CION Options History — December 2022

In December 2022, CION traded between $9.73 and $10.89. ATM implied volatility averaged 47.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 11.0% (HV 20d: 36.2%). Max pain ranged from $9.73 to $12.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2022-12-12: Highest Volume — 226 contracts
2022-12-09: Largest IV spike — 153.8% change
2022-12-12: Highest IV Rank — 30.9%
2022-12-29: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.25	$9.73	$10.89	$10.29	$9.73
Max Pain	$10.24	$9.73	$12.50	$12.50	$9.73
ATM IV	47.2%	25.7%	87.9%	28.5%	64.6%
Expected Move	11.5%	7.4%	20.2%	8.2%	18.5%
HV 20d	36.2%	30.3%	39.8%	39.6%	38.4%
HV 60d	42.6%	36.5%	45.1%	44.2%	36.5%
IV Rank	11.1%	0.0%	30.9%	0.0%	19.3%
IV Percentile	28.2%	0.0%	77.3%	0.0%	51.7%
Term Structure	2.7%	-35.6%	34.5%	14.7%	-27.3%
VWIV	38.2%	22.8%	49.1%	22.8%	44.9%
Skew 25d	17.7%	-9.3%	36.0%	-0.4%	5.1%
Skew 10d	40.9%	-8.6%	97.1%	-8.6%	22.1%
Call IV 25d	38.9%	26.6%	83.6%	40.6%	83.6%
Put IV 25d	56.6%	33.5%	88.7%	40.2%	88.7%
Bid-Ask Spread %	113.15	89.06	129.19	106.93	123.05
Gamma HHI	0.69	0.44	0.93	0.93	0.49
Net GEX	-25.1K	-89.2K	5.3K	-88.7K	2.5K
Net DEX	84.8K	-110.8K	458.5K	270.4K	-78.2K
Net VEX	-1.1K	-1.5K	0	-1.4K	-994
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.00	10.00	0.00	0.00
Total Volume	21.143	0	226	0	0
Total OI	1,493.714	0	2,241	2,013	797

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-12-01	$10.29	$12.50	28.5%	8.2%	39.6%	0.0%	0.0%	-0.4%	14.7%	-88.7K	270.4K	-1.4K	0.00	106.93	0	0	287	1,726
2022-12-02	$10.24	$12.50	25.7%	7.4%	38.3%	0.0%	22.8%	36.0%	34.5%	-66.3K	282.1K	-1.4K	0.00	97.13	3	0	287	1,726
2022-12-05	$10.09	$10.00	47.4%	12.8%	36.9%	10.8%	0.0%	22.0%	-7.2%	-47.3K	265.9K	-1.2K	0.00	104.02	1	0	289	1,726
2022-12-06	$10.02	$10.00	61.9%	12.5%	36.5%	18.0%	49.1%	14.1%	-4.2%	-25.4K	438.0K	-1.5K	0.00	119.62	1	0	289	1,726
2022-12-07	$10.00	$10.00	37.9%	9.5%	35.6%	6.1%	33.2%	17.0%	7.0%	-68.1K	458.5K	-1.2K	10.00	103.31	1	10	288	1,726
2022-12-08	$10.13	$10.00	29.9%	9.8%	35.4%	2.1%	0.0%	28.2%	13.4%	-89.2K	349.8K	-1.3K	1.11	89.06	18	20	288	1,736
2022-12-09	$10.20	$10.00	75.8%	12.9%	33.5%	24.9%	35.7%	19.0%	-10.9%	-37.1K	353.9K	-1.4K	0.00	112.69	0	6	303	1,756
2022-12-12	$10.89	$10.00	87.9%	9.7%	31.6%	30.9%	41.2%	-9.3%	5.1%	-27.3K	40.2K	-952	0.28	112.78	177	49	303	1,762
2022-12-13	$10.80	$10.00	85.5%	11.8%	30.3%	29.7%	38.7%	11.5%	0.0%	-26.5K	-25.3K	-1.3K	0.00	115.56	0	21	480	1,730
2022-12-14	$10.81	$10.00	28.0%	8.0%	30.3%	1.2%	0.0%	6.0%	20.8%	-24.6K	64.7K	-1.1K	0.00	124.38	10	0	480	1,751
2022-12-15	$10.44	$10.00	31.9%	9.1%	32.5%	3.1%	0.0%	29.3%	-19.1%	-48.7K	113.7K	-1.3K	0.00	109.45	0	0	490	1,751
2022-12-16	$10.27	$10.00	37.5%	10.7%	33.0%	5.9%	0.0%	23.8%	9.3%	5.3K	-101.6K	-831	0.00	116.00	0	10	490	1,751
2022-12-19	$9.93	$10.00	47.2%	13.5%	35.1%	10.7%	44.1%	31.9%	4.7%	2.5K	-65.5K	-1.0K	4.10	113.41	10	41	453	268
2022-12-20	$10.34	$10.00	34.5%	9.9%	38.1%	4.4%	34.4%	8.2%	12.5%	2.0K	-110.8K	-1.0K	0.00	113.04	5	0	463	308
2022-12-21	$10.50	$10.00	32.4%	9.3%	38.5%	3.4%	0.0%	22.9%	14.9%	1.5K	-98.2K	-1.0K	0.04	129.19	47	2	462	308
2022-12-22	$10.29	$10.00	47.9%	13.7%	39.1%	11.0%	44.9%	29.1%	2.8%	2.6K	-98.2K	-1.1K	0.00	119.90	0	2	479	308
2022-12-23	$10.30	$10.00	37.0%	10.6%	39.0%	5.6%	0.0%	18.5%	10.4%	2.4K	-104.5K	-1.1K	0.00	121.07	10	0	479	308
2022-12-27	$10.27	$10.00	37.9%	10.9%	38.9%	6.1%	0.0%	24.1%	5.6%	2.5K	-87.0K	-938	0.00	108.86	0	0	489	308
2022-12-28	$10.04	$10.00	40.9%	11.7%	39.7%	7.6%	0.0%	29.0%	4.4%	1.9K	-87.9K	-1.1K	0.00	117.07	0	0	489	308
2022-12-29	$9.73	$0.00	70.5%	20.2%	39.8%	22.2%	0.0%	5.4%	-35.6%	0	0	0	0.00	119.66	0	0	0	0
2022-12-30	$9.73	$9.73	64.6%	18.5%	38.4%	19.3%	0.0%	5.1%	-27.3%	2.5K	-78.2K	-994	0.00	123.05	0	0	489	308