CVNA Options History — July 2017

In July 2017, CVNA traded between $0.77 and $0.92. ATM implied volatility averaged 110.0%. The 30-day expected move averaged 31.9%. IV traded above realized volatility by 19.3% (HV 20d: 90.7%). Max pain ranged from $0.70 to $0.80. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-07-31: Highest Volume — 119,625 contracts
  • 2017-07-24: Largest IV spike — 10.4% change
  • 2017-07-31: Largest Expected Move — 36.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.85$0.77$0.92$0.77$0.78
Max Pain$0.78$0.70$0.80$0.70$0.80
ATM IV110.0%99.9%125.9%107.6%125.9%
Expected Move31.9%29.9%36.1%30.8%36.1%
HV 20d90.7%69.9%126.7%124.6%72.4%
Term Structure-18.5%-30.6%6.2%1.5%-30.6%
VWIV110.4%103.3%129.7%105.0%129.7%
Skew 25d5.4%2.5%13.4%2.5%13.4%
Skew 10d9.7%-3.7%19.6%2.1%18.4%
Call IV 25d109.1%90.3%124.4%109.0%124.4%
Put IV 25d114.5%96.4%137.7%111.5%137.7%
Bid-Ask Spread %42.7027.1555.9155.9150.44
Gamma HHI0.310.200.520.220.49
Net GEX61.9K30.5K108.6K30.5K89.1K
Net DEX-4.5M-5.8M-2.8M-2.8M-3.3M
Net VEX-20.1K-28.3K-15.3K-17.2K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.332.352.221.01
Total Volume43,212.527,775119,62534,000119,625
Total OI262,896.25202,775305,475235,000277,925

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$0.77$0.70107.6%30.8%124.6%0.0%105.0%2.5%1.5%30.5K-2.8M-17.2K2.2255.9110,57523,425121,625113,375
2017-07-05$0.86$0.70108.3%31.1%126.7%0.0%104.8%2.9%6.2%39.1K-4.7M-16.9K2.0954.239,52519,900122,400116,075
2017-07-06$0.80$0.70110.4%33.0%97.4%0.0%111.5%6.4%-23.4%39.6K-3.8M-17.1K1.9852.5311,02521,800123,525116,175
2017-07-07$0.84$0.7099.9%31.2%96.9%0.0%109.5%7.0%-19.1%44.6K-4.4M-16.3K2.3543.9110,70025,175124,500116,625
2017-07-10$0.88$0.70106.3%30.4%97.0%0.0%103.3%4.3%-18.4%68.8K-5.6M-15.3K2.3535.4611,32526,650126,550118,250
2017-07-11$0.85$0.80101.3%31.8%99.0%0.0%111.2%7.5%-22.6%51.4K-4.7M-17.0K1.9845.2616,00031,625127,700121,925
2017-07-12$0.90$0.80109.2%31.3%97.4%0.0%106.7%5.6%-22.2%68.3K-5.8M-16.4K0.9042.0418,82516,925131,975132,550
2017-07-13$0.92$0.80106.0%30.4%92.9%0.0%108.2%8.8%-13.4%54.9K-5.7M-18.4K0.8444.5716,07513,450127,525136,625
2017-07-14$0.92$0.80106.0%30.4%91.0%0.0%105.1%6.1%-18.1%55.5K-5.5M-16.5K0.6044.3920,10012,025124,700140,275
2017-07-17$0.88$0.80106.9%30.7%89.2%0.0%108.5%7.3%-21.0%48.6K-4.3M-16.2K0.8233.6216,32513,425124,900140,475
2017-07-18$0.86$0.80107.9%30.9%89.6%0.0%115.7%4.3%-19.6%39.2K-3.8M-17.4K0.3835.3439,17514,825126,500142,000
2017-07-19$0.89$0.80108.4%31.1%88.5%0.0%107.4%3.7%-18.7%64.2K-5.2M-19.8K0.8836.5715,95014,050154,300144,825
2017-07-20$0.86$0.80110.4%31.6%89.1%0.0%113.0%4.4%-20.1%53.4K-4.5M-20.3K1.1035.4013,25014,525160,500144,975
2017-07-21$0.86$0.80104.3%29.9%85.1%0.0%104.7%5.4%-19.2%41.5K-4.3M-19.7K1.0343.0922,52523,250158,800145,975
2017-07-24$0.87$0.80115.2%33.0%85.1%0.0%115.0%2.5%-19.0%38.3K-2.8M-21.6K0.3338.6073,40023,875113,62589,150
2017-07-25$0.83$0.80114.5%32.8%76.7%0.0%115.1%6.7%-22.6%93.4K-4.4M-28.3K1.0242.7319,40019,875173,60092,775
2017-07-26$0.85$0.80115.2%33.0%74.9%0.0%107.1%3.5%-22.5%108.6K-5.0M-27.1K1.1643.3717,57520,300178,07594,950
2017-07-27$0.84$0.80119.9%34.4%69.9%0.0%107.5%3.0%-26.0%101.8K-5.0M-28.0K1.0649.3316,75017,800179,70095,725
2017-07-28$0.82$0.80116.5%33.4%70.4%0.0%119.8%2.6%-22.2%107.4K-4.2M-28.1K0.9327.1517,17516,050180,90095,875
2017-07-31$0.78$0.80125.9%36.1%72.4%0.0%129.7%13.4%-30.6%89.1K-3.3M-25.0K1.0150.4459,65059,975181,50096,425