CVNA Options History — October 2017

In October 2017, CVNA traded between $0.50 and $0.63. ATM implied volatility averaged 87.9%. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 35.8% (HV 20d: 52.1%). Max pain ranged from $0.70 to $0.80. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-10-20: Highest Volume — 154,000 contracts
  • 2017-10-23: Largest IV spike — 10.5% change
  • 2017-10-31: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.56$0.50$0.63$0.63$0.57
Max Pain$0.71$0.70$0.80$0.70$0.70
ATM IV87.9%71.3%108.4%77.2%108.4%
Expected Move26.0%20.4%31.1%22.1%31.1%
HV 20d52.1%38.3%63.1%63.1%61.2%
HV 60d62.9%60.2%65.4%65.4%65.3%
Term Structure-3.6%-18.1%30.2%18.9%-15.7%
VWIV89.2%70.9%107.4%76.2%107.4%
Skew 25d6.7%2.1%13.0%5.2%7.6%
Skew 10d11.8%2.8%20.5%15.6%8.6%
Call IV 25d89.3%69.0%105.3%77.3%105.3%
Put IV 25d96.0%82.0%112.9%82.6%112.9%
Bid-Ask Spread %44.9627.3470.5148.8336.79
Gamma HHI0.370.220.530.220.33
Net GEX-125.6K-191.1K-38.4K-38.4K-106.3K
Net DEX8.3M4.5M10.8M4.5M7.0M
Net VEX-32.1K-42.5K-22.5K-42.5K-27.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.401.700.621.42
Total Volume81,201.13630,550154,00051,67582,250
Total OI714,027.273589,425839,850693,825595,900

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$0.63$0.7077.2%22.1%63.1%0.0%76.2%5.2%18.9%-38.4K4.5M-42.5K0.6248.8331,82519,850298,775395,050
2017-10-03$0.62$0.7077.5%22.2%62.6%0.0%75.8%7.0%23.3%-46.7K4.7M-41.8K0.6156.8228,02517,150297,950394,950
2017-10-04$0.62$0.7071.3%20.4%57.1%0.0%70.9%13.0%30.2%-64.2K4.9M-39.5K1.6870.5118,15030,525299,275395,450
2017-10-05$0.62$0.7076.2%27.3%53.8%0.0%93.7%10.4%-6.5%-53.6K5.1M-40.3K1.1032.3014,52516,025299,250404,600
2017-10-06$0.61$0.7073.9%27.0%53.8%0.0%91.8%6.3%-6.7%-70.6K5.6M-39.3K0.8733.1847,62541,275299,575403,625
2017-10-09$0.59$0.8078.1%28.0%53.7%0.0%92.7%8.0%-13.8%-115.4K7.5M-38.2K1.7027.3425,27542,950325,300428,950
2017-10-10$0.56$0.8081.0%24.6%56.6%0.0%82.1%7.3%-4.4%-174.5K10.1M-32.0K0.4040.6965,72526,425328,100429,750
2017-10-11$0.57$0.7083.1%23.8%57.9%0.0%73.1%5.9%-3.2%-158.3K9.4M-34.0K0.5834.3145,90026,425359,600442,525
2017-10-12$0.56$0.7084.9%24.3%57.6%0.0%76.6%8.6%-2.8%-166.5K9.7M-33.8K0.6145.4744,10027,075367,825442,825
2017-10-13$0.56$0.7082.4%23.6%57.6%0.0%76.6%8.6%-0.7%-191.1K9.9M-32.1K0.8242.6136,80030,225368,975442,300
2017-10-16$0.56$0.7085.5%24.5%52.9%0.0%84.1%7.1%-1.0%-183.0K9.5M-32.0K0.5338.6365,72534,525376,275442,825
2017-10-17$0.56$0.7085.9%24.6%52.2%0.0%83.1%4.2%-0.8%-190.6K9.5M-31.4K0.5139.8461,15030,975373,525444,025
2017-10-18$0.56$0.7083.2%23.9%47.0%0.0%84.4%3.3%0.9%-188.0K9.7M-30.4K0.5537.1160,22533,225375,200444,875
2017-10-19$0.54$0.7090.9%26.0%46.7%0.0%90.9%8.2%-5.0%-178.6K10.3M-28.9K0.7147.4964,42545,625378,650443,625
2017-10-20$0.53$0.7092.4%26.5%45.1%0.0%93.6%5.2%-11.6%-102.0K10.8M-28.8K0.6448.3893,97560,025383,975455,875
2017-10-23$0.52$0.70102.2%29.3%42.9%0.0%101.9%4.0%-15.8%-121.5K9.0M-26.5K0.8549.7259,05050,150227,900361,525
2017-10-24$0.55$0.7698.6%28.3%46.5%0.0%98.7%2.1%-12.3%-128.1K8.4M-27.9K0.9851.6653,07551,850228,900361,650
2017-10-25$0.52$0.70101.0%29.0%47.9%0.0%106.3%3.1%-18.1%-118.7K8.7M-26.7K0.9149.6547,45043,250236,175360,750
2017-10-26$0.51$0.7099.6%28.5%45.9%0.0%103.7%9.9%-10.1%-121.0K9.2M-25.3K1.1756.0835,35041,450237,000360,625
2017-10-27$0.51$0.70100.7%28.9%46.0%0.0%99.8%6.5%-15.6%-120.6K9.0M-25.3K0.9856.9835,97535,325239,300358,650
2017-10-30$0.50$0.7099.1%28.4%38.3%0.0%98.7%5.4%-9.0%-125.2K9.5M-22.5K1.3944.7727,45038,050240,150356,575
2017-10-31$0.57$0.70108.4%31.1%61.2%0.0%107.4%7.6%-15.7%-106.3K7.0M-27.4K1.4236.7934,00048,250241,675354,225