 21 0 2017-02-27 $20.00 $0.00 144.9% 41.5% 26.5% 72.5% 146.7% 23.7% -58.7% 414 -24.9K -120 0.00 152.89 N/A N/A 47 0 21 0 2017-02-28 $19.62 $20.00 148.9% 42.7% 27.5% 74.5% 152.7% 14.0% -66.4% 783 -37.1K -142 0.45 153.11 N/A N/A 47 21 36 0
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