CION Options History — March 2024

In March 2024, CION traded between $10.55 and $11.05. ATM implied volatility averaged 59.6%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 42.5% (HV 20d: 17.1%). Max pain ranged from $9.85 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.17.

Notable Days

2024-03-21: Highest Volume — 66 contracts
2024-03-06: Largest IV spike — 179.6% change
2024-03-12: Highest IV Rank — 100.0%
2024-03-27: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.86	$10.55	$11.05	$10.75	$11.02
Max Pain	$10.87	$9.85	$12.50	$9.85	$10.00
ATM IV	59.6%	25.1%	163.1%	59.9%	38.5%
Expected Move	13.3%	7.2%	17.3%	17.2%	11.0%
HV 20d	17.1%	12.1%	20.9%	20.9%	16.9%
HV 60d	18.0%	16.7%	19.9%	19.8%	17.9%
IV Rank	31.3%	6.8%	100.0%	33.0%	15.8%
IV Percentile	67.5%	15.9%	100.0%	83.3%	59.1%
Term Structure	-9.3%	-57.3%	351.3%	-21.3%	-1.1%
VWIV	37.3%	16.6%	88.1%	24.8%	22.0%
Skew 25d	-6.0%	-39.9%	28.5%	2.2%	18.3%
Skew 10d	25.0%	-45.4%	80.8%	80.8%	-0.5%
Call IV 25d	43.7%	20.2%	84.4%	36.6%	23.2%
Put IV 25d	37.6%	18.5%	57.0%	38.7%	41.6%
Bid-Ask Spread %	136.41	92.33	163.53	122.92	92.33
Gamma HHI	0.58	0.34	0.92	0.92	0.37
Net GEX	4.9K	718	10.1K	8.6K	4.8K
Net DEX	-151.3K	-267.5K	-33.4K	-184.7K	-88.4K
Net VEX	-886	-1.2K	-495	-1.1K	-828
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.00	6.67	0.00	6.67
Total Volume	15.65	0	66	3	23
Total OI	731.9	498	924	853	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
2024-03-01	$10.75	$9.85	59.9%	17.2%	20.9%	33.0%	0.0%	2.2%	-21.3%	8.6K	-184.7K	-1.1K	0.00	122.92	0	3	642	211
2024-03-04	$10.75	$0.00	30.0%	13.8%	20.9%	11.0%	0.0%	-29.2%	-45.4%	4.1K	-183.6K	-884	0.00	162.22	2	0	642	211
2024-03-05	$10.84	$0.00	30.5%	14.3%	20.9%	11.4%	0.0%	-29.6%	-47.9%	4.2K	-195.2K	-857	0.00	162.83	13	0	644	211
2024-03-06	$10.86	$0.00	85.3%	14.9%	20.6%	51.5%	24.8%	1.1%	-48.5%	9.2K	-218.0K	-1.1K	0.00	155.15	50	0	657	211
2024-03-07	$10.98	$12.50	114.2%	14.7%	20.7%	72.8%	0.0%	-34.4%	-50.3%	9.6K	-255.7K	-1.2K	0.00	162.74	0	0	682	211
2024-03-08	$10.98	$12.50	96.7%	15.1%	20.7%	59.9%	0.0%	-35.7%	-52.9%	9.7K	-255.7K	-1.1K	0.00	163.53	0	0	682	211
2024-03-11	$11.05	$12.50	109.2%	15.5%	20.6%	69.1%	0.0%	-39.9%	-55.0%	10.1K	-267.5K	-1.1K	4.17	162.33	6	25	682	211
2024-03-12	$11.00	$12.50	163.1%	15.8%	19.7%	100.0%	0.0%	-2.2%	-56.2%	9.6K	-251.2K	-1.1K	0.00	159.50	0	0	682	236
2024-03-13	$10.98	$12.50	56.1%	16.1%	15.6%	27.8%	0.0%	-9.3%	-57.3%	3.7K	-228.9K	-1.0K	0.00	163.07	0	0	682	236
2024-03-14	$10.91	$12.50	55.9%	16.0%	15.7%	27.6%	88.1%	28.5%	351.3%	3.4K	-191.3K	-901	0.25	155.99	4	1	682	236
2024-03-15	$10.95	$10.00	32.8%	9.4%	12.1%	12.0%	30.5%	0.9%	16.6%	3.7K	-193.4K	-868	0.00	135.30	5	0	686	238
2024-03-18	$10.79	$10.00	34.2%	9.8%	13.0%	12.9%	16.6%	-4.5%	11.3%	1.1K	-85.0K	-495	0.77	132.97	13	10	358	170
2024-03-19	$10.77	$10.00	47.0%	13.5%	12.9%	21.6%	0.0%	1.5%	-27.1%	718	-85.1K	-546	0.00	125.43	0	2	371	180
2024-03-20	$10.89	$10.00	55.9%	16.0%	13.7%	27.6%	41.9%	9.5%	-25.3%	1.4K	-96.4K	-549	4.33	127.28	3	13	371	182
2024-03-21	$10.66	$10.00	25.1%	7.2%	15.2%	6.8%	22.0%	4.5%	11.8%	2.0K	-38.4K	-760	0.22	125.48	54	12	312	186
2024-03-22	$10.55	$10.00	35.9%	10.3%	15.4%	14.1%	0.0%	-17.0%	-23.4%	1.9K	-33.4K	-858	0.00	112.24	2	0	337	196
2024-03-25	$10.64	$10.00	29.2%	8.4%	15.9%	9.6%	0.0%	-7.1%	-14.7%	2.0K	-37.1K	-791	0.00	97.92	4	0	337	196
2024-03-26	$10.73	$10.00	32.1%	9.2%	13.5%	11.6%	0.0%	4.7%	-8.7%	2.6K	-47.8K	-817	0.00	101.77	37	0	341	196
2024-03-27	$11.04	$10.00	60.3%	17.3%	16.8%	30.6%	0.0%	17.0%	-42.7%	4.9K	-89.3K	-879	0.00	107.31	31	0	363	196
2024-03-28	$11.02	$10.00	38.5%	11.0%	16.9%	15.8%	0.0%	18.3%	-1.1%	4.8K	-88.4K	-828	6.67	92.33	3	20	364	196