CVNA Options History — November 2020

In November 2020, CVNA traded between $7.33 and $10.02. ATM implied volatility averaged 65.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 5.5% (HV 20d: 60.3%). Max pain ranged from $6.80 to $8.80. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2020-11-06: Highest Volume — 547,575 contracts
  • 2020-11-04: Largest IV drop — 5.9% change
  • 2020-11-02: Highest IV Rank — 20.3%
  • 2020-11-02: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.67$7.33$10.02$7.33$9.96
Max Pain$7.99$6.80$8.80$6.80$8.80
ATM IV65.9%61.6%78.1%78.1%64.0%
Expected Move19.2%18.0%24.0%24.0%19.3%
HV 20d60.3%49.7%67.4%54.8%49.7%
HV 60d81.8%79.4%83.5%79.4%79.6%
IV Rank13.2%10.7%20.3%20.3%12.1%
IV Percentile26.8%18.3%50.8%50.8%22.2%
Term Structure-0.6%-3.4%2.7%-0.7%1.4%
VWIV68.1%63.3%84.2%84.2%69.3%
Skew 25d4.7%1.5%7.8%6.9%4.8%
Skew 10d10.1%4.7%20.1%9.8%9.6%
Call IV 25d64.3%60.1%75.8%75.8%62.0%
Put IV 25d69.0%62.4%82.7%82.7%66.9%
Bid-Ask Spread %37.2027.3445.5938.6642.56
Gamma HHI0.100.060.240.060.11
Net GEX2.8M-1.4M10.8M-1.4M5.0M
Net DEX-1.13B-1.51B-689.2M-689.2M-1.33B
Net VEX-2.3M-2.6M-2.2M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.446.071.020.93
Total Volume251,286.25106,600547,575181,700244,625
Total OI3,906,362.53,397,0504,446,3253,615,7253,433,875

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$7.33$6.8078.1%24.0%54.8%20.3%84.2%6.9%-0.7%-1.4M-689.2M-2.2M1.0238.6690,10091,6001,866,4001,749,325
2020-11-03$7.64$6.8074.6%22.8%55.7%18.2%82.2%7.8%1.3%-802.7K-780.1M-2.2M6.0739.6455,175335,1501,866,4001,749,325
2020-11-04$8.01$6.8070.2%20.6%58.5%15.7%72.6%7.8%-1.9%1.5M-956.0M-2.4M1.3741.5254,92575,2002,019,5001,971,950
2020-11-05$8.16$7.8066.7%19.2%58.7%13.7%68.3%7.2%0.8%2.9M-1.01B-2.4M1.0629.1169,20073,1002,028,7751,979,725
2020-11-06$8.35$7.8065.3%18.8%59.4%12.9%68.6%5.7%1.1%-998.1K-1.07B-2.4M4.5327.3499,100448,4752,041,1252,017,225
2020-11-09$7.84$7.8066.7%18.7%63.3%13.7%65.3%4.4%-2.0%-603.5K-888.1M-2.2M2.2232.4135,27578,3251,945,4501,984,150
2020-11-10$7.71$8.0067.7%19.2%61.8%14.3%66.7%4.4%-0.5%-1.4M-839.3M-2.3M1.2328.9151,55063,2751,957,2502,007,600
2020-11-11$8.28$7.8065.8%18.7%67.4%13.2%67.1%3.7%-0.5%1.6M-1.05B-2.3M1.5629.8054,35084,9251,976,5752,027,575
2020-11-12$8.53$7.8065.0%19.2%67.2%12.7%67.9%4.2%2.7%3.5M-1.15B-2.3M2.7037.1198,175265,5501,991,1252,047,225
2020-11-13$8.50$8.0064.7%18.7%67.1%12.5%65.4%4.0%1.4%1.5M-1.13B-2.3M1.3138.2683,700109,3502,023,4252,224,375
2020-11-16$8.37$8.4064.2%18.5%66.3%12.3%65.3%4.3%-0.8%3.4M-1.09B-2.2M0.9837.3753,72552,8751,999,4001,996,425
2020-11-17$8.82$8.4064.6%18.6%64.3%12.4%65.3%3.1%-2.9%5.7M-1.26B-2.2M2.4839.58108,450268,8252,026,0002,018,625
2020-11-18$8.99$8.4064.9%18.6%61.4%12.6%67.0%4.7%-3.4%2.4M-1.31B-2.3M0.6139.47197,850121,2252,078,8502,210,725
2020-11-19$9.01$8.4063.5%18.3%58.8%11.8%64.9%4.4%-2.2%3.7M-1.36B-2.5M1.1740.8686,500101,1752,157,4502,249,750
2020-11-20$9.40$8.4062.5%18.0%60.2%11.3%65.0%3.3%-0.7%8.7M-1.51B-2.4M2.2645.59162,400366,9252,155,5502,290,775
2020-11-23$9.56$8.4062.3%18.1%60.0%11.1%64.3%4.3%-0.2%4.6M-1.30B-2.5M0.4434.68364,350158,7751,840,1751,556,875
2020-11-24$9.46$8.4062.3%18.4%59.3%11.1%64.3%1.5%-1.8%3.1M-1.28B-2.6M1.3838.0376,700106,0501,917,9501,635,100
2020-11-25$9.53$8.4061.6%18.1%58.3%10.7%64.2%4.5%-0.2%3.1M-1.22B-2.5M1.3839.6250,37569,3251,849,0001,668,050
2020-11-27$10.02$8.4062.6%18.1%54.5%11.3%63.3%3.4%-2.8%10.8M-1.41B-2.4M1.1943.4454,35064,7251,859,2001,708,975
2020-11-30$9.96$8.8064.0%19.3%49.7%12.1%69.3%4.8%1.4%5.0M-1.33B-2.3M0.9342.56126,875117,7501,788,7001,645,175