CION Options History — January 2024

In January 2024, CION traded between $10.93 and $11.41. ATM implied volatility averaged 57.9%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 38.8% (HV 20d: 19.1%). Max pain ranged from $9.85 to $12.35. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.28.

Notable Days

2024-01-10: Highest Volume — 120 contracts
2024-01-09: Largest IV spike — 136.6% change
2024-01-02: Highest IV Rank — 71.5%
2024-01-02: Largest Expected Move — 32.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.17	$10.93	$11.41	$11.14	$11.21
Max Pain	$10.22	$9.85	$12.35	$9.85	$9.85
ATM IV	57.9%	27.9%	112.5%	112.5%	55.9%
Expected Move	14.3%	6.5%	32.3%	32.3%	16.0%
HV 20d	19.1%	15.3%	24.2%	22.5%	16.1%
HV 60d	21.6%	20.8%	22.6%	21.9%	20.9%
IV Rank	31.4%	9.5%	71.5%	71.5%	30.0%
IV Percentile	73.7%	28.2%	99.2%	99.2%	81.3%
Term Structure	-25.8%	-92.7%	8.2%	-92.7%	-17.9%
VWIV	37.8%	15.0%	60.7%	15.0%	60.7%
Skew 25d	5.6%	-35.3%	36.0%	0.4%	20.0%
Skew 10d	7.3%	-23.1%	49.6%	39.4%	8.4%
Call IV 25d	48.0%	18.4%	125.0%	125.0%	42.9%
Put IV 25d	53.6%	21.9%	125.7%	125.3%	62.9%
Bid-Ask Spread %	119.48	96.60	131.97	121.46	126.10
Gamma HHI	0.87	0.69	0.97	0.76	0.94
Net GEX	11.3K	7.6K	14.3K	9.5K	11.9K
Net DEX	-240.0K	-283.7K	-173.7K	-218.8K	-254.6K
Net VEX	-1.1K	-1.3K	-795	-923	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.00	7.33	0.30	0.00
Total Volume	12.381	0	120	26	0
Total OI	757.524	623	822	623	822

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
2024-01-02	$11.14	$9.85	112.5%	32.3%	22.5%	71.5%	0.0%	0.4%	-92.7%	9.5K	-218.8K	-923	0.30	121.46	20	6	495	128
2024-01-03	$10.93	$9.85	83.8%	24.0%	23.6%	50.5%	0.0%	2.5%	-3.2%	7.6K	-173.7K	-993	0.00	131.97	0	0	495	134
2024-01-04	$11.07	$0.00	98.3%	16.1%	24.0%	61.1%	15.0%	21.2%	-42.9%	8.7K	-197.4K	-958	0.00	106.21	4	0	495	134
2024-01-05	$11.16	$12.35	74.7%	7.0%	24.0%	43.8%	0.0%	3.5%	8.2%	8.9K	-210.1K	-973	0.00	101.35	5	0	498	134
2024-01-08	$11.34	$12.35	39.8%	6.5%	24.2%	18.2%	0.0%	0.5%	1.5%	10.6K	-232.2K	-795	7.33	103.72	3	22	493	134
2024-01-09	$11.29	$12.35	94.2%	10.0%	24.2%	58.1%	0.0%	34.1%	3.2%	10.1K	-247.0K	-912	0.00	124.31	32	0	495	155
2024-01-10	$11.23	$9.85	27.9%	8.0%	22.8%	9.5%	0.0%	35.6%	5.9%	10.4K	-244.6K	-995	0.00	127.22	120	0	532	155
2024-01-11	$11.16	$9.85	27.9%	8.0%	22.9%	9.5%	0.0%	34.4%	6.8%	11.5K	-232.1K	-1.2K	3.00	124.08	1	3	652	155
2024-01-12	$11.18	$9.85	29.3%	8.4%	17.4%	10.5%	0.0%	36.0%	1.1%	13.7K	-253.2K	-1.1K	0.00	117.64	0	0	653	158
2024-01-16	$11.07	$9.85	31.0%	8.9%	17.6%	11.8%	0.0%	-7.4%	-1.3%	12.5K	-250.5K	-1.1K	0.00	121.78	0	0	653	158
2024-01-17	$11.02	$9.85	49.2%	14.1%	17.2%	25.1%	0.0%	1.4%	-35.4%	11.9K	-244.3K	-1.2K	0.00	129.79	0	1	653	158
2024-01-18	$11.07	$9.85	47.8%	13.7%	16.3%	24.1%	0.0%	-1.8%	-46.3%	12.5K	-250.2K	-1.1K	3.50	125.52	2	7	653	159
2024-01-19	$11.05	$9.85	52.1%	14.9%	15.3%	27.2%	60.7%	24.4%	-30.5%	12.0K	-252.1K	-1.2K	1.25	96.60	8	10	653	166
2024-01-22	$11.25	$9.85	56.4%	16.2%	16.7%	30.4%	0.0%	-34.7%	-56.5%	12.4K	-244.6K	-1.1K	0.00	123.98	3	0	643	175
2024-01-23	$11.21	$9.85	59.6%	17.1%	16.2%	32.7%	0.0%	-35.3%	-56.5%	11.2K	-252.6K	-1.3K	0.00	124.97	0	0	645	175
2024-01-24	$11.14	$9.85	57.4%	16.4%	15.9%	31.1%	0.0%	-16.6%	-42.6%	11.9K	-234.1K	-1.2K	0.00	130.11	0	0	645	175
2024-01-25	$11.14	$9.85	71.4%	20.5%	15.7%	41.4%	0.0%	-31.2%	-59.9%	11.1K	-235.5K	-1.2K	0.00	122.57	1	0	645	175
2024-01-26	$11.25	$9.85	60.2%	17.3%	16.0%	33.2%	0.0%	-34.7%	-58.2%	12.4K	-254.7K	-1.2K	0.00	124.80	0	0	645	175
2024-01-29	$11.34	$9.85	40.3%	11.6%	16.3%	18.6%	0.0%	34.3%	-9.2%	13.2K	-273.8K	-1.2K	0.00	102.00	0	10	645	175
2024-01-30	$11.41	$9.85	45.1%	12.9%	15.9%	22.1%	0.0%	32.0%	-15.5%	14.3K	-283.7K	-1.2K	0.00	122.86	2	0	645	175
2024-01-31	$11.21	$9.85	55.9%	16.0%	16.1%	30.0%	0.0%	20.0%	-17.9%	11.9K	-254.6K	-1.2K	0.00	126.10	0	0	647	175