CION Options History — June 2023

In June 2023, CION traded between $9.56 and $10.77. ATM implied volatility averaged 37.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.6% (HV 20d: 27.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.17.

Notable Days

2023-06-20: Highest Volume — 90 contracts
2023-06-12: Largest IV spike — 409.5% change
2023-06-12: Highest IV Rank — 50.2%
2023-06-01: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.30	$9.56	$10.77	$9.56	$10.41
Max Pain	$8.78	$5.00	$10.00	$9.73	$10.00
ATM IV	37.8%	20.0%	125.0%	70.7%	20.0%
Expected Move	9.3%	5.7%	20.3%	20.3%	5.7%
HV 20d	27.2%	24.5%	29.4%	26.9%	24.6%
HV 60d	31.5%	28.5%	35.6%	35.6%	28.5%
IV Rank	7.8%	0.0%	50.2%	23.8%	0.0%
IV Percentile	21.0%	0.0%	96.4%	72.3%	0.0%
Term Structure	2.0%	-30.6%	21.6%	2.7%	7.6%
VWIV	52.0%	23.5%	188.9%	28.4%	23.5%
Skew 25d	12.0%	-45.3%	70.9%	70.9%	-6.1%
Skew 10d	25.5%	-29.4%	86.1%	67.6%	86.1%
Call IV 25d	27.5%	18.4%	81.4%	36.4%	25.4%
Put IV 25d	39.5%	19.3%	107.3%	107.3%	19.3%
Bid-Ask Spread %	78.46	47.16	101.55	90.35	88.55
Gamma HHI	0.60	0.36	0.81	0.39	0.77
Net GEX	7.2K	-4.7K	12.7K	-4.6K	12.7K
Net DEX	-240.5K	-361.7K	43.7K	43.7K	-283.9K
Net VEX	-1.4K	-1.5K	-1.3K	-1.3K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.00	0.00	0.20
Total Volume	18.286	0	90	70	12
Total OI	1,116.238	936	1,268	1,106	999

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
2023-06-01	$9.56	$9.73	70.7%	20.3%	26.9%	23.8%	0.0%	70.9%	2.7%	-4.6K	43.7K	-1.3K	0.00	90.35	70	0	636	470
2023-06-02	$9.64	$9.73	27.7%	7.9%	25.9%	2.9%	28.4%	-5.7%	8.2%	-4.7K	3.4K	-1.4K	0.00	67.82	22	0	706	470
2023-06-05	$9.71	$10.00	29.6%	7.1%	24.6%	3.8%	24.9%	47.2%	6.2%	-2.7K	-46.1K	-1.4K	0.29	86.45	34	10	727	469
2023-06-06	$10.07	$10.00	33.5%	7.6%	27.5%	5.7%	0.0%	6.1%	5.3%	1.5K	-181.9K	-1.5K	0.18	72.03	17	3	761	479
2023-06-07	$10.25	$10.00	33.5%	7.8%	27.1%	5.7%	188.9%	6.5%	2.6%	3.8K	-244.2K	-1.5K	1.00	50.72	2	2	761	476
2023-06-08	$10.28	$5.00	21.8%	8.1%	27.1%	0.0%	0.0%	6.8%	-13.4%	8.3K	-291.9K	-1.5K	0.00	47.16	4	0	763	474
2023-06-09	$10.16	$5.00	24.5%	7.9%	26.4%	1.3%	0.0%	8.9%	5.1%	4.9K	-241.3K	-1.4K	0.00	54.50	1	0	763	474
2023-06-12	$10.36	$5.00	125.0%	11.6%	26.0%	50.2%	0.0%	17.5%	-10.2%	7.8K	-286.2K	-1.4K	0.00	89.64	0	45	764	474
2023-06-13	$10.67	$5.00	50.5%	8.1%	27.2%	13.9%	0.0%	10.5%	-13.8%	9.7K	-361.7K	-1.4K	0.00	81.88	0	0	764	469
2023-06-14	$10.50	$5.00	28.0%	8.0%	27.9%	3.0%	28.1%	6.7%	5.3%	10.7K	-313.8K	-1.4K	0.00	73.22	0	35	764	469
2023-06-15	$10.57	$10.00	27.1%	7.8%	27.7%	2.6%	0.0%	12.2%	8.0%	9.6K	-332.3K	-1.4K	0.00	72.11	0	0	764	504
2023-06-16	$10.63	$10.00	28.9%	8.3%	27.5%	3.4%	0.0%	12.9%	21.6%	9.9K	-335.9K	-1.4K	0.00	89.62	2	0	764	504
2023-06-20	$10.77	$10.00	48.6%	13.9%	27.1%	13.0%	35.9%	12.3%	-30.6%	8.2K	-360.1K	-1.3K	0.50	79.14	60	30	587	349
2023-06-21	$10.59	$10.00	26.4%	7.6%	28.0%	2.2%	0.0%	9.2%	3.9%	10.4K	-315.4K	-1.4K	0.00	76.99	7	0	588	379
2023-06-22	$10.45	$10.00	24.4%	7.0%	28.4%	1.3%	0.0%	4.0%	5.6%	11.8K	-291.7K	-1.4K	0.00	86.09	0	0	595	379
2023-06-23	$10.20	$10.00	26.7%	7.7%	29.2%	2.4%	0.0%	24.6%	8.6%	12.3K	-203.4K	-1.4K	0.00	82.51	4	0	595	379
2023-06-26	$10.31	$10.00	36.5%	10.5%	29.4%	7.2%	34.5%	-45.3%	-4.3%	10.3K	-253.7K	-1.4K	0.00	101.55	0	4	596	379
2023-06-27	$10.30	$10.00	29.6%	8.5%	29.4%	3.8%	0.0%	14.8%	16.7%	11.9K	-233.9K	-1.4K	0.00	77.20	0	0	596	383
2023-06-28	$10.34	$10.00	52.0%	14.9%	29.3%	14.7%	0.0%	33.7%	-13.2%	9.0K	-239.1K	-1.3K	0.00	90.87	10	0	596	383
2023-06-29	$10.43	$10.00	29.1%	8.4%	24.5%	3.6%	0.0%	4.1%	20.4%	11.4K	-280.6K	-1.4K	0.00	89.25	0	10	606	383
2023-06-30	$10.41	$10.00	20.0%	5.7%	24.6%	0.0%	23.5%	-6.1%	7.6%	12.7K	-283.9K	-1.4K	0.20	88.55	10	2	606	393