CVNA Options History — June 2017

In June 2017, CVNA traded between $0.36 and $0.94. ATM implied volatility averaged 103.5%. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 17.7% (HV 20d: 121.2%). Max pain ranged from $0.40 to $0.70. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2017-06-22: Highest Volume — 66,875 contracts
  • 2017-06-12: Largest IV spike — 43.5% change
  • 2017-06-26: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.67$0.36$0.94$0.37$0.82
Max Pain$0.56$0.40$0.70$0.40$0.70
ATM IV103.5%78.8%136.7%91.7%107.3%
Expected Move26.4%3.6%34.9%26.3%30.8%
HV 20d121.2%116.6%125.5%120.6%123.7%
Term Structure-0.1%-30.7%116.2%-30.7%5.1%
VWIV90.1%12.6%121.3%91.5%102.8%
Skew 25d3.7%-19.3%39.0%39.0%12.4%
Skew 10d10.5%-44.2%70.3%65.2%14.4%
Call IV 25d101.3%27.1%166.2%131.1%99.8%
Put IV 25d105.0%34.8%170.1%170.1%112.2%
Bid-Ask Spread %60.0628.03105.8688.9155.23
Gamma HHI0.430.201.000.840.21
Net GEX13.2K-14.8K52.6K035.6K
Net DEX-2.3M-6.2M812.3K0-4.0M
Net VEX-7.9K-18.6K00-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.223.993.992.18
Total Volume37,779.5458,35066,87529,05031,600
Total OI130,769.3180234,6250234,625

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$0.37$0.0091.7%26.3%0.0%0.0%91.5%0.0%-30.7%0003.9988.915,82523,22500
2017-06-02$0.38$0.4087.4%25.1%0.0%0.0%90.1%0.0%-24.3%-14.8K360.3K-1.1K0.2255.596,8251,5255,40022,775
2017-06-05$0.36$0.4099.9%24.0%0.0%0.0%85.8%39.0%-13.4%-1.7K617.6K-690.2477.9821,2255,0756,42523,025
2017-06-06$0.38$0.40136.7%24.4%0.0%0.0%84.6%-19.3%-21.6%124812.3K-5801.0370.4320,17520,87519,92528,100
2017-06-07$0.50$0.4084.4%18.2%0.0%0.0%60.9%37.0%-3.4%-1.6K-1.5M-8660.3855.0540,80015,50033,42538,075
2017-06-08$0.53$0.4078.8%21.2%0.0%0.0%63.0%-17.3%4.3%10.2K-2.2M-1.9K0.7155.9926,42518,65050,75046,275
2017-06-09$0.53$0.4087.1%20.9%0.0%0.0%72.6%2.1%2.5%5.5K-1.4M-3.0K1.4067.0513,72519,20043,95053,850
2017-06-12$0.55$0.40125.0%3.6%0.0%0.0%12.6%7.8%116.2%-9.3K-1.5M-1.6K1.25105.869,90012,37543,45054,425
2017-06-13$0.60$0.40102.3%21.2%0.0%0.0%74.2%0.1%5.8%30.1K-1.8M-2.7K0.7762.9710,1507,77544,40056,375
2017-06-14$0.66$0.5082.3%23.6%0.0%0.0%75.6%13.6%2.8%2.4K-1.4M-2.6K0.9050.5414,92513,37533,27558,675
2017-06-15$0.71$0.5085.9%24.6%0.0%0.0%88.0%15.8%1.0%6.2K-1.9M-4.5K1.0928.0322,37524,45039,20067,425
2017-06-16$0.77$0.60105.6%30.3%0.0%0.0%98.9%17.5%7.3%-8.0K-1.7M-6.7K0.4465.6146,15020,45040,750113,200
2017-06-19$0.78$0.60109.6%31.4%0.0%0.0%108.1%1.4%-7.7%10.1K-2.7M-10.1K1.1748.8112,85015,07564,50081,550
2017-06-20$0.75$0.70108.4%31.1%0.0%0.0%106.6%-0.9%-6.7%4.0K-1.9M-11.5K1.2657.797,8509,90065,82589,675
2017-06-21$0.78$0.70105.2%30.2%0.0%0.0%101.7%3.4%-9.5%7.2K-2.3M-11.2K0.3160.8635,10010,97567,35090,675
2017-06-22$0.84$0.70110.0%31.5%120.6%0.0%108.2%-1.3%-20.7%31.6K-4.4M-14.8K0.8254.8336,77530,10094,50091,900
2017-06-23$0.84$0.70102.9%29.5%118.4%0.0%100.3%1.4%-8.9%28.4K-4.4M-14.7K1.4251.2622,92532,55097,575102,150
2017-06-26$0.94$0.70121.7%34.9%116.6%0.0%120.1%-14.4%-16.9%52.6K-6.2M-14.1K0.8945.1627,30024,225101,250104,200
2017-06-27$0.89$0.70118.1%33.9%120.7%0.0%115.5%-3.1%2.5%35.6K-5.4M-16.5K1.5655.7618,37528,650108,025104,550
2017-06-28$0.82$0.70118.7%34.0%125.5%0.0%121.3%-14.3%-0.3%30.7K-4.0M-18.6K1.8652.1411,70021,750115,100108,525
2017-06-29$0.82$0.70108.0%31.0%123.2%0.0%100.0%-7.3%13.5%35.7K-4.0M-18.3K2.5355.399,20023,275120,225111,575
2017-06-30$0.82$0.70107.3%30.8%123.7%0.0%102.8%12.4%5.1%35.6K-4.0M-17.8K2.1855.239,95021,650121,275113,350