CION Options History — September 2024

In September 2024, CION traded between $11.54 and $12.07. ATM implied volatility averaged 37.5%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 20.5% (HV 20d: 17.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2024-09-16: Highest Volume — 54 contracts
2024-09-27: Largest IV spike — 156.3% change
2024-09-19: Highest IV Rank — 22.7%
2024-09-19: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.82	$11.54	$12.07	$11.86	$11.93
Max Pain	$11.50	$10.00	$12.50	$12.50	$10.00
ATM IV	37.5%	11.6%	58.9%	47.1%	48.5%
Expected Move	10.4%	3.3%	16.9%	13.5%	13.9%
HV 20d	17.0%	14.4%	18.5%	18.3%	18.3%
HV 60d	16.9%	16.2%	17.8%	17.7%	17.1%
IV Rank	12.5%	0.0%	22.7%	17.5%	19.7%
IV Percentile	46.5%	0.0%	73.4%	61.9%	64.7%
Term Structure	10.4%	-30.2%	95.4%	-0.8%	7.4%
VWIV	45.3%	9.4%	96.4%	96.4%	9.4%
Skew 25d	22.4%	-7.6%	55.8%	26.7%	44.2%
Skew 10d	14.5%	-32.0%	53.0%	2.2%	24.8%
Call IV 25d	27.0%	12.6%	44.3%	19.1%	18.8%
Put IV 25d	49.4%	23.3%	82.1%	45.8%	63.0%
Bid-Ask Spread %	125.78	76.42	152.97	129.05	111.75
Gamma HHI	0.87	0.69	0.92	0.69	0.90
Net GEX	9.2K	6.0K	16.6K	6.6K	8.5K
Net DEX	-116.6K	-180.3K	-84.3K	-99.7K	-148.5K
Net VEX	-344	-467	-226	-421	-390
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.96	0.96	0.00
Total Volume	13.05	0	54	53	3
Total OI	396	278	534	350	327

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
2024-09-03	$11.86	$12.50	47.1%	13.5%	18.3%	17.5%	96.4%	26.7%	-0.8%	6.6K	-99.7K	-421	0.96	129.05	27	26	257	93
2024-09-04	$11.77	$12.50	26.9%	7.7%	18.5%	6.4%	0.0%	6.7%	-5.2%	9.3K	-99.5K	-467	0.00	128.97	10	0	282	118
2024-09-05	$11.79	$12.50	38.6%	8.4%	18.5%	12.8%	0.0%	33.9%	39.3%	7.8K	-125.1K	-449	0.00	151.10	0	0	292	118
2024-09-06	$11.65	$12.50	38.9%	10.0%	15.8%	13.0%	0.0%	37.8%	37.5%	6.9K	-112.3K	-382	0.00	148.98	10	0	292	118
2024-09-09	$11.63	$12.50	24.4%	7.3%	15.8%	5.1%	0.0%	55.8%	7.1%	8.1K	-92.2K	-250	0.00	143.84	0	5	302	118
2024-09-10	$11.57	$12.50	26.9%	4.7%	15.3%	6.4%	0.0%	53.3%	11.1%	7.3K	-94.3K	-248	0.00	146.25	0	0	302	118
2024-09-11	$11.54	$12.50	41.9%	12.0%	15.1%	14.6%	0.0%	18.4%	-0.7%	7.2K	-84.3K	-239	0.00	152.97	0	0	303	118
2024-09-12	$11.64	$12.50	36.7%	10.5%	14.4%	11.8%	0.0%	10.0%	-0.6%	8.2K	-97.3K	-247	0.00	147.76	0	0	303	118
2024-09-13	$11.73	$12.50	42.4%	12.2%	14.4%	14.9%	0.0%	2.7%	9.1%	9.5K	-100.5K	-291	0.00	108.92	0	0	303	118
2024-09-16	$11.98	$12.50	54.3%	15.6%	16.4%	21.4%	44.0%	1.8%	-28.5%	13.4K	-93.8K	-226	0.00	136.80	54	0	303	118
2024-09-17	$11.84	$12.50	53.4%	15.3%	16.8%	19.7%	0.0%	-7.6%	-30.2%	9.8K	-104.9K	-306	0.00	136.56	23	0	357	118
2024-09-18	$12.01	$12.50	47.0%	13.5%	17.6%	16.2%	37.5%	9.8%	-28.0%	14.6K	-179.7K	-407	0.06	139.76	16	1	380	118
2024-09-19	$12.07	$10.00	58.9%	16.9%	17.7%	22.7%	39.2%	23.3%	95.4%	16.6K	-180.3K	-397	0.00	150.12	35	0	380	119
2024-09-20	$12.04	$10.00	38.8%	11.1%	17.5%	11.7%	9.4%	35.5%	38.7%	6.0K	-138.1K	-413	0.00	110.43	2	0	415	119
2024-09-23	$11.93	$10.00	11.6%	3.3%	17.6%	0.0%	0.0%	4.9%	27.3%	8.1K	-97.7K	-297	0.00	98.30	21	0	244	34
2024-09-24	$11.98	$10.00	28.0%	8.0%	17.7%	8.8%	0.0%	33.2%	9.1%	9.4K	-132.2K	-379	0.00	94.56	0	0	265	34
2024-09-25	$11.79	$10.00	36.0%	10.3%	18.3%	13.0%	0.0%	24.5%	1.7%	7.5K	-123.4K	-328	0.00	76.42	0	2	265	34
2024-09-26	$11.86	$10.00	14.0%	4.0%	18.4%	1.3%	0.0%	-3.4%	8.1%	9.5K	-95.1K	-301	0.00	102.61	15	0	265	36
2024-09-27	$11.86	$10.00	35.9%	10.3%	18.4%	12.9%	0.0%	36.3%	10.1%	8.7K	-132.5K	-434	0.00	100.41	11	0	280	36
2024-09-30	$11.93	$10.00	48.5%	13.9%	18.3%	19.7%	0.0%	44.2%	7.4%	8.5K	-148.5K	-390	0.00	111.75	3	0	291	36