CION Options History — February 2023

In February 2023, CION traded between $10.77 and $11.23. ATM implied volatility averaged 50.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 20.2% (HV 20d: 30.0%). Max pain ranged from $9.73 to $9.73. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.52.

Notable Days

2023-02-21: Highest Volume — 159 contracts
2023-02-27: Largest IV spike — 84.6% change
2023-02-01: Highest IV Rank — 22.7%
2023-02-01: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.01	$10.77	$11.23	$11.09	$10.95
Max Pain	$9.73	$9.73	$9.73	$9.73	$9.73
ATM IV	50.2%	31.7%	71.4%	71.4%	41.6%
Expected Move	13.5%	7.6%	20.5%	20.5%	11.9%
HV 20d	30.0%	22.9%	33.0%	33.0%	22.9%
HV 60d	33.1%	31.5%	36.7%	36.7%	31.5%
IV Rank	12.2%	3.0%	22.7%	22.7%	7.9%
IV Percentile	36.1%	3.8%	63.3%	63.3%	19.6%
Term Structure	9.3%	-37.4%	105.6%	-0.9%	2.7%
VWIV	25.6%	22.6%	29.5%	29.5%	24.8%
Skew 25d	24.5%	4.0%	58.6%	18.6%	16.0%
Skew 10d	49.0%	-20.4%	224.5%	-9.0%	20.5%
Call IV 25d	28.4%	18.2%	41.4%	27.0%	27.1%
Put IV 25d	52.9%	31.9%	88.0%	45.6%	43.1%
Bid-Ask Spread %	106.80	75.71	134.58	134.58	81.61
Gamma HHI	0.63	0.42	0.85	0.69	0.51
Net GEX	7.2K	4.8K	9.3K	7.3K	4.9K
Net DEX	-187.7K	-222.8K	-138.8K	-189.2K	-167.3K
Net VEX	-764	-874	-606	-863	-866
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	2.20	0.00	1.03
Total Volume	30.632	0	159	10	59
Total OI	779.421	747	813	767	788

Daily Data (19 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
2023-02-01	$11.09	$9.73	71.4%	20.5%	33.0%	22.7%	0.0%	18.6%	-0.9%	7.3K	-189.2K	-863	0.00	134.58	0	10	446	321
2023-02-02	$11.16	$9.73	51.9%	12.7%	32.9%	13.0%	0.0%	32.7%	-1.8%	9.3K	-207.3K	-651	0.00	112.20	3	0	446	311
2023-02-03	$11.07	$9.73	54.5%	7.6%	32.9%	14.3%	0.0%	13.0%	4.9%	6.6K	-204.4K	-862	2.20	112.13	5	11	449	311
2023-02-06	$11.21	$9.73	64.2%	14.3%	31.7%	19.1%	0.0%	4.0%	-3.7%	7.3K	-222.2K	-606	0.00	108.55	45	0	451	321
2023-02-07	$11.21	$9.73	58.9%	13.8%	31.7%	16.5%	0.0%	18.3%	-1.6%	8.4K	-210.6K	-784	0.00	109.90	0	0	452	321
2023-02-08	$11.23	$9.73	54.1%	15.5%	29.3%	14.1%	0.0%	8.1%	-4.4%	8.4K	-222.8K	-609	1.25	117.89	8	10	452	321
2023-02-09	$11.00	$9.73	41.6%	11.9%	30.4%	7.9%	29.5%	58.6%	2.6%	6.5K	-184.4K	-874	0.00	120.66	6	0	452	322
2023-02-10	$10.91	$9.73	54.3%	15.6%	30.6%	14.2%	0.0%	31.6%	-37.4%	7.9K	-182.2K	-838	0.00	104.14	0	0	457	322
2023-02-13	$11.09	$9.73	48.9%	14.0%	30.6%	11.5%	0.0%	32.2%	8.8%	7.9K	-194.2K	-756	0.00	114.78	0	2	457	322
2023-02-14	$10.98	$9.73	36.6%	10.5%	30.7%	5.4%	0.0%	18.1%	-4.1%	7.9K	-190.4K	-738	0.00	119.53	0	0	457	323
2023-02-15	$11.00	$9.73	54.7%	15.7%	30.2%	14.4%	0.0%	18.8%	11.1%	8.1K	-188.9K	-730	0.00	121.03	3	0	452	323
2023-02-16	$11.00	$9.73	50.8%	14.6%	29.6%	12.5%	0.0%	49.7%	105.6%	7.5K	-182.3K	-693	0.00	110.40	0	0	455	323
2023-02-17	$11.08	$9.73	44.6%	12.8%	29.4%	9.4%	0.0%	20.2%	35.9%	8.4K	-199.6K	-684	0.00	123.89	0	40	455	323
2023-02-21	$10.84	$9.73	47.9%	13.7%	30.2%	11.0%	25.7%	36.0%	34.7%	8.1K	-187.0K	-671	0.00	89.78	0	159	455	292
2023-02-22	$10.87	$9.73	37.0%	10.6%	30.2%	5.6%	25.6%	9.0%	-16.5%	6.2K	-156.0K	-720	0.18	94.17	113	20	455	338
2023-02-23	$10.95	$9.73	51.3%	14.7%	29.7%	12.7%	0.0%	24.1%	18.1%	5.9K	-167.7K	-873	0.00	75.71	3	0	453	357
2023-02-24	$10.82	$9.73	31.7%	9.1%	30.1%	3.0%	0.0%	10.2%	13.2%	4.8K	-170.8K	-846	0.00	86.33	0	0	456	357
2023-02-27	$10.77	$9.73	58.5%	16.8%	24.0%	16.3%	22.6%	46.2%	9.3%	5.9K	-138.8K	-849	0.55	91.97	55	30	456	357
2023-02-28	$10.95	$9.73	41.6%	11.9%	22.9%	7.9%	24.8%	16.0%	2.7%	4.9K	-167.3K	-866	1.03	81.61	29	30	431	357