CVNA Options History — September 2017

In September 2017, CVNA traded between $0.59 and $0.75. ATM implied volatility averaged 83.9%. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 14.0% (HV 20d: 70.0%). Max pain ranged from $0.70 to $0.70. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2017-09-28: Highest Volume — 126,975 contracts
  • 2017-09-11: Largest IV spike — 19.6% change
  • 2017-09-05: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.68$0.59$0.75$0.69$0.59
Max Pain$0.70$0.70$0.70$0.70$0.70
ATM IV83.9%75.2%104.9%80.8%76.9%
Expected Move23.1%21.6%25.6%23.2%22.0%
HV 20d70.0%58.8%78.4%75.3%58.8%
HV 60d73.5%64.6%81.1%80.3%64.6%
Term Structure15.5%7.9%21.5%7.9%21.0%
VWIV82.2%73.9%91.5%81.0%82.9%
Skew 25d8.3%3.1%16.5%5.6%7.8%
Skew 10d12.6%-10.7%27.9%0.9%-2.3%
Call IV 25d79.2%72.3%88.4%86.2%75.0%
Put IV 25d87.4%80.2%99.7%91.8%82.8%
Bid-Ask Spread %40.5829.1057.9143.2944.90
Gamma HHI0.190.160.260.200.26
Net GEX28.5K-90.3K81.3K36.2K-90.3K
Net DEX200.7K-4.0M6.7M-7306.7M
Net VEX-49.5K-60.3K-39.6K-60.3K-40.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.683.710.683.50
Total Volume70,046.2540,675126,975117,02590,050
Total OI674,553.75590,050723,525720,225696,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$0.69$0.7080.8%23.2%75.3%0.0%81.0%5.6%7.9%36.2K-730-60.3K0.6843.2969,77547,250341,250378,975
2017-09-05$0.67$0.7094.1%25.6%74.8%0.0%91.5%14.8%8.4%11.4K783.1K-57.4K1.6434.2426,90044,150335,850379,750
2017-09-06$0.71$0.7097.6%25.0%78.4%0.0%90.7%3.1%8.6%31.0K-1.2M-56.1K1.7533.6024,67543,150333,550380,950
2017-09-07$0.75$0.7090.1%24.0%77.8%0.0%87.8%6.4%9.6%59.8K-4.0M-56.4K1.9429.6221,90042,550335,750382,100
2017-09-08$0.74$0.7087.7%23.9%76.8%0.0%84.8%6.2%11.8%49.5K-3.4M-54.6K1.5535.7223,62536,525335,325386,300
2017-09-11$0.74$0.70104.9%24.1%75.0%0.0%85.6%5.1%12.0%59.1K-3.8M-52.2K1.3929.1029,40040,825335,400388,125
2017-09-12$0.74$0.70100.2%23.7%67.1%0.0%83.8%6.8%12.7%81.3K-2.9M-55.4K1.3833.4629,65040,850326,725387,725
2017-09-13$0.72$0.7081.1%23.2%66.7%0.0%86.4%3.2%18.1%54.4K-2.0M-53.6K1.6039.6525,77541,300330,000388,175
2017-09-14$0.72$0.7080.6%23.1%66.2%0.0%79.1%4.8%19.3%55.8K-2.5M-50.2K1.3931.0426,82537,275333,600389,425
2017-09-15$0.71$0.7078.2%22.4%67.1%0.0%77.3%5.8%17.9%55.7K-1.8M-49.5K0.7036.1058,72541,050333,700389,175
2017-09-18$0.66$0.7081.7%23.4%69.6%0.0%82.2%16.5%16.0%34.7K1.1M-46.5K1.4348.1926,30037,600276,000314,050
2017-09-19$0.67$0.7081.7%23.4%69.7%0.0%82.4%13.5%20.8%30.7K927.3K-47.0K1.1935.1226,27531,225280,375328,700
2017-09-20$0.70$0.7076.8%22.0%68.8%0.0%73.9%12.4%17.8%48.0K-998.4K-47.5K1.0638.6322,52523,775278,950328,950
2017-09-21$0.67$0.7077.2%22.1%69.0%0.0%77.4%8.2%16.9%41.6K654.1K-47.2K1.2348.1318,20022,475285,225330,475
2017-09-22$0.64$0.7079.7%22.9%70.6%0.0%78.5%7.2%15.1%27.0K1.9M-45.7K1.2951.9222,42528,875286,575330,475
2017-09-25$0.66$0.7080.4%23.0%68.4%0.0%77.8%15.3%21.5%31.3K1.4M-43.7K1.5157.9117,47526,375291,275334,475
2017-09-26$0.64$0.7075.2%21.6%69.7%0.0%79.0%10.0%18.9%17.6K2.8M-42.7K2.3949.0718,50044,250292,975337,900
2017-09-27$0.62$0.7077.1%22.1%69.9%0.0%79.4%6.0%17.3%-14.4K4.2M-43.5K2.4643.9818,92546,525293,725361,125
2017-09-28$0.59$0.7076.5%21.9%59.7%0.0%82.9%7.0%18.7%-50.4K6.1M-39.6K3.7147.8626,950100,025291,450360,475
2017-09-29$0.59$0.7076.9%22.0%58.8%0.0%82.9%7.8%21.0%-90.3K6.7M-40.3K3.5044.9020,02570,025298,900397,150