CVNA Options History — March 2020

In March 2020, CVNA traded between $1.05 and $3.27. ATM implied volatility averaged 147.6%, placing in the 75.5% IV rank vs the trailing year. The 30-day expected move averaged 41.7%. IV traded below realized volatility by 19.7% (HV 20d: 167.3%). Max pain ranged from $2.80 to $4.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.28.

Notable Days

2020-03-19: Highest Volume — 315,250 contracts
2020-03-18: Largest IV spike — 38.3% change
2020-03-12: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 62.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.15	$1.05	$3.27	$3.25	$2.16
Max Pain	$3.28	$2.80	$4.00	$4.00	$2.80
ATM IV	147.6%	67.9%	216.6%	74.1%	175.9%
Expected Move	41.7%	20.0%	62.1%	22.4%	50.6%
HV 20d	167.3%	81.0%	277.5%	90.2%	277.0%
HV 60d	109.6%	62.8%	167.6%	63.7%	167.6%
IV Rank	75.5%	26.2%	100.0%	32.7%	76.6%
IV Percentile	95.8%	70.2%	100.0%	84.5%	96.8%
Term Structure	-3.6%	-11.3%	2.9%	-1.7%	-2.7%
VWIV	142.2%	67.1%	217.7%	80.5%	163.9%
Skew 25d	44.9%	10.2%	85.6%	10.2%	58.6%
Skew 10d	91.1%	19.3%	158.2%	19.3%	156.9%
Call IV 25d	119.7%	58.8%	166.7%	68.3%	142.7%
Put IV 25d	164.7%	72.1%	230.8%	78.5%	201.3%
Bid-Ask Spread %	60.32	26.45	94.69	58.39	69.48
Gamma HHI	0.14	0.10	0.22	0.15	0.12
Net GEX	273.8K	-287.5K	708.2K	452.4K	440.6K
Net DEX	-44.5M	-168.6M	44.2M	-168.6M	-85.3M
Net VEX	-1.1M	-1.6M	-496.1K	-1.6M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.28	0.14	23.25	1.26	0.98
Total Volume	133,555.682	50,100	315,250	71,875	87,500
Total OI	2,427,732.955	2,237,225	2,649,850	2,287,225	2,581,075

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-03-02	$3.25	$4.00	74.1%	22.4%	90.2%	32.7%	80.5%	10.2%	-1.7%	452.4K	-168.6M	-1.6M	1.26	58.39	31,850	40,025	1,421,250	865,975
2020-03-03	$3.23	$4.00	72.3%	22.4%	84.4%	30.8%	82.7%	12.9%	-2.2%	151.0K	-147.8M	-1.5M	0.92	65.10	85,025	78,000	1,350,775	886,450
2020-03-04	$3.27	$4.00	67.9%	20.0%	81.0%	26.2%	67.1%	13.3%	-1.9%	328.1K	-161.8M	-1.6M	0.35	67.17	40,350	14,275	1,419,125	927,950
2020-03-05	$2.96	$3.40	79.7%	21.7%	87.1%	38.6%	73.7%	16.3%	-1.4%	-32.1K	-100.9M	-1.5M	0.96	41.80	69,700	67,100	1,440,400	934,750
2020-03-06	$2.61	$3.40	99.2%	26.6%	95.4%	58.9%	87.0%	20.6%	-3.7%	-287.5K	-38.6M	-1.4M	1.34	52.98	53,950	72,150	1,464,025	946,750
2020-03-09	$2.36	$3.40	112.2%	29.5%	99.9%	72.7%	92.9%	27.6%	-5.4%	-15.5K	-10.0M	-1.2M	0.72	41.01	58,550	42,075	1,441,950	925,800
2020-03-10	$2.46	$3.40	110.8%	28.4%	102.1%	71.2%	95.2%	22.8%	-6.2%	-155.6K	-22.6M	-1.3M	0.19	32.68	162,650	31,625	1,455,725	924,250
2020-03-11	$2.26	$3.40	112.3%	31.7%	104.8%	72.7%	117.9%	30.0%	-1.8%	106.2K	-1.8M	-1.2M	0.58	26.45	70,025	40,675	1,483,550	910,975
2020-03-12	$1.82	$3.40	138.7%	38.8%	125.0%	100.0%	115.1%	28.9%	-3.8%	303.8K	31.6M	-954.4K	7.73	51.37	11,325	87,525	1,529,550	911,000
2020-03-13	$1.91	$3.40	131.8%	36.1%	127.7%	92.9%	127.9%	45.1%	-6.6%	253.3K	30.0M	-1.0M	0.37	38.88	36,450	13,650	1,532,050	933,575
2020-03-16	$1.58	$3.20	158.3%	45.3%	138.7%	100.0%	156.5%	56.8%	-10.1%	281.7K	44.2M	-787.4K	0.14	67.52	144,025	20,700	1,519,775	912,400
2020-03-17	$1.61	$3.20	156.6%	44.3%	135.1%	98.6%	145.3%	49.7%	-4.6%	404.4K	37.4M	-816.9K	1.18	43.76	67,675	80,025	1,643,400	907,000
2020-03-18	$1.05	$3.20	216.6%	62.1%	179.6%	100.0%	183.6%	85.6%	-2.3%	245.2K	42.3M	-496.1K	0.86	94.69	64,875	55,975	1,642,350	886,500
2020-03-19	$1.16	$3.20	190.7%	54.5%	186.4%	85.1%	125.3%	70.9%	-6.1%	303.4K	28.7M	-583.0K	23.25	83.27	13,000	302,250	1,680,025	834,900
2020-03-20	$1.18	$3.20	199.2%	55.6%	186.8%	90.0%	184.4%	67.3%	2.9%	276.2K	44.1M	-588.4K	0.61	76.95	63,325	38,750	1,680,425	969,425
2020-03-23	$1.44	$3.00	193.5%	55.1%	209.2%	86.7%	204.8%	80.5%	0.1%	361.5K	2.2M	-760.3K	1.60	68.01	22,800	36,450	1,520,825	732,675
2020-03-24	$2.16	$3.20	157.1%	46.6%	265.1%	65.8%	209.1%	46.7%	-4.2%	495.4K	-90.2M	-1.2M	1.68	80.98	62,225	104,300	1,523,775	747,225
2020-03-25	$2.57	$3.00	195.6%	57.8%	275.0%	87.9%	204.7%	59.0%	1.4%	708.2K	-164.7M	-1.4M	0.65	69.97	159,100	103,525	1,535,200	811,575
2020-03-26	$2.19	$2.80	200.2%	56.2%	277.5%	90.6%	217.7%	63.3%	-1.9%	592.5K	-95.0M	-1.3M	1.61	62.16	72,600	117,025	1,618,150	870,150
2020-03-27	$2.04	$2.80	206.5%	58.3%	276.0%	94.2%	205.9%	64.1%	-6.0%	386.2K	-69.4M	-1.2M	1.66	66.34	38,800	64,350	1,658,475	929,075
2020-03-30	$2.12	$2.80	197.6%	52.3%	276.7%	89.1%	187.4%	58.6%	-11.3%	425.4K	-82.8M	-1.3M	1.61	68.08	42,825	69,150	1,603,250	896,600
2020-03-31	$2.16	$2.80	175.9%	50.6%	277.0%	76.6%	163.9%	58.6%	-2.7%	440.6K	-85.3M	-1.3M	0.98	69.48	44,300	43,200	1,633,550	947,525