CVNA Options History — November 2017

In November 2017, CVNA traded between $0.56 and $0.66. ATM implied volatility averaged 83.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 0.6% (HV 20d: 84.6%). Max pain ranged from $0.52 to $0.80. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-11-14: Highest Volume — 218,050 contracts
  • 2017-11-08: Largest IV drop — 51.7% change
  • 2017-11-29: Highest IV Rank — 9.7%
  • 2017-11-01: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.60$0.56$0.66$0.56$0.64
Max Pain$0.64$0.52$0.80$0.70$0.68
ATM IV83.9%63.8%151.9%107.9%65.4%
Expected Move22.0%18.3%30.9%30.9%18.8%
HV 20d84.6%61.1%91.5%61.3%83.4%
HV 60d69.6%64.1%72.6%65.2%67.8%
IV Rank5.5%1.2%9.7%9.7%1.2%
IV Percentile7.9%0.8%15.1%15.1%0.8%
Term Structure2.9%-22.2%19.0%-22.2%-1.3%
VWIV68.9%46.1%111.2%111.2%53.1%
Skew 25d7.4%-0.2%22.6%9.7%8.3%
Skew 10d12.1%-0.7%50.6%2.7%9.2%
Call IV 25d74.0%56.2%109.0%109.0%63.7%
Put IV 25d81.5%67.3%118.7%118.7%72.1%
Bid-Ask Spread %41.9229.1074.5243.8543.00
Gamma HHI0.270.170.570.340.23
Net GEX-82.7K-204.3K-25.0K-108.4K-100.5K
Net DEX5.6M2.6M9.2M7.2M4.2M
Net VEX-24.5K-31.7K-21.4K-27.8K-21.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.432.350.990.62
Total Volume127,017.85760,825218,05065,675203,300
Total OI611,046.429352,425844,100606,525411,550

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$0.56$0.70107.9%30.9%61.3%0.0%111.2%9.7%-22.2%-108.4K7.2M-27.8K0.9943.8532,95032,725250,100356,425
2017-11-02$0.56$0.52112.7%25.7%61.2%0.0%92.2%5.0%-6.4%-108.1K7.1M-27.7K0.7930.5444,87535,400257,400365,650
2017-11-03$0.56$0.52124.9%27.6%61.1%0.0%97.7%9.2%-7.6%-94.0K6.8M-29.4K0.8135.0033,57527,250270,050374,075
2017-11-06$0.66$0.52143.7%27.9%83.2%0.0%98.3%1.9%-3.2%-57.8K2.6M-31.7K1.0754.9280,35086,250278,750377,100
2017-11-07$0.60$0.52151.9%29.4%86.9%0.0%104.6%10.6%-7.1%-68.3K5.0M-30.8K1.4536.0554,85079,450312,925407,375
2017-11-08$0.59$0.5273.5%21.1%87.1%0.0%76.1%1.5%16.9%-102.5K6.0M-26.3K2.3574.5238,67590,925338,750433,900
2017-11-09$0.56$0.5671.2%20.4%89.1%0.0%71.4%0.7%16.2%-204.3K9.2M-25.4K1.1943.8835,17541,775343,475459,400
2017-11-10$0.57$0.5673.7%21.1%89.6%0.0%69.2%0.3%6.9%-201.2K8.2M-23.4K1.1463.7936,02540,925346,425458,575
2017-11-13$0.60$0.5665.5%18.8%91.4%0.0%63.4%-0.2%19.0%-61.4K5.7M-21.4K0.8250.1748,90039,900348,200460,050
2017-11-14$0.60$0.5669.8%20.0%91.4%0.0%55.4%6.1%10.3%-56.4K5.8M-22.3K1.0442.34106,675111,375351,450459,525
2017-11-15$0.60$0.8069.2%19.8%91.5%0.0%55.1%8.0%12.1%-25.0K6.3M-23.6K1.0431.40104,925108,775370,775473,325
2017-11-16$0.62$0.8063.8%18.3%90.2%0.0%47.2%2.5%15.4%-37.8K4.9M-22.1K1.1934.6495,150113,200369,575473,800
2017-11-17$0.62$0.8069.1%19.8%90.1%0.0%62.2%11.1%15.5%-48.4K4.9M-22.7K0.4339.06120,27551,725362,325477,100
2017-11-20$0.60$0.6872.2%20.7%90.7%0.0%55.2%10.6%1.8%-50.9K5.1M-22.2K0.6541.3459,22538,200143,500208,925
2017-11-21$0.59$0.6871.0%20.4%89.9%0.0%56.9%9.9%-0.9%-56.9K5.5M-21.5K0.4529.1059,05026,350146,825215,025
2017-11-22$0.62$0.6871.8%20.6%89.5%0.0%59.6%5.3%-6.8%-61.6K4.7M-22.8K0.4534.5687,00039,050149,000218,550
2017-11-24$0.62$0.6869.2%19.8%88.3%0.0%59.4%14.2%-2.9%-66.6K5.0M-23.1K0.4540.1488,75040,050153,000227,625
2017-11-27$0.63$0.6871.9%20.6%88.4%0.0%58.0%6.3%-1.3%-72.2K4.6M-22.3K0.6431.6675,77548,825152,475229,200
2017-11-28$0.66$0.6867.7%19.4%88.7%0.0%46.1%22.6%11.4%-66.8K3.6M-23.5K0.5732.0969,00039,400154,300241,450
2017-11-29$0.62$0.6876.6%22.0%82.7%9.7%54.5%12.9%-5.6%-88.3K5.3M-23.2K0.6248.3462,45038,875157,150246,900
2017-11-30$0.64$0.6865.4%18.8%83.4%1.2%53.1%8.3%-1.3%-100.5K4.2M-21.8K0.6243.00125,20078,100161,350250,200