CION Options History — November 2024

In November 2024, CION traded between $11.32 and $11.87. ATM implied volatility averaged 45.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 27.4% (HV 20d: 17.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.07.

Notable Days

2024-11-27: Highest Volume — 50 contracts
2024-11-05: Largest IV spike — 130.7% change
2024-11-05: Highest IV Rank — 51.2%
2024-11-14: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.58	$11.32	$11.87	$11.66	$11.79
Max Pain	$9.25	$7.50	$10.00	$10.00	$10.00
ATM IV	45.0%	23.2%	107.6%	46.6%	36.2%
Expected Move	11.4%	6.7%	15.6%	13.4%	10.4%
HV 20d	17.5%	12.1%	20.0%	12.1%	18.7%
HV 60d	15.6%	14.1%	16.6%	14.1%	15.4%
IV Rank	17.8%	6.2%	51.2%	18.7%	13.1%
IV Percentile	50.0%	14.3%	95.2%	58.3%	39.7%
Term Structure	2.9%	-50.5%	128.6%	-50.5%	-2.9%
VWIV	55.5%	17.2%	122.0%	45.2%	122.0%
Skew 25d	61.3%	-23.9%	192.0%	-23.9%	192.0%
Skew 10d	92.8%	-20.6%	247.6%	-20.6%	247.6%
Call IV 25d	27.2%	15.1%	64.7%	64.7%	34.3%
Put IV 25d	88.5%	19.6%	226.3%	40.8%	226.3%
Bid-Ask Spread %	148.86	130.11	158.76	158.14	137.22
Gamma HHI	0.80	0.57	0.98	0.89	0.98
Net GEX	6.9K	2.6K	13.7K	13.5K	6.1K
Net DEX	-119.9K	-241.6K	-65.6K	-224.0K	-94.3K
Net VEX	-358	-688	-226	-688	-311
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.00	10.00	10.00	0.00
Total Volume	9.25	0	50	12	26
Total OI	455.65	268	599	561	341

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
2024-11-01	$11.66	$10.00	46.6%	13.4%	12.1%	18.7%	45.2%	-23.9%	-50.5%	13.5K	-224.0K	-688	0.00	158.14	0	12	514	47
2024-11-04	$11.50	$7.50	46.6%	13.4%	12.8%	18.7%	0.0%	20.0%	-0.0%	13.5K	-175.1K	-445	10.00	158.76	1	10	514	58
2024-11-05	$11.59	$7.50	107.6%	11.8%	13.1%	51.2%	0.0%	23.3%	4.5%	9.7K	-238.0K	-523	0.00	152.66	0	0	515	68
2024-11-06	$11.84	$7.50	81.9%	9.5%	15.2%	37.5%	0.0%	24.5%	1.8%	13.7K	-241.6K	-495	0.00	148.29	0	0	515	68
2024-11-07	$11.51	$7.50	42.3%	12.9%	18.3%	16.4%	0.0%	14.4%	-2.9%	13.6K	-148.5K	-429	0.00	158.60	0	5	515	68
2024-11-08	$11.53	$7.50	40.6%	14.6%	18.0%	15.4%	0.0%	19.8%	0.5%	13.1K	-127.7K	-424	0.00	155.53	0	0	515	72
2024-11-11	$11.52	$7.50	51.9%	14.6%	17.9%	21.5%	37.4%	22.1%	0.1%	13.3K	-140.7K	-407	1.50	155.64	4	6	515	72
2024-11-12	$11.40	$10.00	51.7%	14.7%	17.9%	21.4%	17.2%	26.3%	-0.4%	2.8K	-71.9K	-283	0.17	151.43	6	1	518	78
2024-11-13	$11.42	$10.00	53.7%	15.4%	17.4%	22.4%	0.0%	17.5%	-1.7%	2.9K	-73.2K	-282	0.00	155.52	2	0	519	79
2024-11-14	$11.46	$10.00	54.5%	15.6%	17.5%	22.9%	0.0%	10.9%	128.6%	2.8K	-76.3K	-306	0.00	149.73	0	0	520	79
2024-11-15	$11.32	$10.00	23.2%	6.7%	17.8%	6.2%	0.0%	-6.6%	-2.9%	2.6K	-65.6K	-257	0.00	148.17	3	0	520	79
2024-11-18	$11.52	$10.00	30.6%	8.8%	19.3%	10.2%	0.0%	151.2%	-1.6%	3.0K	-81.9K	-272	0.07	146.67	14	1	212	56
2024-11-19	$11.48	$10.00	30.8%	8.8%	19.3%	10.2%	0.0%	7.4%	-1.8%	3.2K	-87.0K	-300	0.00	148.60	0	0	226	56
2024-11-20	$11.46	$10.00	23.7%	6.8%	19.2%	6.4%	0.0%	137.2%	-2.0%	3.1K	-80.5K	-274	0.00	148.26	1	0	226	56
2024-11-21	$11.55	$10.00	32.4%	9.3%	19.3%	11.1%	0.0%	143.4%	-2.0%	3.3K	-80.4K	-265	0.00	148.30	0	0	226	56
2024-11-22	$11.71	$10.00	34.0%	9.8%	19.7%	12.0%	0.0%	11.7%	-1.8%	3.9K	-83.9K	-304	0.00	130.11	7	0	226	56
2024-11-25	$11.87	$10.00	37.0%	10.6%	20.0%	13.5%	0.0%	186.1%	-1.9%	4.8K	-93.7K	-226	0.00	144.28	36	0	232	56
2024-11-26	$11.79	$10.00	36.2%	10.4%	18.7%	13.1%	0.0%	182.6%	-2.3%	5.0K	-112.3K	-397	0.00	145.10	0	0	264	56
2024-11-27	$11.76	$10.00	37.8%	10.8%	18.7%	14.0%	122.0%	66.7%	-2.5%	5.1K	-102.0K	-280	0.00	136.12	50	0	264	56
2024-11-29	$11.79	$10.00	36.2%	10.4%	18.7%	13.1%	0.0%	192.0%	-2.9%	6.1K	-94.3K	-311	0.00	137.22	26	0	285	56