CION Options History — December 2023

In December 2023, CION traded between $10.68 and $11.64. ATM implied volatility averaged 32.2%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.5% (HV 20d: 22.7%). Max pain ranged from $9.85 to $10.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.13.

Notable Days

2023-12-06: Highest Volume — 114 contracts
2023-12-21: Largest IV spike — 109.7% change
2023-12-11: Highest IV Rank — 33.5%
2023-12-12: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.16	$10.68	$11.64	$10.71	$11.32
Max Pain	$9.96	$9.85	$10.00	$10.00	$9.85
ATM IV	32.2%	18.7%	60.7%	26.5%	18.7%
Expected Move	8.2%	4.7%	14.0%	7.6%	5.4%
HV 20d	22.7%	17.5%	24.5%	24.1%	21.7%
HV 60d	22.4%	21.4%	23.2%	22.8%	21.6%
IV Rank	12.6%	2.7%	33.5%	8.4%	2.7%
IV Percentile	36.4%	2.0%	86.1%	16.3%	2.0%
Term Structure	1.5%	-37.8%	13.0%	0.7%	9.7%
VWIV	22.9%	19.1%	26.0%	22.9%	26.0%
Skew 25d	20.2%	-9.6%	61.8%	7.5%	51.1%
Skew 10d	11.3%	-33.3%	66.1%	2.9%	66.1%
Call IV 25d	22.8%	13.4%	37.5%	27.0%	21.7%
Put IV 25d	43.0%	16.2%	89.3%	34.6%	72.7%
Bid-Ask Spread %	97.94	75.62	115.05	75.62	99.03
Gamma HHI	0.74	0.49	0.92	0.49	0.78
Net GEX	6.4K	0	10.9K	535	10.0K
Net DEX	-189.4K	-268.6K	0	-74.0K	-237.2K
Net VEX	-860	-1.0K	0	-782	-939
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.78	0.00	0.00
Total Volume	24.6	0	114	0	4
Total OI	692.7	0	865	725	619

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
2023-12-01	$10.71	$10.00	26.5%	7.6%	24.1%	8.4%	0.0%	7.5%	0.7%	535	-74.0K	-782	0.00	75.62	0	0	391	334
2023-12-04	$10.79	$0.00	34.2%	7.2%	23.6%	14.1%	22.9%	15.8%	-1.5%	1.2K	-83.2K	-765	0.00	97.04	102	0	391	334
2023-12-05	$10.79	$10.00	29.3%	6.5%	23.0%	10.5%	19.1%	6.2%	2.4%	4.7K	-187.0K	-794	0.00	107.14	30	0	493	334
2023-12-06	$10.73	$10.00	34.8%	6.8%	23.2%	14.6%	23.4%	-0.7%	4.1%	2.9K	-149.8K	-831	0.00	92.86	114	0	465	334
2023-12-07	$10.86	$10.00	27.0%	6.1%	23.4%	8.8%	26.0%	8.4%	11.6%	5.6K	-172.3K	-873	0.33	75.83	3	1	474	334
2023-12-08	$10.96	$10.00	30.4%	7.6%	20.0%	11.3%	0.0%	-9.6%	-15.4%	6.4K	-190.6K	-847	0.00	104.69	5	0	477	335
2023-12-11	$10.73	$10.00	60.7%	4.7%	17.5%	33.5%	0.0%	2.4%	13.0%	2.4K	-150.0K	-865	0.78	91.88	32	25	482	335
2023-12-12	$10.68	$10.00	41.4%	14.0%	17.5%	19.3%	0.0%	32.8%	-16.1%	4.7K	-159.8K	-965	0.00	107.62	1	0	504	360
2023-12-13	$11.14	$10.00	20.7%	5.9%	23.0%	4.2%	0.0%	1.6%	5.0%	6.0K	-202.1K	-987	0.15	103.90	26	4	505	360
2023-12-14	$11.21	$10.00	36.4%	10.4%	23.0%	15.7%	0.0%	11.2%	-37.8%	7.2K	-202.7K	-917	0.00	109.37	0	0	501	362
2023-12-15	$11.32	$10.00	21.7%	6.2%	22.7%	4.9%	0.0%	2.7%	5.1%	7.2K	-215.0K	-944	0.04	87.87	26	1	501	362
2023-12-18	$11.48	$10.00	19.0%	5.5%	23.1%	3.0%	0.0%	0.4%	2.1%	8.8K	-221.1K	-920	0.03	88.60	31	1	448	129
2023-12-19	$11.64	$10.00	39.2%	11.2%	23.5%	17.8%	0.0%	19.1%	9.6%	9.5K	-254.4K	-994	0.77	85.04	13	10	470	129
2023-12-20	$11.54	$10.00	20.3%	5.8%	23.7%	3.9%	0.0%	36.1%	3.5%	9.8K	-251.4K	-993	0.00	109.40	4	0	483	129
2023-12-21	$11.39	$0.00	42.6%	12.2%	24.2%	20.3%	0.0%	45.6%	6.8%	0	0	0	0.00	101.03	0	0	0	0
2023-12-22	$11.48	$9.85	30.9%	8.8%	24.2%	11.6%	0.0%	13.2%	6.1%	9.8K	-255.7K	-945	0.00	92.85	8	0	480	129
2023-12-26	$11.55	$9.85	30.5%	8.7%	24.3%	11.4%	0.0%	46.3%	7.0%	10.5K	-266.9K	-891	0.03	104.73	35	1	483	129
2023-12-27	$11.46	$9.85	31.7%	9.1%	24.5%	12.2%	0.0%	61.8%	5.6%	10.6K	-268.6K	-1.0K	0.00	109.27	8	0	510	128
2023-12-28	$11.46	$9.85	48.0%	13.8%	24.5%	24.2%	0.0%	51.8%	8.1%	10.9K	-246.4K	-925	0.00	115.05	7	0	492	128
2023-12-29	$11.32	$9.85	18.7%	5.4%	21.7%	2.7%	0.0%	51.1%	9.7%	10.0K	-237.2K	-939	0.00	99.03	4	0	491	128