CION Options History — November 2023

In November 2023, CION traded between $9.93 and $11.16. ATM implied volatility averaged 25.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.8% (HV 20d: 22.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 5.63.

Notable Days

2023-11-09: Highest Volume — 123 contracts
2023-11-14: Largest IV drop — 33.5% change
2023-11-13: Highest IV Rank — 14.1%
2023-11-13: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.73	$9.93	$11.16	$9.93	$10.59
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	25.0%	18.5%	34.2%	25.3%	18.5%
Expected Move	7.2%	5.3%	9.8%	7.2%	5.3%
HV 20d	22.2%	18.3%	25.9%	18.3%	24.7%
HV 60d	23.8%	21.8%	25.2%	25.2%	22.7%
IV Rank	7.4%	2.6%	14.1%	7.5%	2.6%
IV Percentile	12.9%	1.6%	43.3%	8.7%	1.6%
Term Structure	-2.3%	-14.4%	14.5%	3.8%	14.5%
VWIV	29.7%	18.0%	52.7%	25.2%	18.0%
Skew 25d	14.1%	-60.5%	87.9%	87.9%	-60.5%
Skew 10d	29.4%	-81.8%	122.3%	122.3%	-81.8%
Call IV 25d	49.1%	19.2%	134.3%	68.7%	89.0%
Put IV 25d	63.3%	22.2%	156.7%	156.7%	28.5%
Bid-Ask Spread %	55.86	27.50	94.17	94.17	49.42
Gamma HHI	0.74	0.49	0.95	0.63	0.49
Net GEX	5.4K	765	11.1K	4.9K	765
Net DEX	-214.4K	-341.2K	-33.2K	-33.2K	-67.8K
Net VEX	-778	-909	-471	-831	-728
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.63	0.00	50.00	0.11	0.00
Total Volume	30.714	0	123	31	6
Total OI	824.714	719	978	788	719

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
2023-11-01	$9.93	$10.00	25.3%	7.2%	18.3%	7.5%	25.2%	87.9%	3.8%	4.9K	-33.2K	-831	0.11	94.17	28	3	497	291
2023-11-02	$10.13	$10.00	23.7%	8.3%	19.7%	6.4%	35.2%	24.1%	5.9%	7.4K	-115.7K	-909	0.00	61.27	0	14	525	291
2023-11-03	$10.30	$10.00	27.1%	8.0%	20.6%	8.9%	0.0%	16.2%	-3.3%	7.5K	-157.3K	-899	2.86	62.94	7	20	525	301
2023-11-06	$10.18	$10.00	32.3%	8.0%	21.0%	12.7%	24.8%	20.7%	-0.5%	9.0K	-124.2K	-825	0.00	55.40	17	0	528	281
2023-11-07	$10.25	$10.00	27.2%	8.3%	21.1%	8.9%	0.0%	17.0%	-5.6%	10.3K	-145.8K	-786	0.00	62.06	0	0	528	281
2023-11-08	$10.25	$10.00	27.5%	7.9%	20.9%	9.2%	28.3%	16.6%	-8.8%	11.1K	-165.3K	-833	0.00	62.43	0	1	528	281
2023-11-09	$10.63	$10.00	30.0%	8.6%	24.0%	11.0%	30.1%	8.1%	-5.8%	8.5K	-240.2K	-724	8.46	55.54	13	110	528	280
2023-11-10	$11.00	$10.00	26.6%	7.6%	25.9%	8.5%	0.0%	14.5%	3.0%	6.6K	-301.8K	-804	0.00	61.47	0	0	539	330
2023-11-13	$10.95	$10.00	34.2%	9.8%	25.8%	14.1%	28.3%	2.9%	-14.4%	4.3K	-227.1K	-801	13.50	69.92	2	27	488	330
2023-11-14	$11.07	$10.00	22.7%	6.5%	25.7%	5.7%	0.0%	19.6%	-0.6%	4.4K	-297.7K	-529	0.00	47.04	40	0	486	334
2023-11-15	$11.16	$10.00	23.0%	6.6%	23.9%	5.9%	0.0%	24.3%	-13.4%	3.5K	-341.2K	-471	0.03	61.14	60	2	526	334
2023-11-16	$11.02	$10.00	22.8%	6.5%	23.0%	5.8%	27.8%	22.3%	2.0%	3.3K	-328.5K	-740	50.00	60.84	2	100	545	332
2023-11-17	$11.07	$10.00	22.4%	6.4%	23.0%	5.4%	28.9%	20.1%	3.1%	3.5K	-331.4K	-596	8.57	58.74	7	60	546	432
2023-11-20	$11.07	$10.00	23.7%	6.8%	21.6%	6.4%	30.7%	-0.2%	13.3%	3.6K	-187.2K	-874	0.00	68.71	68	0	460	324
2023-11-21	$11.02	$10.00	21.9%	6.3%	21.9%	5.1%	27.4%	-36.9%	1.9%	4.0K	-234.5K	-741	0.00	66.77	10	0	495	324
2023-11-22	$10.96	$10.00	21.9%	6.3%	21.4%	5.1%	52.7%	-44.1%	1.5%	4.3K	-242.0K	-832	0.00	57.09	0	5	496	324
2023-11-24	$10.98	$10.00	22.4%	6.4%	21.5%	5.5%	0.0%	24.5%	-7.4%	3.8K	-249.7K	-905	0.00	27.50	0	0	496	324
2023-11-27	$10.98	$10.00	24.3%	7.0%	21.1%	6.9%	0.0%	36.5%	-13.4%	4.0K	-248.3K	-893	0.00	29.41	16	0	496	324
2023-11-28	$10.96	$10.00	23.4%	6.7%	20.9%	6.1%	28.3%	41.7%	-12.8%	3.9K	-248.0K	-857	0.85	30.25	13	11	494	324
2023-11-29	$10.93	$10.00	25.0%	7.2%	21.0%	7.3%	0.0%	41.5%	-11.7%	4.3K	-214.7K	-752	0.00	31.04	3	0	498	334
2023-11-30	$10.59	$10.00	18.5%	5.3%	24.7%	2.6%	18.0%	-60.5%	14.5%	765	-67.8K	-728	0.00	49.42	6	0	385	334