CION Options History — November 2022

In November 2022, CION traded between $9.16 and $10.76. ATM implied volatility averaged 55.6%. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 19.7% (HV 20d: 35.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 14.84.

Notable Days

  • 2022-11-17: Highest Volume — 1,186 contracts
  • 2022-11-16: Largest IV spike — 49.9% change
  • 2022-11-01: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.04$9.16$10.76$9.43$10.02
Max Pain$10.12$10.00$12.50$10.00$12.50
ATM IV55.6%30.8%100.1%82.7%43.4%
Expected Move14.6%8.8%23.7%23.7%12.4%
HV 20d35.9%31.2%39.2%32.9%38.9%
HV 60d45.6%43.6%47.5%44.8%44.1%
Term Structure-11.0%-56.7%17.0%-21.7%-29.9%
VWIV47.2%22.0%78.6%78.6%22.0%
Skew 25d26.6%-30.9%127.6%4.5%23.4%
Skew 10d44.6%-55.9%165.3%14.1%41.0%
Call IV 25d54.5%25.0%117.1%65.1%32.5%
Put IV 25d81.1%44.9%207.8%69.6%55.9%
Bid-Ask Spread %120.0379.85145.46124.82137.95
Gamma HHI0.730.500.930.510.85
Net GEX-35.4K-95.5K-17.6K-20.6K-42.9K
Net DEX362.9K37.9K561.9K555.9K427.1K
Net VEX-1.9K-2.5K-1.3K-2.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.840.2537.0016.2737.00
Total Volume905.28601,1861,08838
Total OI2,0451,9782,0972,0861,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$9.43$10.0082.7%23.7%32.9%0.0%78.6%4.5%-21.7%-20.6K555.9K-2.4K16.27124.82631,0254191,667
2022-11-02$9.39$10.0079.4%22.8%31.8%0.0%70.8%9.7%-12.6%-19.8K561.9K-2.4K16.27132.25631,0254181,667
2022-11-03$9.16$10.0079.2%19.9%33.2%0.0%74.9%9.1%-5.4%-17.6K512.8K-2.5K16.53137.44621,0254181,667
2022-11-04$9.52$10.00100.1%17.5%32.1%0.0%59.9%16.0%-30.8%-20.2K530.2K-2.2K16.53124.59621,0254181,667
2022-11-07$9.71$10.0091.3%18.0%32.0%0.0%62.5%-30.9%-20.8%-17.9K365.0K-2.4K16.27121.20631,0254181,667
2022-11-08$9.52$10.0079.5%16.0%32.9%0.0%66.1%127.6%-2.3%-20.2K532.3K-2.0K21.81119.89471,0254191,667
2022-11-09$9.68$10.0047.5%13.6%32.6%0.0%53.7%8.4%12.1%-28.0K524.6K-2.3K21.81123.05471,0254201,667
2022-11-10$10.01$10.0043.0%12.3%31.2%0.0%43.3%111.3%-6.4%-26.6K394.6K-2.2K22.02123.58471,0354201,667
2022-11-11$10.76$10.0030.8%8.8%36.3%0.0%36.4%31.2%16.2%-34.5K37.9K-1.6K6.95111.901491,0354201,677
2022-11-14$10.49$10.0046.1%13.2%38.5%0.0%51.0%6.0%8.9%-27.3K277.2K-1.9K6.95119.721491,0353421,677
2022-11-15$10.47$10.0034.8%10.0%38.6%0.0%38.2%10.8%17.0%-37.2K243.5K-1.9K6.9591.941491,0353421,677
2022-11-16$10.32$10.0052.2%15.0%38.8%0.0%51.4%7.0%-11.8%-22.5K283.9K-1.8K6.95103.261491,0353421,677
2022-11-17$10.25$10.0034.9%10.0%39.1%0.0%35.0%11.6%6.5%-48.4K332.2K-1.7K6.9179.851501,0363421,677
2022-11-18$10.23$10.0050.7%14.5%39.2%0.0%46.8%26.0%-25.4%-26.5K322.9K-1.7K16.44117.91631,0363531,678
2022-11-21$10.21$10.0040.4%11.6%39.0%0.0%40.9%34.4%-4.0%-41.9K377.0K-1.8K16.19117.26641,0363241,678
2022-11-22$10.25$10.0043.5%12.5%37.5%0.0%29.1%7.9%-4.6%-74.6K301.7K-1.6K22.04115.04471,0363301,678
2022-11-23$10.35$10.0042.4%12.2%37.2%0.0%35.6%22.0%-12.1%-39.9K258.6K-1.7K22.26123.30471,0463301,678
2022-11-25$10.41$10.0039.4%11.3%37.2%0.0%0.0%28.0%-3.8%-95.5K123.9K-1.3K0.00114.73003301,688
2022-11-28$10.32$10.0054.4%15.6%37.2%0.0%23.4%49.3%-56.7%-37.8K336.1K-1.4K0.25145.46413301,688
2022-11-29$10.33$10.0051.5%14.8%36.8%0.0%24.5%45.2%-43.3%-43.4K321.7K-1.4K0.40135.42523341,689
2022-11-30$10.02$12.5043.4%12.4%38.9%0.0%22.0%23.4%-29.9%-42.9K427.1K-1.4K37.00137.951372871,691