CION Options History — October 2023

In October 2023, CION traded between $9.71 and $10.45. ATM implied volatility averaged 26.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.8% (HV 20d: 21.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2023-10-19: Highest Volume — 86 contracts
2023-10-04: Largest IV drop — 21.5% change
2023-10-13: Highest IV Rank — 11.9%
2023-10-13: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.05	$9.71	$10.45	$10.45	$9.88
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	26.5%	22.1%	31.2%	30.7%	23.0%
Expected Move	7.8%	6.3%	8.9%	8.8%	6.6%
HV 20d	21.8%	18.2%	25.0%	24.4%	18.2%
HV 60d	24.9%	24.5%	25.2%	24.7%	25.2%
IV Rank	8.5%	5.2%	11.9%	11.5%	5.9%
IV Percentile	11.6%	4.0%	28.2%	21.8%	6.0%
Term Structure	3.2%	-2.3%	12.8%	-1.8%	12.8%
VWIV	41.3%	22.3%	202.7%	202.7%	22.3%
Skew 25d	34.5%	3.0%	64.9%	3.7%	32.0%
Skew 10d	56.3%	10.5%	138.4%	12.7%	31.3%
Call IV 25d	35.1%	22.8%	62.7%	28.7%	62.7%
Put IV 25d	69.6%	32.4%	94.7%	32.4%	94.7%
Bid-Ask Spread %	86.69	66.95	106.35	67.01	106.35
Gamma HHI	0.57	0.46	0.84	0.47	0.61
Net GEX	1.7K	-93	4.3K	556	4.3K
Net DEX	-25.5K	-85.9K	21.6K	-45.5K	-25.8K
Net VEX	-796	-945	-637	-827	-814
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.00	10.50	0.00	0.00
Total Volume	22.091	0	86	1	5
Total OI	655	563	783	564	783

Daily Data (22 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
2023-10-02	$10.45	$10.00	30.7%	8.8%	24.4%	11.5%	0.0%	3.7%	-1.8%	556	-45.5K	-827	0.00	67.01	1	0	296	268
2023-10-03	$10.20	$10.00	28.1%	8.1%	25.0%	9.6%	202.7%	3.0%	4.1%	-93	-1.3K	-683	0.95	66.95	42	40	295	268
2023-10-04	$10.16	$10.00	22.1%	6.3%	25.0%	5.2%	24.2%	64.9%	10.4%	1.2K	-25.4K	-799	2.25	78.25	16	36	337	258
2023-10-05	$10.18	$10.00	26.6%	8.8%	24.6%	8.5%	0.0%	62.7%	0.6%	1.0K	-27.1K	-766	0.00	100.27	0	0	325	252
2023-10-06	$10.23	$10.00	22.3%	8.6%	24.6%	5.4%	30.1%	10.0%	-2.3%	1.4K	-41.5K	-782	0.00	83.14	4	0	325	252
2023-10-09	$10.21	$10.00	26.8%	8.6%	24.3%	8.7%	0.0%	61.3%	2.0%	905	-22.5K	-686	0.05	99.16	22	1	328	252
2023-10-10	$10.20	$10.00	27.2%	7.5%	24.2%	8.9%	0.0%	48.4%	6.6%	1.7K	-41.7K	-778	4.00	104.78	1	4	349	252
2023-10-11	$10.29	$10.00	27.8%	8.0%	24.1%	9.4%	0.0%	54.6%	1.9%	1.6K	-49.2K	-749	0.00	86.64	0	0	349	252
2023-10-12	$10.16	$10.00	28.2%	8.1%	24.3%	9.7%	28.2%	34.9%	0.1%	1.8K	-37.3K	-749	0.00	102.09	0	15	349	252
2023-10-13	$10.04	$10.00	31.2%	8.9%	24.3%	11.9%	0.0%	39.3%	-0.3%	632	-1.9K	-637	0.00	89.00	41	0	349	266
2023-10-16	$10.20	$10.00	27.2%	7.8%	19.9%	8.9%	27.2%	24.7%	2.4%	2.9K	-63.9K	-831	0.00	83.99	0	1	389	266
2023-10-17	$10.32	$10.00	29.3%	8.4%	20.4%	10.5%	0.0%	26.0%	0.0%	3.0K	-85.9K	-832	0.00	74.71	1	0	389	266
2023-10-18	$10.09	$10.00	26.8%	7.7%	19.2%	8.6%	26.8%	37.2%	3.1%	2.7K	-38.6K	-761	0.25	77.00	4	1	390	266
2023-10-19	$9.89	$10.00	26.6%	7.6%	19.6%	8.5%	26.6%	28.1%	3.1%	2.4K	-8.4K	-754	1.87	92.48	30	56	389	266
2023-10-20	$9.93	$10.00	27.2%	7.8%	19.2%	8.9%	27.1%	33.6%	1.4%	1.4K	-21.3K	-934	0.04	88.27	24	1	419	298
2023-10-23	$9.77	$10.00	27.8%	8.0%	19.6%	9.4%	27.8%	26.8%	2.7%	976	-15.4K	-943	10.50	74.88	2	21	420	291
2023-10-24	$9.84	$10.00	26.4%	7.6%	19.6%	8.4%	26.4%	25.4%	0.7%	861	10.2K	-799	0.06	76.64	16	1	422	291
2023-10-25	$9.73	$10.00	25.7%	7.4%	19.7%	7.8%	25.7%	37.2%	5.3%	611	21.6K	-781	0.00	81.05	70	0	422	291
2023-10-26	$9.77	$10.00	25.7%	7.4%	19.6%	7.8%	0.0%	29.7%	2.2%	3.0K	-27.3K	-945	0.00	90.01	2	0	467	291
2023-10-27	$9.71	$10.00	24.8%	7.1%	19.0%	7.2%	0.0%	46.4%	6.9%	2.7K	-16.8K	-931	0.00	88.74	0	0	469	291
2023-10-30	$9.88	$10.00	22.4%	6.4%	19.8%	5.5%	22.3%	29.1%	7.6%	2.5K	2.8K	-722	0.00	95.75	28	0	469	291
2023-10-31	$9.88	$10.00	23.0%	6.6%	18.2%	5.9%	0.0%	32.0%	12.8%	4.3K	-25.8K	-814	0.00	106.35	5	0	492	291