NIO Options History — July 2019

In July 2019, NIO traded between $2.62 and $3.68. ATM implied volatility averaged 84.4%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 9.3% (HV 20d: 75.0%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.52.

Notable Days

2019-07-09: Highest Volume — 369,351 contracts
2019-07-02: Largest IV spike — 12.5% change
2019-07-03: Highest IV Rank — 33.5%
2019-07-09: Largest Expected Move — 28.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.38	$2.62	$3.68	$2.62	$3.46
Max Pain	$4.09	$3.00	$5.00	$3.00	$4.00
ATM IV	84.4%	75.5%	97.5%	83.3%	81.8%
Expected Move	23.6%	20.7%	28.3%	23.1%	21.9%
HV 20d	75.0%	68.8%	82.6%	71.6%	70.2%
HV 60d	75.4%	66.9%	77.4%	66.9%	76.5%
IV Rank	22.3%	14.7%	33.5%	21.4%	20.1%
IV Percentile	57.8%	35.8%	85.1%	60.3%	56.3%
Term Structure	0.9%	-15.0%	12.1%	12.1%	-3.1%
VWIV	83.4%	72.7%	98.7%	78.2%	80.7%
Skew 25d	-0.9%	-9.8%	9.6%	9.6%	-0.0%
Skew 10d	7.5%	-32.2%	57.8%	0.3%	-2.5%
Call IV 25d	87.1%	76.8%	100.4%	83.3%	82.7%
Put IV 25d	86.2%	70.8%	107.3%	92.8%	82.7%
Bid-Ask Spread %	2.92	1.84	5.35	5.35	2.77
Gamma HHI	0.26	0.15	0.47	0.29	0.17
Net GEX	1.2M	229.1K	2.6M	229.1K	941.8K
Net DEX	34.9M	5.0M	54.8M	54.8M	45.6M
Net VEX	-772.9K	-874.4K	-528.6K	-528.6K	-811.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.15	1.91	0.47	0.15
Total Volume	111,867.591	28,330	369,351	52,846	70,191
Total OI	1,755,545.545	1,419,137	2,022,863	1,419,137	1,713,042

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-07-01	$2.62	$3.00	83.3%	23.1%	71.6%	21.4%	78.2%	9.6%	12.1%	229.1K	54.8M	-528.6K	0.47	5.35	35,995	16,851	790,075	629,062
2019-07-02	$2.81	$3.00	93.8%	24.6%	74.8%	30.3%	83.8%	-6.8%	-15.0%	722.2K	47.9M	-575.0K	1.91	3.41	52,287	99,936	805,471	641,157
2019-07-03	$3.16	$3.00	97.5%	27.2%	82.6%	33.5%	98.7%	6.9%	-2.3%	556.0K	31.3M	-617.5K	0.61	4.19	205,506	125,414	830,409	610,797
2019-07-05	$3.25	$5.00	92.2%	26.9%	78.1%	28.9%	93.2%	1.5%	5.5%	808.1K	31.9M	-690.7K	0.51	2.70	65,977	33,428	920,807	714,173
2019-07-08	$3.46	$5.00	95.7%	27.5%	79.2%	32.0%	97.9%	1.9%	-0.2%	969.4K	28.2M	-706.2K	0.32	3.01	106,114	33,732	907,383	686,064
2019-07-09	$3.67	$5.00	95.0%	28.3%	75.3%	31.4%	96.2%	1.1%	5.2%	1.0M	6.1M	-748.5K	0.32	2.30	279,384	89,967	955,855	700,631
2019-07-10	$3.68	$5.00	89.6%	22.2%	75.3%	26.7%	76.6%	4.0%	-1.5%	1.3M	5.0M	-753.0K	0.40	4.20	190,632	75,525	1,051,042	789,421
2019-07-11	$3.43	$5.00	79.7%	22.6%	79.8%	18.3%	75.9%	-3.6%	-2.1%	1.1M	44.9M	-799.4K	0.82	3.37	125,450	103,033	1,078,233	825,653
2019-07-12	$3.48	$4.00	79.4%	23.0%	79.5%	18.0%	80.3%	-2.2%	2.2%	1.3M	30.1M	-853.8K	0.48	3.74	71,190	34,268	1,137,883	882,194
2019-07-15	$3.41	$4.00	82.5%	23.4%	77.0%	20.6%	83.3%	3.4%	4.5%	1.5M	37.7M	-825.1K	0.22	2.60	38,011	8,359	1,129,382	861,799
2019-07-16	$3.29	$4.00	81.2%	23.3%	78.9%	19.5%	84.1%	-2.4%	3.0%	1.4M	51.0M	-801.8K	0.60	2.76	29,699	17,870	1,146,857	864,045
2019-07-17	$3.44	$4.00	79.0%	22.7%	79.5%	17.7%	78.1%	-5.7%	3.6%	1.5M	33.5M	-818.8K	0.52	2.90	40,498	21,032	1,147,392	875,120
2019-07-18	$3.41	$4.00	75.8%	21.4%	77.3%	14.9%	76.3%	-4.3%	7.3%	1.6M	44.1M	-824.1K	0.38	2.66	26,293	9,868	1,140,137	882,726
2019-07-19	$3.39	$4.00	75.5%	21.3%	77.0%	14.7%	79.3%	-9.8%	4.1%	1.1M	50.7M	-817.6K	1.14	2.07	30,493	34,886	1,135,516	882,541
2019-07-22	$3.38	$4.00	75.8%	20.7%	68.9%	14.9%	72.7%	0.0%	2.4%	1.1M	44.1M	-794.8K	0.41	2.47	29,709	12,250	904,460	761,577
2019-07-23	$3.47	$4.00	78.7%	21.1%	69.0%	17.4%	75.0%	-2.3%	0.1%	1.4M	34.7M	-811.7K	0.42	1.91	19,921	8,409	915,280	769,328
2019-07-24	$3.68	$4.00	86.8%	24.7%	68.8%	24.3%	87.2%	0.1%	1.9%	1.4M	5.0M	-874.4K	0.41	1.84	86,834	35,442	919,728	772,851
2019-07-25	$3.52	$4.00	85.6%	23.8%	71.7%	23.3%	83.6%	-2.4%	-0.8%	1.8M	28.0M	-872.5K	0.19	2.10	56,281	10,808	941,747	796,740
2019-07-26	$3.54	$4.00	83.8%	23.0%	71.8%	21.7%	81.8%	0.4%	-3.0%	2.6M	19.2M	-862.6K	0.35	2.66	25,544	9,041	941,173	800,093
2019-07-29	$3.46	$4.00	82.1%	23.5%	71.8%	20.3%	84.3%	0.5%	-4.2%	707.5K	44.6M	-807.0K	0.31	2.37	50,016	15,578	878,011	787,574
2019-07-30	$3.36	$4.00	81.7%	23.9%	73.1%	19.9%	87.0%	-9.4%	0.2%	697.2K	50.0M	-809.9K	0.53	2.93	19,243	10,122	899,694	798,879
2019-07-31	$3.46	$4.00	81.8%	21.9%	70.2%	20.1%	80.7%	-0.0%	-3.1%	941.8K	45.6M	-811.3K	0.15	2.77	61,205	8,986	908,405	804,637