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CION Investment Corporation CION

FINANCIAL SERVICES · ASSET MANAGEMENT
i

Market dataready · fetched 2026-11-11T13:55:07.179Z

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 · 2026-11-11T00:32:02.788038078Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-11T13:55:06.829930+00:00

Share price$6.23
1D+0.8%
AH$6.20$6.25$6.30$6.35$6.405:30 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$0.21$1.07$1.92$2.77$3.62$4.16$4.97$5.79$6.60$7.4220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive CION spot · $6.23CION PRICE$0.30$0.39$0.47$0.56$0.64$0.72$0.81$0.89$0.97$1.06$1.14$0.39$0.64$0.89$1.14$1.39$1.63$1.88$2.13$2.38$2.63$2.88$3.13$3.38
PutsExpensive2.48×
Calls——
Skew——
Implied moveBearish±$2.52
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ5.36153.0%20.3%
25Δ5.69157.0%18.9%
30Δ7.07114.7%18.4%6.02161.0%17.6%
35Δ6.90115.1%17.0%6.36165.0%16.2%
40Δ6.73115.5%15.5%6.69169.0%14.8%
45Δ6.55115.9%14.1%7.03173.0%13.5%
50Δ6.38116.2%12.6%7.36177.0%12.1%
55Δ6.20116.6%11.2%7.70181.0%10.7%
60Δ6.03117.0%9.7%8.03185.0%9.4%
65Δ5.85117.4%8.3%8.36189.0%8.0%
70Δ5.68117.8%6.8%8.70193.0%6.6%
75Δ5.51118.2%5.4%9.03196.9%5.2%
80Δ5.33118.6%3.9%9.37200.9%3.9%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.36
IV
153.0%
B/E move
20.3%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.69
IV
157.0%
B/E move
18.9%

30Δ

Calls
Pseudo strike
7.07
IV
114.7%
B/E move
18.4%
Puts
Pseudo strike
6.02
IV
161.0%
B/E move
17.6%

35Δ

Calls
Pseudo strike
6.90
IV
115.1%
B/E move
17.0%
Puts
Pseudo strike
6.36
IV
165.0%
B/E move
16.2%

40Δ

Calls
Pseudo strike
6.73
IV
115.5%
B/E move
15.5%
Puts
Pseudo strike
6.69
IV
169.0%
B/E move
14.8%

45Δ

Calls
Pseudo strike
6.55
IV
115.9%
B/E move
14.1%
Puts
Pseudo strike
7.03
IV
173.0%
B/E move
13.5%

50Δ

Calls
Pseudo strike
6.38
IV
116.2%
B/E move
12.6%
Puts
Pseudo strike
7.36
IV
177.0%
B/E move
12.1%

55Δ

Calls
Pseudo strike
6.20
IV
116.6%
B/E move
11.2%
Puts
Pseudo strike
7.70
IV
181.0%
B/E move
10.7%

60Δ

Calls
Pseudo strike
6.03
IV
117.0%
B/E move
9.7%
Puts
Pseudo strike
8.03
IV
185.0%
B/E move
9.4%

65Δ

Calls
Pseudo strike
5.85
IV
117.4%
B/E move
8.3%
Puts
Pseudo strike
8.36
IV
189.0%
B/E move
8.0%

70Δ

Calls
Pseudo strike
5.68
IV
117.8%
B/E move
6.8%
Puts
Pseudo strike
8.70
IV
193.0%
B/E move
6.6%

75Δ

Calls
Pseudo strike
5.51
IV
118.2%
B/E move
5.4%
Puts
Pseudo strike
9.03
IV
196.9%
B/E move
5.2%

80Δ

Calls
Pseudo strike
5.33
IV
118.6%
B/E move
3.9%
Puts
Pseudo strike
9.37
IV
200.9%
B/E move
3.9%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations