CVNA Options History — December 2017

In December 2017, CVNA traded between $0.71 and $0.93. ATM implied volatility averaged 65.3%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 14.3% (HV 20d: 79.6%). Max pain ranged from $0.68 to $0.80. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-12-13: Highest Volume — 240,750 contracts
  • 2017-12-07: Largest IV drop — 14.6% change
  • 2017-12-06: Highest IV Rank — 8.6%
  • 2017-12-01: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.83$0.71$0.93$0.71$0.76
Max Pain$0.79$0.68$0.80$0.68$0.80
ATM IV65.3%59.4%75.2%70.7%61.0%
Expected Move18.0%17.0%20.3%20.3%17.5%
HV 20d79.6%71.8%98.2%88.8%80.0%
HV 60d74.9%70.0%76.3%70.0%74.9%
IV Rank2.6%0.0%8.6%5.2%1.2%
IV Percentile4.2%0.0%15.3%6.3%2.7%
Term Structure12.2%-1.7%19.5%-1.7%17.1%
VWIV61.2%51.9%69.2%69.2%62.1%
Skew 25d7.0%2.0%12.4%4.9%10.3%
Skew 10d8.5%1.9%15.0%1.9%6.1%
Call IV 25d59.4%56.3%64.1%64.1%57.5%
Put IV 25d66.4%63.0%71.3%69.0%67.8%
Bid-Ask Spread %43.8527.5856.1356.0835.90
Gamma HHI0.170.110.280.160.11
Net GEX-60.0K-192.0K57.1K-18.9K-27.1K
Net DEX-2.6M-10.7M4.9M2.9M4.9M
Net VEX-35.4K-39.7K-31.4K-34.9K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.432.231.150.70
Total Volume96,442.561,775240,75066,62564,650
Total OI563,612.5472,750709,825548,300503,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$0.71$0.6870.7%20.3%88.8%5.2%69.2%4.9%-1.7%-18.9K2.9M-34.9K1.1556.0831,00035,625233,000315,300
2017-12-04$0.81$0.8072.7%18.6%98.2%6.8%67.5%12.2%11.4%-49.7K-4.1M-36.6K1.9448.2734,30066,475231,625329,700
2017-12-05$0.81$0.8072.5%17.8%83.0%6.6%65.4%10.8%7.9%-168.8K-3.4M-37.0K2.2349.9232,80073,075228,575366,425
2017-12-06$0.82$0.8075.2%18.1%73.8%8.6%63.0%5.9%12.3%-165.7K-3.8M-39.7K0.5153.9768,95034,825229,425380,275
2017-12-07$0.88$0.8064.2%17.6%74.6%0.3%57.4%7.6%12.8%-130.3K-9.2M-31.4K0.5346.6779,17541,750219,575384,750
2017-12-08$0.86$0.8063.9%17.9%71.8%0.1%53.2%12.4%14.9%-119.2K-6.4M-36.6K0.4339.7363,17526,900239,450389,150
2017-12-11$0.83$0.8067.8%17.6%74.0%3.0%56.9%5.6%14.4%-180.9K-4.1M-37.4K0.6443.7360,27538,325245,000391,900
2017-12-12$0.85$0.8070.5%17.0%72.9%5.1%51.9%10.6%17.5%-192.0K-6.3M-33.8K0.4544.1454,25024,300241,900404,750
2017-12-13$0.88$0.8064.7%18.6%72.9%0.7%63.8%5.6%7.5%-85.0K-9.3M-32.0K0.7153.87140,87599,875240,500404,375
2017-12-14$0.93$0.8061.0%17.5%73.3%0.0%56.5%5.8%16.2%57.1K-10.7M-34.7K0.6452.15109,90070,000267,575442,250
2017-12-15$0.87$0.8064.5%18.5%79.4%2.6%63.3%10.3%8.9%-2.8K-5.6M-38.1K1.0856.1370,02575,900276,500419,950
2017-12-18$0.86$0.8062.3%17.9%80.1%1.0%62.1%6.8%8.1%-10.3K-1.3M-35.4K0.6941.1036,57525,200219,550253,200
2017-12-19$0.81$0.8065.0%18.6%82.0%3.0%63.1%5.9%9.4%-34.2K1.8M-36.3K0.6653.8841,25027,425221,675255,000
2017-12-20$0.85$0.8062.5%17.9%81.5%1.1%62.2%2.8%12.2%-3.8K-766.8K-35.3K0.7539.8835,85026,950225,450258,050
2017-12-21$0.85$0.8059.4%17.0%80.8%0.0%60.7%4.3%19.5%2.3K-1.1M-36.6K0.7236.3338,27527,575225,825260,575
2017-12-22$0.85$0.8060.6%17.4%80.9%0.9%59.8%6.8%15.5%717-762.0K-36.8K0.7337.4038,65028,350227,275261,900
2017-12-26$0.85$0.8064.2%18.4%81.2%3.5%62.8%6.2%11.6%-2.7K-664.9K-34.3K0.7331.0038,40028,225228,175262,075
2017-12-27$0.81$0.8062.7%18.0%82.6%2.5%59.9%2.0%11.2%-24.7K2.0M-35.0K0.7427.5838,17528,200229,950264,075
2017-12-28$0.78$0.8060.5%17.3%79.9%0.8%63.4%3.0%16.4%-44.7K3.9M-33.6K0.5629.3346,97526,350230,950263,250
2017-12-29$0.76$0.8061.0%17.5%80.0%1.2%62.1%10.3%17.1%-27.1K4.9M-32.4K0.7035.9037,92526,725239,875263,450