CION Collar Strategy
CION (CION Investment Corporation), in the Financial Services sector, (Asset Management industry), listed on NYSE.
CION Investment Corporation is a business development company. It specializes in investments in senior secured loans, including unitranche loans, First Lien, second lien loans, long-term subordinated loans, and mezzanine loans; equity interests such as warrants or options; and corporate bonds; and other debt securities in middle-market companies. The firm invests in growth capital, acquisitions, leveraged buyouts, market/product expansion, refinancing and recapitalization. The fund also invests up to 30 percent of their assets opportunistically in other types of investments, including the securities of larger public companies and foreign securities. It also makes investments in the secondary loan market. The fund does not invest in start-up companies, turnaround situations, or companies with speculative business plans.
CION (CION Investment Corporation) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $338.1M, a beta of 1.14 versus the broader market, a 52-week range of 6.5-10.93, average daily share volume of 673K, a public-listing history dating back to 2021, approximately 500 full-time employees. These structural characteristics shape how CION stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.14 places CION roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CION pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a collar on CION?
A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot.
Current CION snapshot
As of May 15, 2026, spot at $6.79, ATM IV 86.90%, IV rank 58.21%, expected move 24.91%. The collar on CION below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this collar structure on CION specifically: IV regime affects collar pricing on both sides; mid-range CION IV at 86.90% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 24.91% (roughly $1.69 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CION expiries trade a higher absolute premium for lower per-day decay. Position sizing on CION should anchor to the underlying notional of $6.79 per share and to the trader's directional view on CION stock.
CION collar setup
The CION collar below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With CION near $6.79, the first option leg uses a $7.13 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CION chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 CION shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $6.79 | long |
| Sell 1 | Call | $7.13 | N/A |
| Buy 1 | Put | $6.45 | N/A |
CION collar risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium.
CION collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar on CION. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
When traders use collar on CION
Collars on CION hedge an existing long CION stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
CION thesis for this collar
The market-implied 1-standard-deviation range for CION extends from approximately $5.10 on the downside to $8.48 on the upside. A CION collar hedges an existing long CION position with a protective put while financing the put cost via a short call; when the premiums roughly offset, the collar acts as a near-zero-cost insurance band around the current spot. Current CION IV rank near 58.21% is mid-range against its 1-year distribution, so the IV signal is neutral; the collar thesis on CION should anchor more to the directional view and the expected-move geometry. As a Financial Services name, CION options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CION-specific events.
CION collar positions are structurally neutral (protective); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. CION positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CION alongside the broader basket even when CION-specific fundamentals are unchanged. Always rebuild the position from current CION chain quotes before placing a trade.
Frequently asked questions
- What is a collar on CION?
- A collar on CION is the collar strategy applied to CION (stock). The strategy is structurally neutral (protective): A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot. With CION stock trading near $6.79, the strikes shown on this page are snapped to the nearest listed CION chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CION collar max profit and max loss calculated?
- Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium. For the CION collar priced from the end-of-day chain at a 30-day expiry (ATM IV 86.90%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CION collar?
- The breakeven for the CION collar priced on this page is no defined breakeven on the modeled curve at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current CION market-implied 1-standard-deviation expected move is approximately 24.91%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on CION?
- Collars on CION hedge an existing long CION stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
- How does current CION implied volatility affect this collar?
- CION ATM IV is at 86.90% with IV rank near 58.21%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.