CION Options History — August 2022

In August 2022, CION traded between $9.22 and $10.83. ATM implied volatility averaged 63.9%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 28.6% (HV 20d: 35.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 2.20.

Notable Days

  • 2022-08-04: Highest Volume — 552 contracts
  • 2022-08-24: Largest IV spike — 76.0% change
  • 2022-08-19: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.03$9.22$10.83$9.30$9.70
Max Pain$8.48$7.50$10.00$10.00$10.00
ATM IV63.9%31.8%116.1%53.0%42.7%
Expected Move17.4%9.1%28.6%15.2%12.2%
HV 20d35.3%27.8%50.7%50.7%37.1%
HV 60d49.5%47.6%51.3%51.3%48.8%
Term Structure0.9%-43.2%87.8%37.1%3.9%
VWIV72.3%34.3%145.7%145.7%44.5%
Skew 25d42.1%-49.4%164.9%58.3%14.5%
Skew 10d55.3%-6.5%198.5%51.1%16.5%
Call IV 25d70.7%21.7%163.7%75.0%31.0%
Put IV 25d112.8%45.6%240.7%133.2%45.6%
Bid-Ask Spread %120.1494.38163.88116.1499.82
Gamma HHI0.470.350.590.590.48
Net GEX-2.6K-7.4K1.5K-7.4K-2.3K
Net DEX-35.3K-165.2K114.5K100.8K-21.9K
Net VEX-1.6K-2.2K-843-1.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.004.083.831.89
Total Volume172.4350552551162
Total OI1,214.0431,0441,3401,2381,133

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$9.30$10.0053.0%15.2%50.7%0.0%145.7%58.3%37.1%-7.4K100.8K-1.7K3.83116.14114437331907
2022-08-02$9.22$10.0078.8%22.6%50.4%0.0%80.6%105.8%-28.5%-3.9K114.5K-2.2K3.83123.10114437336934
2022-08-03$9.28$10.0081.3%23.3%45.5%0.0%123.8%36.4%18.0%-5.2K111.3K-2.0K3.83125.65114437337934
2022-08-04$9.43$7.5085.0%20.2%39.2%0.0%57.3%104.6%-8.2%-1.9K114.1K-2.2K3.80126.31115437337934
2022-08-05$9.52$7.50116.1%25.9%36.5%0.0%64.3%21.5%-43.2%-4.4K76.1K-2.1K4.01116.90109437337934
2022-08-08$9.55$7.5094.4%21.9%32.6%0.0%66.7%151.1%-32.0%-2.9K56.9K-2.1K4.08122.28106432341934
2022-08-09$9.37$7.5071.6%16.3%33.6%0.0%61.4%22.7%-8.2%-4.3K93.0K-2.1K0.00114.03270342939
2022-08-10$9.61$7.5049.0%14.1%34.2%0.0%0.0%79.7%3.5%-4.0K85.0K-1.8K0.00100.4700369939
2022-08-11$9.86$7.5041.6%11.9%34.7%0.0%0.0%44.2%-12.1%-1.3K-30.2K-1.9K0.00114.7600369939
2022-08-12$10.26$7.5035.3%10.1%36.2%0.0%89.7%-49.4%21.4%-4.0K-22.5K-1.5K0.00113.41020369939
2022-08-15$10.25$7.5042.9%12.3%36.4%0.0%0.0%21.3%14.2%-2.5K-108.5K-1.1K0.00119.02230369949
2022-08-16$10.35$7.5048.7%14.0%35.8%0.0%0.0%21.7%5.7%-2.4K-101.3K-1.7K0.0097.5900391949
2022-08-17$10.21$7.5075.1%21.5%34.3%0.0%0.0%11.3%-28.8%-3.4K-116.1K-1.4K0.00144.040256391949
2022-08-18$10.51$7.5089.4%25.6%34.5%0.0%64.4%164.9%62.1%187-126.5K-1.7K3.33163.88310391816
2022-08-19$10.50$7.5099.7%28.6%34.6%0.0%0.0%16.3%-1.8%-1.7K-149.8K-1.5K0.00160.54065394816
2022-08-22$10.28$7.5072.0%20.6%32.5%0.0%0.0%24.8%87.8%-1.3K-117.0K-1.0K0.00133.3609352692
2022-08-23$10.52$7.5033.7%9.7%28.4%0.0%34.3%22.5%7.2%-2.2K-121.5K-1.1K3.0094.3839352701
2022-08-24$10.82$10.0059.3%17.0%27.8%0.0%0.0%-1.4%12.4%791-160.2K-1.1K0.00111.71430345710
2022-08-25$10.83$10.0063.1%18.1%28.0%0.0%57.7%16.9%-32.9%1.5K-165.2K-8431.33134.42912378710
2022-08-26$10.61$10.0031.8%9.1%28.8%0.0%59.7%-3.3%-11.4%-2.9K-124.2K-1.2K0.00100.4510387722
2022-08-29$10.49$10.0039.1%11.2%29.2%0.0%0.0%30.2%-8.9%-921-109.6K-1.1K0.00110.5970388722
2022-08-30$10.23$10.0065.6%18.8%30.8%0.0%61.6%54.3%-36.5%-2.5K-89.0K-1.3K0.00120.37018393722
2022-08-31$9.70$10.0042.7%12.2%37.1%0.0%44.5%14.5%3.9%-2.3K-21.9K-1.5K1.8999.8256106393740