CHFN Options History — September 2017

In September 2017, CHFN traded between $16.25 and $18.58. ATM implied volatility averaged 118.6%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 34.0%. IV traded above realized volatility by 96.0% (HV 20d: 22.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.66.

Notable Days

2017-09-06: Highest Volume — 73 contracts
2017-09-07: Largest IV spike — 74.7% change
2017-09-27: Highest IV Rank — 74.6%
2017-09-27: Largest Expected Move — 41.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.24	$16.25	$18.58	$16.25	$18.53
Max Pain	$17.64	$17.50	$20.00	$20.00	$17.50
ATM IV	118.6%	55.8%	144.7%	101.0%	92.3%
Expected Move	34.0%	16.0%	41.5%	28.9%	26.5%
HV 20d	22.6%	19.2%	27.7%	21.5%	26.7%
HV 60d	24.6%	23.0%	26.7%	25.3%	26.4%
IV Rank	61.0%	28.3%	74.6%	51.8%	46.8%
IV Percentile	48.0%	6.1%	72.2%	26.0%	19.3%
Term Structure	-34.5%	-74.6%	70.7%	-74.6%	-46.6%
VWIV	120.0%	23.6%	143.3%	23.6%	131.6%
Skew 25d	-79.6%	-167.1%	88.8%	88.8%	-143.1%
Skew 10d	-47.8%	-151.4%	20.6%	20.6%	-151.4%
Call IV 25d	152.4%	38.4%	187.0%	38.4%	178.9%
Put IV 25d	72.8%	17.6%	175.9%	127.2%	35.8%
Bid-Ask Spread %	157.75	143.69	161.92	143.69	155.85
Gamma HHI	0.57	0.41	0.68	0.62	0.54
Net GEX	2.7K	1.5K	4.1K	2.1K	4.1K
Net DEX	-77.9K	-109.8K	-3.4K	-11.6K	-104.6K
Net VEX	-434	-505	-203	-297	-429
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.22	1.42	1.42	0.22
Total Volume	49.3	27	73	63	28
Total OI	186.5	155	221	211	155

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
2017-09-01	$16.25	$20.00	101.0%	28.9%	21.5%	51.8%	23.6%	88.8%	-74.6%	2.1K	-11.6K	-297	1.42	143.69	N/A	N/A	26	37	176	35
2017-09-05	$16.35	$0.00	55.8%	16.0%	21.8%	28.3%	0.0%	20.1%	70.7%	2.0K	-41.1K	-413	1.42	158.90	N/A	N/A	26	37	176	35
2017-09-06	$16.54	$0.00	66.4%	19.0%	22.4%	33.9%	51.1%	60.5%	-19.7%	1.5K	-3.4K	-203	1.03	154.10	N/A	N/A	36	37	176	35
2017-09-07	$16.31	$17.50	116.0%	33.3%	22.8%	59.7%	139.5%	18.1%	-58.8%	2.1K	-81.1K	-505	1.03	156.34	N/A	N/A	36	37	186	35
2017-09-08	$16.39	$17.50	115.9%	33.2%	20.4%	59.6%	115.9%	6.9%	-26.5%	1.5K	-73.6K	-486	1.03	161.12	N/A	N/A	36	37	186	35
2017-09-11	$16.91	$17.50	115.5%	33.1%	22.0%	59.4%	116.2%	-55.9%	-24.0%	2.2K	-77.7K	-479	1.03	161.92	N/A	N/A	36	37	186	35
2017-09-12	$16.72	$17.50	118.3%	33.9%	22.1%	60.8%	118.3%	-124.5%	-27.5%	2.3K	-73.1K	-476	1.03	160.21	N/A	N/A	36	37	186	35
2017-09-13	$16.77	$17.50	119.5%	34.3%	21.9%	61.5%	119.6%	-130.1%	-28.6%	2.3K	-74.4K	-473	1.03	157.56	N/A	N/A	36	37	186	35
2017-09-14	$16.91	$17.50	122.6%	35.2%	20.3%	63.1%	132.4%	-2.4%	-39.6%	2.2K	-81.1K	-480	1.03	161.55	N/A	N/A	36	37	186	35
2017-09-15	$16.92	$17.50	123.2%	35.3%	20.1%	63.4%	125.6%	7.4%	-31.9%	2.2K	-82.3K	-480	1.03	161.24	N/A	N/A	36	37	186	35
2017-09-18	$17.11	$17.50	127.9%	36.7%	19.2%	65.8%	128.8%	-137.5%	-33.6%	2.7K	-109.8K	-489	0.23	158.35	N/A	N/A	22	5	152	3
2017-09-19	$17.38	$17.50	128.4%	36.8%	19.5%	66.1%	129.3%	-140.5%	-36.5%	2.4K	-104.6K	-476	0.23	158.94	N/A	N/A	22	5	152	3
2017-09-20	$17.90	$17.50	129.1%	37.0%	21.8%	66.5%	127.9%	-147.5%	-35.4%	3.6K	-69.9K	-378	0.23	157.97	N/A	N/A	22	5	152	3
2017-09-21	$17.65	$17.50	132.0%	37.8%	21.8%	68.0%	130.6%	-150.1%	-48.8%	3.2K	-102.9K	-479	0.23	157.32	N/A	N/A	22	5	152	3
2017-09-22	$17.32	$17.50	135.2%	38.8%	22.3%	69.6%	137.1%	-152.9%	-40.2%	3.4K	-89.0K	-454	0.22	159.69	N/A	N/A	23	5	152	3
2017-09-25	$17.97	$17.50	140.4%	40.3%	25.1%	72.4%	138.3%	-143.5%	-47.8%	3.7K	-75.1K	-381	0.22	160.51	N/A	N/A	23	5	152	3
2017-09-26	$17.89	$17.50	142.9%	41.0%	25.0%	73.6%	141.3%	-162.7%	-46.5%	3.6K	-95.5K	-453	0.22	158.10	N/A	N/A	23	5	152	3
2017-09-27	$18.58	$17.50	144.7%	41.5%	27.7%	74.6%	143.3%	-167.1%	-47.1%	4.1K	-101.4K	-443	0.22	155.62	N/A	N/A	23	5	152	3
2017-09-28	$18.44	$17.50	144.5%	41.4%	27.0%	74.2%	130.1%	-136.4%	-46.1%	3.6K	-106.3K	-411	0.22	155.94	N/A	N/A	23	5	152	3
2017-09-29	$18.53	$17.50	92.3%	26.5%	26.7%	46.8%	131.6%	-143.1%	-46.6%	4.1K	-104.6K	-429	0.22	155.85	N/A	N/A	23	5	152	3