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CION Investment Corporation CION

FINANCIAL SERVICES · ASSET MANAGEMENT
i

Market dataready · fetched 2026-11-04T00:20:43.034Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-04T00:00:00.003541259Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-04T00:20:42.620540+00:00

Share price$6.83
1D+0.0%
AH$6.67$6.74$6.82$6.90$6.975:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCION
Sold putSold callAH

CION Investment Corporation options

Live interpolated CION call and put midpoint premiums by absolute delta.CION Investment Corporation$0.23$1.15$2.07$3.00$3.92$6.14$6.52$6.89$7.27$7.6420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive CION spot · $6.83CION PRICE$1.16$1.47$1.78$2.09$2.41$2.72$3.03$3.34$3.66$0.33$0.44$0.55$0.67$0.78$0.90$1.01$1.12$1.53$2.18$2.82$3.47
Puts——
Calls——
Skew——
Implied moveBullish±$2.79
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ5.53128.4%23.8%
25Δ5.79128.7%21.6%
30Δ6.06129.1%19.4%
35Δ6.32129.5%17.2%
40Δ6.31138.2%9.4%6.59129.8%15.0%
45Δ5.96163.2%8.8%6.85130.2%12.8%
50Δ5.61188.2%8.2%7.12130.5%10.6%
55Δ5.26213.2%7.7%7.38130.9%8.4%
60Δ4.91238.2%7.1%7.88141.2%7.0%
65Δ4.56263.2%6.5%8.58159.6%6.3%
70Δ4.21288.3%6.0%9.27178.1%5.6%
75Δ3.86313.3%5.4%9.97196.5%4.9%
80Δ3.51338.3%4.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.53
IV
128.4%
B/E move
23.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.79
IV
128.7%
B/E move
21.6%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.06
IV
129.1%
B/E move
19.4%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.32
IV
129.5%
B/E move
17.2%

40Δ

Calls
Pseudo strike
6.31
IV
138.2%
B/E move
9.4%
Puts
Pseudo strike
6.59
IV
129.8%
B/E move
15.0%

45Δ

Calls
Pseudo strike
5.96
IV
163.2%
B/E move
8.8%
Puts
Pseudo strike
6.85
IV
130.2%
B/E move
12.8%

50Δ

Calls
Pseudo strike
5.61
IV
188.2%
B/E move
8.2%
Puts
Pseudo strike
7.12
IV
130.5%
B/E move
10.6%

55Δ

Calls
Pseudo strike
5.26
IV
213.2%
B/E move
7.7%
Puts
Pseudo strike
7.38
IV
130.9%
B/E move
8.4%

60Δ

Calls
Pseudo strike
4.91
IV
238.2%
B/E move
7.1%
Puts
Pseudo strike
7.88
IV
141.2%
B/E move
7.0%

65Δ

Calls
Pseudo strike
4.56
IV
263.2%
B/E move
6.5%
Puts
Pseudo strike
8.58
IV
159.6%
B/E move
6.3%

70Δ

Calls
Pseudo strike
4.21
IV
288.3%
B/E move
6.0%
Puts
Pseudo strike
9.27
IV
178.1%
B/E move
5.6%

75Δ

Calls
Pseudo strike
3.86
IV
313.3%
B/E move
5.4%
Puts
Pseudo strike
9.97
IV
196.5%
B/E move
4.9%

80Δ

Calls
Pseudo strike
3.51
IV
338.3%
B/E move
4.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations