CHFN Options History — December 2016

In December 2016, CHFN traded between $14.42 and $16.66. ATM implied volatility averaged 89.3%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 27.7%. IV traded above realized volatility by 67.9% (HV 20d: 21.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2016-12-08: Highest Volume — 50 contracts
2016-12-12: Largest IV spike — 433.2% change
2016-12-19: Highest IV Rank — 78.7%
2016-12-19: Largest Expected Move — 45.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.57	$14.42	$16.66	$14.64	$16.66
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	89.3%	5.1%	157.0%	117.8%	100.2%
Expected Move	27.7%	20.3%	45.0%	35.2%	28.7%
HV 20d	21.5%	19.1%	24.7%	19.1%	23.0%
HV 60d	18.3%	16.7%	19.5%	16.7%	19.2%
IV Rank	48.1%	35.2%	78.7%	61.3%	49.9%
IV Percentile	14.7%	7.2%	41.2%	15.8%	15.7%
Term Structure	39.2%	-69.9%	93.9%	-56.6%	53.7%
VWIV	24.3%	13.1%	61.0%	61.0%	21.8%
Skew 25d	7.3%	-20.3%	62.6%	-1.9%	12.8%
Skew 10d	3.5%	-43.5%	33.7%	-43.5%	33.7%
Call IV 25d	154.2%	77.6%	195.3%	160.8%	139.2%
Put IV 25d	161.5%	101.1%	192.7%	159.0%	151.9%
Bid-Ask Spread %	159.00	149.07	164.19	161.13	158.17
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	892	0	2.6K	0	1.4K
Net DEX	-39.3K	-73.3K	0	0	-73.3K
Net VEX	-63	-99	0	0	-84
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	9.524	0	50	0	10
Total OI	37.81	0	62	0	62

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2016-12-01	$14.64	$0.00	117.8%	0.0%	19.1%	0.0%	0.0%	-1.9%	-56.6%	0	0	0	161.13	N/A	N/A	0	0
2016-12-02	$14.42	$0.00	122.1%	0.0%	20.7%	0.0%	0.0%	2.5%	-69.9%	0	0	0	160.47	N/A	N/A	0	0
2016-12-05	$14.66	$0.00	122.7%	35.2%	19.9%	61.3%	0.0%	-1.5%	-41.4%	0	0	0	162.11	N/A	N/A	0	0
2016-12-06	$14.58	$0.00	101.1%	29.0%	20.1%	50.4%	0.0%	4.3%	3.8%	0	0	0	163.08	N/A	N/A	0	0
2016-12-07	$14.77	$0.00	5.1%	20.7%	20.0%	35.8%	0.0%	23.5%	43.7%	0	0	0	149.41	N/A	N/A	0	0
2016-12-08	$15.11	$0.00	8.4%	23.8%	20.3%	41.2%	61.0%	-14.6%	31.0%	0	0	0	151.36	N/A	N/A	50	0
2016-12-09	$15.41	$15.00	15.1%	20.3%	20.8%	35.2%	23.6%	-4.5%	64.9%	1.7K	-39.7K	-92	154.46	N/A	N/A	50	50
2016-12-12	$15.59	$15.00	80.7%	23.1%	19.3%	40.1%	16.5%	13.6%	66.6%	629	-48.7K	-97	160.69	N/A	N/A	50	50
2016-12-13	$15.54	$15.00	87.8%	25.2%	19.5%	43.7%	37.2%	14.6%	41.5%	975	-47.1K	-96	164.19	N/A	N/A	2	50
2016-12-14	$15.54	$15.00	77.7%	22.3%	19.6%	38.6%	15.1%	15.1%	64.0%	1.1K	-49.0K	-99	163.64	N/A	N/A	2	52
2016-12-15	$15.92	$15.00	79.3%	22.7%	20.6%	39.4%	13.1%	14.9%	71.9%	1.1K	-52.8K	-97	161.53	N/A	N/A	2	52
2016-12-16	$15.76	$15.00	83.0%	23.8%	21.4%	41.3%	19.8%	15.4%	65.5%	1.1K	-51.2K	-97	157.86	N/A	N/A	2	52
2016-12-19	$16.21	$15.00	157.0%	45.0%	22.1%	78.7%	0.0%	62.6%	78.7%	1.6K	-58.6K	-86	159.93	N/A	N/A	2	52
2016-12-20	$16.17	$15.00	83.0%	23.8%	22.2%	41.3%	16.1%	43.4%	74.1%	1.1K	-55.2K	-90	159.37	N/A	N/A	2	52
2016-12-21	$16.09	$15.00	88.9%	25.5%	22.2%	44.3%	16.8%	-14.5%	80.8%	1.0K	-54.4K	-89	158.18	N/A	N/A	2	52
2016-12-22	$15.75	$15.00	92.8%	26.6%	24.0%	46.2%	25.2%	-19.0%	72.8%	1.1K	-51.1K	-88	163.35	N/A	N/A	2	52
2016-12-23	$15.69	$15.00	94.8%	27.2%	23.7%	47.2%	26.9%	-20.3%	72.8%	1.1K	-50.5K	-86	163.35	N/A	N/A	2	52
2016-12-27	$15.82	$15.00	98.1%	28.1%	23.8%	48.9%	19.0%	-18.2%	93.9%	1.1K	-51.8K	-80	159.45	N/A	N/A	2	52
2016-12-28	$16.18	$15.00	107.3%	30.8%	24.7%	53.6%	29.8%	23.7%	67.1%	2.6K	-72.0K	-47	149.07	N/A	N/A	10	52
2016-12-29	$16.52	$15.00	153.2%	43.9%	23.6%	76.7%	22.2%	1.0%	-56.4%	1.1K	-69.3K	-91	158.26	N/A	N/A	10	62
2016-12-30	$16.66	$15.00	100.2%	28.7%	23.0%	49.9%	21.8%	12.8%	53.7%	1.4K	-73.3K	-84	158.17	N/A	N/A	10	62