CION Options History — July 2023

In July 2023, CION traded between $10.44 and $11.14. ATM implied volatility averaged 48.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 29.1% (HV 20d: 19.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 4.65.

Notable Days

2023-07-21: Highest Volume — 122 contracts
2023-07-07: Largest IV spike — 280.0% change
2023-07-25: Highest IV Rank — 43.4%
2023-07-05: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.83	$10.44	$11.14	$10.58	$11.08
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	48.5%	17.8%	81.1%	27.9%	69.1%
Expected Move	14.5%	8.0%	23.3%	8.0%	19.8%
HV 20d	19.4%	16.0%	25.2%	24.9%	17.6%
HV 60d	25.4%	23.0%	28.4%	28.4%	23.0%
IV Rank	20.4%	0.0%	43.4%	3.8%	38.5%
IV Percentile	49.1%	0.0%	87.3%	6.7%	80.2%
Term Structure	-29.2%	-113.1%	16.7%	0.4%	-50.5%
VWIV	34.7%	17.4%	46.7%	38.6%	46.7%
Skew 25d	-0.7%	-87.3%	43.4%	-4.3%	3.2%
Skew 10d	-24.7%	-143.7%	50.3%	17.0%	-59.9%
Call IV 25d	37.1%	19.8%	153.5%	30.0%	25.7%
Put IV 25d	36.3%	21.1%	97.4%	25.6%	28.9%
Bid-Ask Spread %	106.80	71.41	139.53	83.44	130.24
Gamma HHI	0.59	0.44	0.83	0.77	0.58
Net GEX	5.9K	2.9K	12.5K	11.4K	4.1K
Net DEX	-347.1K	-452.7K	-268.3K	-322.8K	-309.1K
Net VEX	-1.1K	-1.5K	-844	-1.3K	-844
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.65	0.00	60.00	0.00	0.00
Total Volume	15.85	0	122	10	2
Total OI	990.9	836	1,066	998	878

Daily Data (20 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
2023-07-03	$10.58	$10.00	27.9%	8.0%	24.9%	3.8%	38.6%	-4.3%	0.4%	11.4K	-322.8K	-1.3K	0.00	83.44	10	0	605	393
2023-07-05	$10.52	$10.00	81.1%	23.3%	25.2%	29.5%	0.0%	31.8%	-46.9%	8.0K	-285.3K	-1.4K	0.00	106.52	3	0	605	393
2023-07-06	$10.44	$10.00	17.8%	14.9%	22.3%	0.0%	35.9%	10.1%	-35.9%	12.5K	-331.2K	-1.2K	0.00	91.75	0	51	608	393
2023-07-07	$10.59	$10.00	67.5%	10.2%	22.0%	23.7%	0.0%	-19.7%	16.7%	5.9K	-324.0K	-1.5K	0.00	83.35	0	0	608	444
2023-07-10	$10.69	$10.00	23.7%	15.9%	22.2%	2.8%	0.0%	14.6%	-44.7%	7.0K	-363.6K	-1.2K	0.00	90.91	0	0	608	444
2023-07-11	$10.66	$10.00	20.5%	8.2%	21.7%	1.3%	0.0%	-87.3%	8.0%	3.6K	-398.2K	-1.3K	0.00	71.41	1	0	608	444
2023-07-12	$10.77	$10.00	48.6%	13.9%	21.0%	14.7%	0.0%	19.4%	-22.7%	7.1K	-382.3K	-1.3K	0.00	98.28	7	0	608	444
2023-07-13	$10.76	$10.00	38.8%	11.1%	18.3%	10.1%	17.4%	-26.7%	3.1%	7.9K	-394.0K	-1.2K	0.00	88.20	7	0	614	444
2023-07-14	$10.66	$10.00	57.9%	16.6%	17.6%	30.0%	0.0%	43.4%	-46.4%	7.7K	-309.3K	-1.3K	0.00	110.37	0	0	621	444
2023-07-17	$10.77	$10.00	43.4%	12.5%	17.8%	19.2%	0.0%	8.9%	-12.9%	5.4K	-416.5K	-1.1K	0.00	105.10	1	0	621	444
2023-07-18	$10.82	$10.00	39.1%	11.2%	17.8%	16.0%	0.0%	-6.5%	-15.4%	7.6K	-367.4K	-1.2K	0.00	130.20	0	0	622	444
2023-07-19	$11.02	$10.00	54.5%	15.6%	18.4%	27.5%	0.0%	3.0%	-29.9%	3.8K	-452.7K	-1.1K	0.00	139.16	40	0	622	444
2023-07-20	$10.89	$10.00	56.6%	16.2%	17.8%	29.1%	0.0%	-1.6%	-32.0%	3.1K	-417.7K	-1.1K	0.00	139.53	0	9	590	444
2023-07-21	$10.86	$10.00	47.7%	13.7%	17.0%	22.4%	0.0%	-7.5%	-17.8%	3.1K	-422.2K	-1.1K	60.00	135.90	2	120	590	453
2023-07-24	$11.14	$10.00	57.2%	16.4%	16.0%	29.6%	46.7%	5.8%	-32.1%	2.9K	-268.3K	-996	0.40	120.98	40	16	412	424
2023-07-25	$10.98	$10.00	75.7%	21.7%	17.1%	43.4%	0.0%	-6.9%	-113.1%	4.3K	-270.4K	-989	0.00	99.69	4	0	439	432
2023-07-26	$11.13	$10.00	46.7%	13.4%	17.4%	21.7%	0.0%	0.1%	-39.8%	4.5K	-304.9K	-905	0.00	87.63	3	0	443	432
2023-07-27	$11.08	$10.00	49.6%	14.2%	17.7%	23.9%	0.0%	0.9%	-42.8%	4.2K	-300.0K	-901	0.00	118.78	1	0	446	432
2023-07-28	$11.07	$10.00	45.7%	13.1%	17.6%	20.9%	0.0%	4.7%	-29.3%	3.1K	-301.7K	-986	0.00	104.65	0	0	446	432
2023-07-31	$11.08	$10.00	69.1%	19.8%	17.6%	38.5%	0.0%	3.2%	-50.5%	4.1K	-309.1K	-844	0.00	130.24	2	0	446	432