CION Options History — September 2023

In September 2023, CION traded between $10.48 and $11.16. ATM implied volatility averaged 38.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 10.5% (HV 20d: 27.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2023-09-11: Highest Volume — 44 contracts
2023-09-06: Largest IV spike — 139.9% change
2023-09-08: Highest IV Rank — 42.6%
2023-09-01: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.69	$10.48	$11.16	$10.68	$10.64
Max Pain	$10.13	$10.00	$12.50	$12.50	$10.00
ATM IV	38.2%	15.0%	74.1%	51.6%	34.7%
Expected Move	8.4%	4.3%	14.8%	14.8%	10.0%
HV 20d	27.7%	23.6%	31.8%	31.3%	23.6%
HV 60d	23.9%	22.7%	24.8%	24.0%	24.6%
IV Rank	16.7%	0.0%	42.6%	26.0%	14.5%
IV Percentile	34.2%	0.0%	87.3%	63.1%	31.7%
Term Structure	-0.1%	-53.9%	27.6%	-53.9%	-12.6%
VWIV	44.2%	24.9%	99.2%	24.9%	44.2%
Skew 25d	4.2%	-27.0%	17.4%	-20.2%	8.7%
Skew 10d	43.6%	-15.7%	103.5%	11.1%	14.9%
Call IV 25d	25.4%	17.4%	53.8%	42.7%	27.4%
Put IV 25d	29.6%	22.4%	44.1%	22.4%	36.1%
Bid-Ask Spread %	89.84	63.27	121.47	88.40	90.15
Gamma HHI	0.52	0.46	0.65	0.52	0.47
Net GEX	-326	-3.5K	1.8K	-2.1K	603
Net DEX	-39.7K	-95.9K	15.6K	-191	-58.9K
Net VEX	-715	-807	-584	-660	-807
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.00	3.00	0.55	3.00
Total Volume	16.65	0	44	10	4
Total OI	592.05	434	705	617	560

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
2023-09-01	$10.68	$12.50	51.6%	14.8%	31.3%	26.0%	0.0%	-20.2%	-53.9%	-2.1K	-191	-660	0.00	88.40	0	10	224	393
2023-09-05	$10.48	$10.00	21.0%	7.1%	31.8%	3.2%	24.9%	-27.0%	7.9%	-3.4K	6.0K	-584	0.55	99.32	20	11	224	403
2023-09-06	$10.50	$10.00	50.3%	6.8%	31.7%	25.0%	0.0%	2.8%	6.1%	-3.5K	15.6K	-657	0.00	99.11	19	0	244	414
2023-09-07	$10.61	$10.00	55.8%	7.8%	28.9%	29.1%	0.0%	4.8%	4.8%	-3.0K	-9.0K	-752	0.20	90.75	5	1	263	414
2023-09-08	$10.66	$10.00	74.1%	7.8%	27.5%	42.6%	0.0%	5.5%	5.6%	-1.6K	-9.1K	-760	1.67	106.89	6	10	268	421
2023-09-11	$10.75	$10.00	73.9%	7.6%	25.2%	42.5%	27.7%	9.2%	-3.6%	-1.8K	-40.3K	-657	1.32	121.47	19	25	274	431
2023-09-12	$10.77	$10.00	53.8%	6.4%	25.0%	27.5%	0.0%	11.0%	11.0%	-271	-29.4K	-676	0.00	103.64	0	0	265	423
2023-09-13	$10.89	$10.00	17.0%	4.9%	24.7%	0.2%	0.0%	5.3%	14.5%	-552	-35.0K	-670	0.00	78.99	0	22	265	423
2023-09-14	$10.86	$10.00	15.0%	4.3%	24.7%	0.0%	0.0%	8.1%	14.1%	1.1K	-38.1K	-654	0.00	102.86	1	0	265	423
2023-09-15	$10.73	$10.00	26.6%	7.6%	24.7%	8.5%	0.0%	6.5%	8.7%	546	-31.1K	-667	0.00	95.25	0	1	266	423
2023-09-18	$11.16	$10.00	24.6%	7.1%	28.5%	7.0%	31.5%	4.5%	27.6%	970	-87.0K	-696	0.41	104.94	29	12	210	224
2023-09-19	$11.02	$10.00	40.1%	11.5%	28.9%	18.5%	0.0%	0.3%	-18.8%	1.8K	-95.9K	-734	0.20	75.35	10	2	239	236
2023-09-20	$10.69	$10.00	27.4%	7.8%	28.4%	9.1%	0.0%	7.1%	2.2%	758	-64.3K	-733	0.00	74.74	24	0	248	238
2023-09-21	$10.52	$10.00	35.4%	10.1%	28.7%	15.0%	37.4%	14.2%	-9.0%	823	-54.7K	-775	1.82	88.34	11	20	272	238
2023-09-22	$10.63	$10.00	27.3%	7.8%	29.0%	9.1%	0.0%	8.2%	0.2%	742	-54.1K	-749	0.00	84.07	10	0	283	249
2023-09-25	$10.64	$10.00	28.7%	8.2%	29.0%	10.0%	99.2%	7.5%	-0.5%	535	-60.6K	-764	0.06	69.27	16	1	273	249
2023-09-26	$10.48	$10.00	31.8%	9.1%	28.4%	12.3%	0.0%	17.4%	-1.1%	525	-44.2K	-756	0.00	63.27	7	0	279	250
2023-09-27	$10.48	$10.00	44.2%	12.7%	27.7%	21.4%	44.2%	4.8%	-2.0%	541	-49.2K	-755	0.07	79.41	14	1	279	250
2023-09-28	$10.54	$10.00	30.9%	8.9%	27.3%	11.7%	0.0%	5.1%	-3.4%	781	-54.7K	-785	2.14	80.63	7	15	288	250
2023-09-29	$10.64	$10.00	34.7%	10.0%	23.6%	14.5%	0.0%	8.7%	-12.6%	603	-58.9K	-807	3.00	90.15	1	3	295	265