CION Options History — July 2024

In July 2024, CION traded between $12.13 and $12.45. ATM implied volatility averaged 42.5%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 28.3% (HV 20d: 14.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.03.

Notable Days

2024-07-22: Highest Volume — 135 contracts
2024-07-25: Largest IV spike — 157.7% change
2024-07-30: Highest IV Rank — 36.9%
2024-07-30: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.31	$12.13	$12.45	$12.14	$12.29
Max Pain	$12.05	$10.00	$12.50	$10.00	$10.00
ATM IV	42.5%	19.5%	69.6%	50.6%	69.2%
Expected Move	10.8%	5.6%	19.9%	14.5%	19.8%
HV 20d	14.2%	11.2%	18.3%	18.3%	12.8%
HV 60d	15.3%	14.3%	16.1%	15.9%	15.3%
IV Rank	18.6%	3.0%	36.9%	24.1%	36.6%
IV Percentile	47.2%	3.2%	83.3%	65.9%	82.5%
Term Structure	6.0%	-15.8%	18.6%	10.6%	13.8%
VWIV	20.6%	7.7%	39.0%	8.6%	39.0%
Skew 25d	40.9%	-9.6%	129.8%	7.1%	51.9%
Skew 10d	26.2%	-65.4%	94.5%	-48.0%	-33.1%
Call IV 25d	39.9%	27.5%	67.1%	66.2%	29.7%
Put IV 25d	80.9%	26.2%	160.4%	73.3%	81.6%
Bid-Ask Spread %	141.04	129.00	153.98	134.76	144.78
Gamma HHI	0.96	0.92	0.98	0.92	0.96
Net GEX	17.8K	7.7K	37.5K	7.7K	14.0K
Net DEX	-249.8K	-317.7K	-188.7K	-204.1K	-317.7K
Net VEX	-666	-790	-558	-694	-750
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.25	0.00	0.00
Total Volume	16.727	0	135	1	1
Total OI	439.182	349	547	362	547

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
2024-07-01	$12.14	$10.00	50.6%	14.5%	18.3%	24.1%	0.0%	7.1%	10.6%	7.7K	-204.1K	-694	0.00	134.76	1	0	327	35
2024-07-02	$12.27	$10.00	55.0%	15.8%	17.4%	27.0%	8.6%	29.4%	8.3%	14.8K	-213.6K	-642	0.00	133.37	2	0	328	35
2024-07-03	$12.33	$10.00	24.9%	7.1%	16.5%	6.7%	7.7%	-0.2%	16.9%	20.1K	-215.1K	-638	0.00	143.44	15	0	329	35
2024-07-05	$12.23	$12.50	43.5%	6.4%	16.8%	19.3%	25.3%	34.3%	-9.3%	16.4K	-213.3K	-639	0.25	153.98	4	1	344	35
2024-07-08	$12.38	$12.50	55.2%	5.8%	17.3%	27.1%	0.0%	30.6%	-10.8%	19.2K	-237.6K	-600	0.00	134.17	10	0	348	36
2024-07-09	$12.28	$12.50	68.6%	6.3%	17.6%	36.2%	0.0%	34.0%	-15.8%	11.3K	-232.3K	-654	0.00	130.97	12	0	358	36
2024-07-10	$12.34	$12.50	23.7%	6.8%	16.9%	5.9%	22.2%	23.0%	-12.1%	23.5K	-230.2K	-618	0.00	139.37	0	3	358	36
2024-07-11	$12.39	$12.50	20.8%	6.0%	12.9%	3.9%	0.0%	26.4%	15.9%	14.7K	-238.1K	-558	0.00	148.44	4	0	358	39
2024-07-12	$12.41	$12.50	19.5%	5.6%	12.3%	3.0%	0.0%	-9.6%	11.1%	12.6K	-242.5K	-610	0.00	136.81	2	0	359	39
2024-07-15	$12.43	$12.50	30.4%	8.7%	12.2%	10.4%	25.7%	27.2%	9.1%	13.0K	-246.4K	-605	0.04	137.06	50	2	361	39
2024-07-16	$12.43	$12.50	25.9%	7.4%	11.8%	7.3%	26.1%	28.4%	9.0%	19.0K	-273.8K	-654	0.12	150.29	25	3	411	41
2024-07-17	$12.45	$12.50	52.1%	15.0%	11.2%	25.1%	17.4%	8.7%	12.9%	27.7K	-291.9K	-663	0.00	143.07	16	0	436	38
2024-07-18	$12.27	$12.50	24.5%	7.0%	12.3%	6.4%	0.0%	67.5%	3.9%	23.4K	-253.0K	-619	0.10	141.04	10	1	429	38
2024-07-19	$12.13	$12.50	29.9%	8.6%	12.7%	10.1%	0.0%	66.1%	2.6%	10.6K	-188.7K	-599	0.00	147.57	1	0	429	39
2024-07-22	$12.39	$12.50	28.4%	8.1%	13.4%	9.1%	17.7%	68.0%	11.0%	16.5K	-203.5K	-574	0.00	129.00	135	0	311	38
2024-07-23	$12.34	$12.50	23.5%	6.7%	13.5%	5.8%	0.0%	-3.6%	11.9%	22.8K	-270.3K	-751	0.00	139.60	0	0	440	38
2024-07-24	$12.26	$12.50	25.4%	7.3%	13.5%	7.0%	0.0%	79.3%	7.2%	26.5K	-244.8K	-729	0.00	142.06	0	0	440	38
2024-07-25	$12.25	$12.50	65.5%	18.8%	13.4%	34.1%	16.3%	98.4%	-3.0%	13.0K	-275.0K	-722	0.00	142.35	67	0	440	38
2024-07-26	$12.29	$12.50	60.7%	17.4%	13.4%	30.9%	0.0%	66.4%	18.6%	37.5K	-276.7K	-790	0.00	151.14	1	0	507	38
2024-07-29	$12.25	$12.50	67.6%	19.4%	13.3%	35.5%	0.0%	129.8%	13.2%	13.1K	-315.4K	-780	0.00	144.42	0	1	507	38
2024-07-30	$12.25	$12.50	69.6%	19.9%	13.3%	36.9%	39.0%	37.3%	6.2%	14.4K	-311.8K	-758	0.00	135.28	0	1	507	39
2024-07-31	$12.29	$10.00	69.2%	19.8%	12.8%	36.6%	0.0%	51.9%	13.8%	14.0K	-317.7K	-750	0.00	144.78	1	0	507	40