CHFN Options History — March 2017

In March 2017, CHFN traded between $17.94 and $19.72. ATM implied volatility averaged 127.5%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 31.5%. IV traded above realized volatility by 98.4% (HV 20d: 29.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.67.

Notable Days

2017-03-01: Highest Volume — 68 contracts
2017-03-02: Largest IV spike — 82.8% change
2017-03-03: Highest IV Rank — 83.6%
2017-03-03: Largest Expected Move — 47.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.93	$17.94	$19.72	$19.47	$19.72
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	127.5%	32.4%	195.6%	88.0%	32.4%
Expected Move	31.5%	9.3%	47.8%	25.2%	9.3%
HV 20d	29.1%	23.6%	32.9%	28.0%	29.3%
HV 60d	24.0%	22.4%	25.3%	22.4%	25.3%
IV Rank	54.8%	15.9%	83.6%	43.8%	15.9%
IV Percentile	27.5%	6.1%	68.6%	14.2%	6.1%
Term Structure	-33.7%	-96.3%	74.9%	-13.0%	74.9%
VWIV	126.0%	34.3%	172.8%	34.3%	172.8%
Skew 25d	4.2%	-50.4%	34.5%	7.9%	-50.4%
Skew 10d	16.7%	-105.7%	57.1%	9.3%	-105.7%
Call IV 25d	138.4%	67.5%	178.3%	67.5%	86.7%
Put IV 25d	142.6%	36.2%	184.4%	75.4%	36.2%
Bid-Ask Spread %	159.63	150.42	163.43	150.42	157.65
Gamma HHI	0.61	0.51	0.80	0.79	0.58
Net GEX	604	92	2.1K	1.7K	414
Net DEX	-15.6K	-29.9K	-6.5K	-24.4K	-15.9K
Net VEX	-183	-225	-139	-224	-178
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.45	0.95	0.45	0.95
Total Volume	57.13	43	68	68	43
Total OI	50.478	42	57	57	42

Daily Data (23 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
2017-03-01	$19.47	$20.00	88.0%	25.2%	28.0%	43.8%	34.3%	7.9%	-13.0%	1.7K	-24.4K	-224	0.45	150.42	N/A	N/A	47	21	36	21
2017-03-02	$19.00	$20.00	160.8%	46.1%	29.1%	80.6%	170.8%	8.0%	-96.3%	474	-29.9K	-216	0.45	152.85	N/A	N/A	47	21	36	21
2017-03-03	$18.90	$20.00	166.8%	47.8%	28.6%	83.6%	172.8%	7.8%	-86.6%	487	-25.7K	-225	0.45	156.53	N/A	N/A	47	21	36	21
2017-03-06	$18.94	$0.00	167.3%	26.5%	28.6%	46.0%	0.0%	-8.5%	-42.4%	1.2K	-13.3K	-212	0.45	160.07	N/A	N/A	47	21	36	21
2017-03-07	$19.29	$0.00	181.2%	27.0%	29.0%	47.0%	0.0%	12.8%	-21.6%	2.1K	-15.9K	-211	0.45	159.17	N/A	N/A	47	21	36	21
2017-03-08	$19.63	$0.00	117.9%	16.3%	29.1%	28.1%	0.0%	10.1%	-13.2%	860	-28.1K	-187	0.45	156.13	N/A	N/A	47	21	36	21
2017-03-09	$18.91	$0.00	195.6%	18.7%	31.7%	32.3%	0.0%	34.5%	-6.6%	1.5K	-19.1K	-155	0.45	161.11	N/A	N/A	47	21	36	21
2017-03-10	$18.51	$0.00	110.7%	31.7%	32.5%	55.3%	0.0%	18.9%	-25.5%	151	-11.3K	-198	0.45	161.26	N/A	N/A	47	21	36	21
2017-03-13	$18.85	$0.00	102.6%	29.4%	32.9%	51.1%	0.0%	13.0%	-30.9%	162	-10.7K	-200	0.45	160.54	N/A	N/A	47	21	36	21
2017-03-14	$18.95	$0.00	158.9%	29.7%	32.9%	51.6%	0.0%	13.2%	-24.6%	479	-6.5K	-178	0.45	162.05	N/A	N/A	47	21	36	21
2017-03-15	$19.04	$0.00	105.0%	30.1%	32.8%	52.4%	0.0%	13.9%	-28.8%	294	-10.4K	-198	0.45	158.12	N/A	N/A	47	21	36	21
2017-03-16	$18.91	$0.00	104.1%	29.8%	31.9%	51.9%	0.0%	8.6%	-34.3%	509	-10.3K	-152	0.45	161.13	N/A	N/A	47	21	36	21
2017-03-17	$18.97	$0.00	105.4%	30.2%	25.4%	52.6%	0.0%	8.9%	-34.9%	593	-10.9K	-150	0.45	160.90	N/A	N/A	47	21	36	21
2017-03-20	$18.93	$0.00	110.3%	31.6%	23.6%	55.1%	0.0%	8.9%	-35.3%	367	-16.5K	-170	0.95	161.35	N/A	N/A	22	21	21	21
2017-03-21	$18.40	$0.00	122.0%	35.0%	25.1%	61.0%	0.0%	8.8%	-29.9%	115	-11.3K	-188	0.95	161.43	N/A	N/A	22	21	21	21
2017-03-22	$17.94	$0.00	125.9%	36.1%	26.2%	62.9%	0.0%	8.3%	-29.2%	585	-9.3K	-145	0.95	163.43	N/A	N/A	22	21	21	21
2017-03-23	$18.00	$0.00	130.4%	37.4%	26.3%	65.2%	0.0%	1.4%	-37.2%	92	-8.7K	-191	0.95	162.35	N/A	N/A	22	21	21	21
2017-03-24	$18.36	$0.00	132.4%	38.0%	27.1%	66.2%	0.0%	10.9%	-27.7%	99	-8.7K	-192	0.95	160.48	N/A	N/A	22	21	21	21
2017-03-27	$19.02	$0.00	124.5%	35.7%	30.4%	62.2%	0.0%	-17.9%	-31.5%	485	-14.3K	-165	0.95	160.59	N/A	N/A	22	21	21	21
2017-03-28	$19.19	$0.00	126.6%	36.3%	30.0%	63.3%	0.0%	-14.4%	-48.7%	154	-16.8K	-178	0.95	161.68	N/A	N/A	22	21	21	21
2017-03-29	$19.15	$0.00	131.9%	37.8%	29.9%	66.5%	0.0%	2.6%	-72.8%	315	-19.2K	-162	0.95	160.46	N/A	N/A	22	21	21	21
2017-03-30	$19.38	$0.00	131.6%	37.7%	28.8%	66.4%	0.0%	-10.5%	-78.4%	770	-20.7K	-139	0.95	161.74	N/A	N/A	22	21	21	21
2017-03-31	$19.72	$0.00	32.4%	9.3%	29.3%	15.9%	0.0%	-50.4%	74.9%	414	-15.9K	-178	0.95	157.65	N/A	N/A	22	21	21	21