CVNA Options History — September 2020

In September 2020, CVNA traded between $6.61 and $9.20. ATM implied volatility averaged 72.6%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 11.9% (HV 20d: 84.4%). Max pain ranged from $7.20 to $8.80. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2020-09-22: Highest Volume — 1,255,425 contracts
  • 2020-09-03: Largest IV spike — 8.9% change
  • 2020-09-08: Highest IV Rank — 20.4%
  • 2020-09-04: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.81$6.61$9.20$9.20$8.92
Max Pain$8.65$7.20$8.80$7.20$8.80
ATM IV72.6%68.4%78.3%68.6%72.0%
Expected Move20.5%18.8%22.4%18.8%20.0%
HV 20d84.4%57.5%121.3%108.1%119.6%
HV 60d83.2%75.4%94.9%75.8%94.9%
IV Rank17.1%14.7%20.4%14.8%16.7%
IV Percentile50.0%41.7%59.9%45.6%46.8%
Term Structure2.0%-3.0%14.2%-1.7%13.2%
VWIV74.0%67.1%84.4%67.1%71.8%
Skew 25d5.1%-0.5%9.9%-0.5%4.6%
Skew 10d9.5%-9.4%18.1%6.2%18.1%
Call IV 25d72.0%66.7%80.2%70.7%71.3%
Put IV 25d77.1%70.2%83.3%70.2%75.9%
Bid-Ask Spread %19.188.1531.4619.1422.11
Gamma HHI0.090.050.310.100.07
Net GEX60.7K-5.4M10.6M10.6M-604.2K
Net DEX-856.0M-1.46B-514.0M-1.46B-1.06B
Net VEX-2.1M-2.3M-1.9M-2.3M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.472.981.151.29
Total Volume328,677.381151,6501,255,425587,850206,700
Total OI3,557,402.3813,057,7503,770,8753,494,3003,608,875

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$9.20$7.2068.6%18.8%108.1%14.8%67.1%-0.5%-1.7%10.6M-1.46B-2.3M1.1519.14273,275314,5752,085,4501,408,850
2020-09-02$8.88$7.2068.5%19.0%108.8%14.7%68.8%0.9%1.1%8.9M-1.31B-2.3M1.0231.4696,47598,6752,098,4501,487,600
2020-09-03$8.00$8.8074.6%21.9%74.0%18.2%76.9%3.9%-0.4%2.2M-949.9M-2.3M1.9720.28135,100266,3502,120,0501,524,750
2020-09-04$7.54$8.8078.1%22.4%57.9%20.3%78.7%3.0%-2.7%-1.5M-772.5M-2.3M2.9218.9179,975233,8752,152,9251,557,775
2020-09-08$7.26$8.8078.3%22.3%59.1%20.4%83.7%3.1%-0.7%1.9M-732.6M-2.2M0.979.7984,02581,2252,016,5751,470,250
2020-09-09$7.19$8.8073.9%20.8%59.1%17.9%76.0%0.6%-3.0%1.1M-711.5M-2.1M0.898.1583,22573,8002,076,5501,504,325
2020-09-10$7.15$8.8071.4%20.2%58.2%16.4%71.8%8.1%-0.9%436.2K-677.0M-2.2M1.0615.4373,70077,9502,100,5501,537,725
2020-09-11$6.94$8.8071.5%20.2%58.9%16.5%74.3%4.8%-0.7%-803.3K-614.8M-2.1M2.2613.3971,250161,0502,141,5501,569,625
2020-09-14$6.88$8.8069.7%20.0%58.6%15.4%71.7%6.9%0.8%-997.8K-605.7M-2.0M1.4525.0766,35096,2002,012,5001,470,125
2020-09-15$6.86$8.8068.4%19.6%58.6%14.7%70.3%6.8%2.3%-1.1M-596.0M-2.0M0.5823.18123,27571,7252,031,6501,519,700
2020-09-16$7.05$8.8069.3%19.9%57.5%15.2%70.3%7.4%0.9%-324.7K-655.7M-2.0M0.5021.79135,65068,0252,056,9751,508,000
2020-09-17$6.65$8.8072.7%20.8%60.1%17.1%73.6%7.2%0.4%-1.5M-523.7M-2.0M0.9520.8394,92590,4752,093,0001,539,450
2020-09-18$6.61$8.8070.9%20.2%59.0%16.1%71.4%5.3%1.5%-5.4M-514.0M-2.0M1.3425.4565,75087,8502,123,0251,557,525
2020-09-21$6.93$8.8072.4%20.6%62.5%17.0%75.8%5.3%0.4%-252.3K-630.6M-2.1M0.5819.05184,275107,7001,675,1501,382,600
2020-09-22$9.08$8.8077.4%22.3%116.4%19.9%84.4%2.3%0.1%855.6K-1.26B-1.9M1.0921.28599,975655,4501,729,2001,449,675
2020-09-23$8.79$8.8073.1%21.0%117.1%17.4%76.1%6.5%1.7%-1.4M-1.12B-2.1M0.6613.28447,625294,9251,866,1751,798,575
2020-09-24$8.35$8.8075.2%20.6%118.5%18.6%75.1%7.9%1.7%-3.8M-904.0M-2.1M2.0818.5299,525207,1251,843,7751,880,750
2020-09-25$8.08$8.8072.4%20.2%119.1%17.0%71.9%6.5%-0.2%-4.7M-812.7M-2.2M2.9815.9071,225212,1501,854,8251,916,050
2020-09-28$8.64$8.8072.3%19.8%120.5%16.9%71.2%6.6%13.6%-2.6M-968.9M-2.0M0.4714.92204,55095,5501,635,8251,778,050
2020-09-29$8.99$8.8073.0%20.0%121.3%17.3%73.4%9.9%14.2%217.2K-1.09B-2.1M0.6524.73249,150161,5501,706,3751,814,600
2020-09-30$8.92$8.8072.0%20.0%119.6%16.7%71.8%4.6%13.2%-604.2K-1.06B-2.0M1.2922.1190,275116,4251,746,6501,862,225