CVNA Options History — September 2021

In September 2021, CVNA traded between $12.15 and $13.75. ATM implied volatility averaged 41.8%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 14.3% (HV 20d: 27.5%). Max pain ranged from $12.90 to $14.10. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2021-09-28: Highest Volume — 311,000 contracts
  • 2021-09-20: Largest IV spike — 16.7% change
  • 2021-09-30: Highest IV Rank — 24.0%
  • 2021-09-20: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.97$12.15$13.75$13.20$12.15
Max Pain$13.24$12.90$14.10$14.10$12.90
ATM IV41.8%37.5%52.5%38.3%52.5%
Expected Move11.7%9.7%13.5%9.7%12.4%
HV 20d27.5%23.5%31.9%30.9%28.0%
HV 60d28.0%26.3%30.9%30.9%27.8%
IV Rank6.8%0.0%24.0%0.0%24.0%
IV Percentile8.6%0.0%27.8%0.0%27.8%
Term Structure2.0%-1.4%6.3%1.5%1.6%
VWIV40.7%33.5%46.9%33.5%42.6%
Skew 25d5.1%2.7%8.6%4.4%4.9%
Skew 10d11.4%3.4%16.9%12.2%15.8%
Call IV 25d39.8%35.6%49.9%36.9%49.9%
Put IV 25d45.0%39.6%54.8%41.3%54.8%
Bid-Ask Spread %56.9949.2366.9862.7160.75
Gamma HHI0.060.050.080.060.07
Net GEX5.0M-6.2M31.7M-5.8M1.3M
Net DEX-971.8M-1.44B-666.3M-933.0M-666.3M
Net VEX-4.9M-5.4M-4.4M-5.2M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.383.062.580.52
Total Volume149,777.38150,350311,000183,450185,350
Total OI4,396,142.8574,175,0504,595,9004,252,0754,535,475

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$13.20$14.1038.3%9.7%30.9%0.0%33.5%4.4%1.5%-5.8M-933.0M-5.2M2.5862.7151,225132,2251,771,7752,480,300
2021-09-02$12.88$13.6039.8%12.1%31.9%2.4%42.1%4.2%0.9%-5.0M-794.6M-5.3M1.1053.0189,00097,7001,829,7002,561,225
2021-09-03$13.14$13.6037.5%11.6%30.7%0.0%42.4%3.5%2.2%-6.2M-895.7M-5.4M1.1851.5654,35064,0501,852,0252,606,200
2021-09-07$13.23$13.2040.1%11.8%28.5%4.1%41.4%2.7%0.7%95.3K-1.04B-5.0M0.9752.1550,65049,3751,837,8252,584,500
2021-09-08$13.13$13.2040.2%11.9%24.4%4.4%41.9%4.8%0.9%-1.4M-983.7M-5.1M3.0649.2325,77578,8001,858,7502,613,950
2021-09-09$13.18$13.2040.4%11.9%24.0%4.6%39.7%5.8%1.5%-2.1M-994.4M-5.1M0.4454.0153,95023,9751,881,5002,635,825
2021-09-10$13.18$13.2039.5%11.7%24.1%3.1%38.9%5.4%2.2%8.8M-1.02B-5.0M0.6957.4163,05043,8001,889,4002,621,350
2021-09-13$13.02$13.2041.5%12.0%24.1%6.5%41.1%6.5%-0.6%1.6M-958.7M-5.0M0.9355.7596,87590,2751,864,4252,547,475
2021-09-14$13.17$13.2039.1%11.2%24.4%2.5%38.4%6.3%0.6%5.3M-1.04B-4.8M0.6161.94117,05071,9501,893,6252,555,250
2021-09-15$13.27$13.2039.3%11.3%23.5%2.8%39.4%6.0%-0.6%7.5M-1.08B-4.9M1.0960.9636,57539,7751,894,4752,590,975
2021-09-16$13.75$13.2038.3%11.0%27.2%1.3%38.8%5.9%-1.2%31.7M-1.44B-4.4M0.4966.98162,50079,8751,959,0502,610,025
2021-09-17$13.38$13.2039.9%11.6%28.6%3.7%39.8%5.0%-1.4%13.2M-1.19B-4.7M1.1261.0658,15064,9751,972,0002,623,900
2021-09-20$12.99$13.2046.5%13.5%30.2%14.4%46.9%8.6%1.8%10.2M-1.05B-4.7M0.9049.4574,27566,8751,749,1002,425,950
2021-09-21$12.80$13.2044.0%12.7%28.4%10.4%45.0%6.8%4.3%7.5M-967.7M-4.8M2.4851.6631,25077,3501,758,4752,435,000
2021-09-22$12.82$13.2042.9%12.0%28.4%8.7%41.4%6.0%3.1%10.6M-990.1M-4.7M1.2657.9281,000102,1001,815,1752,453,475
2021-09-23$12.78$13.2041.7%11.2%28.3%6.7%39.2%5.7%4.7%3.9M-934.6M-4.7M0.3857.35136,65051,9251,821,2002,502,275
2021-09-24$12.85$13.2041.4%11.1%28.4%6.3%39.0%5.3%6.3%9.7M-954.2M-4.8M0.5956.3093,57554,9501,881,1502,566,175
2021-09-27$12.79$13.1044.0%11.5%26.4%10.3%40.7%2.9%4.5%9.5M-985.0M-4.5M0.7955.4774,00058,7501,732,6002,486,800
2021-09-28$12.31$13.0044.8%12.1%29.3%11.6%41.5%4.1%6.3%3.7M-757.2M-4.7M0.5461.66202,400108,6001,762,2252,506,700
2021-09-29$12.27$13.0046.3%12.3%28.1%14.1%41.9%2.8%3.7%1.8M-729.5M-4.6M0.5459.3932,62517,7251,807,1752,544,525
2021-09-30$12.15$12.9052.5%12.4%28.0%24.0%42.6%4.9%1.6%1.3M-666.3M-4.9M0.5260.75121,55063,8001,943,7502,591,725