NIO Options History — September 2019

In September 2019, NIO traded between $1.54 and $3.29. ATM implied volatility averaged 96.5%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded above realized volatility by 12.6% (HV 20d: 83.9%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.26.

Notable Days

2019-09-24: Highest Volume — 431,256 contracts
2019-09-27: Largest IV spike — 43.6% change
2019-09-30: Highest IV Rank — 96.4%
2019-09-30: Largest Expected Move — 52.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.74	$1.54	$3.29	$2.61	$1.54
Max Pain	$3.45	$3.00	$3.50	$3.50	$3.00
ATM IV	96.5%	75.8%	171.0%	92.5%	171.0%
Expected Move	28.0%	21.4%	52.8%	28.4%	52.8%
HV 20d	83.9%	62.6%	126.0%	74.3%	126.0%
HV 60d	79.2%	72.6%	93.6%	74.6%	93.6%
IV Rank	32.6%	14.9%	96.4%	29.2%	96.4%
IV Percentile	63.0%	28.7%	99.0%	76.3%	99.0%
Term Structure	-3.8%	-16.6%	5.9%	-2.9%	-16.6%
VWIV	97.0%	75.4%	180.0%	96.9%	180.0%
Skew 25d	16.0%	4.4%	45.2%	15.1%	45.2%
Skew 10d	37.7%	4.9%	88.8%	65.0%	88.7%
Call IV 25d	90.8%	73.0%	152.9%	85.6%	152.9%
Put IV 25d	106.8%	82.7%	198.1%	100.7%	198.1%
Bid-Ask Spread %	6.10	3.45	11.36	4.62	5.49
Gamma HHI	0.23	0.20	0.28	0.28	0.21
Net GEX	-553.1K	-1.0M	-168.5K	-690.8K	-455.1K
Net DEX	71.5M	33.9M	117.7M	83.4M	100.9M
Net VEX	-704.4K	-801.8K	-467.6K	-673.7K	-467.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.30	2.68	2.32	1.34
Total Volume	100,857.55	22,706	431,256	124,453	181,081
Total OI	1,793,766.45	1,538,905	2,081,839	1,538,905	2,002,031

Daily Data (20 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
2019-09-03	$2.61	$3.50	92.5%	28.4%	74.3%	29.2%	96.9%	15.1%	-2.9%	-690.8K	83.4M	-673.7K	2.32	4.62	37,532	86,921	673,444	865,461
2019-09-04	$2.70	$3.50	92.5%	29.8%	70.9%	29.2%	95.6%	9.8%	1.5%	-700.8K	81.1M	-725.3K	2.24	5.39	31,833	71,333	686,976	921,093
2019-09-05	$2.96	$3.50	79.5%	22.2%	79.0%	18.1%	76.2%	7.0%	-0.7%	-622.5K	65.4M	-743.6K	0.30	11.22	55,287	16,434	699,790	962,985
2019-09-06	$2.98	$3.50	82.9%	22.8%	77.9%	21.0%	79.6%	11.1%	-8.4%	-168.5K	60.6M	-753.2K	0.54	6.32	23,281	12,555	727,090	967,486
2019-09-09	$3.10	$3.50	77.2%	21.6%	79.3%	16.1%	80.1%	8.4%	-6.4%	-456.9K	50.6M	-754.3K	0.62	6.44	42,091	26,011	714,258	956,634
2019-09-10	$3.29	$3.50	76.1%	21.4%	80.3%	15.1%	76.0%	11.2%	-0.1%	-308.8K	33.9M	-759.8K	0.55	3.74	48,945	26,962	733,133	973,098
2019-09-11	$3.25	$3.50	79.7%	22.0%	78.2%	18.2%	75.4%	9.7%	-3.0%	-276.8K	42.2M	-790.8K	0.96	4.82	15,468	14,793	740,061	991,641
2019-09-12	$3.19	$3.50	77.8%	22.3%	70.0%	16.6%	75.4%	15.5%	5.9%	-373.0K	48.6M	-777.7K	0.74	4.72	23,277	17,164	742,951	1,000,524
2019-09-13	$3.23	$3.50	77.6%	21.6%	68.7%	16.5%	77.4%	4.4%	-4.2%	-414.7K	43.4M	-764.6K	0.52	3.45	14,946	7,760	751,884	1,010,514
2019-09-16	$3.10	$3.50	78.3%	22.4%	68.2%	17.0%	79.3%	10.6%	-7.2%	-529.2K	57.6M	-754.5K	1.01	5.20	12,831	13,019	747,459	1,008,703
2019-09-17	$3.14	$3.50	82.0%	23.4%	68.1%	20.2%	82.3%	9.0%	-2.3%	-496.1K	54.8M	-764.3K	2.68	4.27	25,288	67,824	752,788	1,018,754
2019-09-18	$3.08	$3.50	79.8%	22.9%	65.2%	18.4%	80.6%	12.1%	4.6%	-576.3K	60.8M	-778.5K	1.92	5.52	60,026	115,503	760,549	1,050,739
2019-09-19	$3.11	$3.50	75.8%	21.8%	62.6%	14.9%	76.5%	13.8%	0.6%	-602.0K	55.8M	-801.8K	1.40	4.98	16,667	23,347	779,937	1,080,423
2019-09-20	$3.03	$3.50	83.5%	23.9%	63.3%	21.5%	85.2%	8.8%	-1.7%	-1.0M	61.1M	-795.1K	0.45	8.10	27,914	12,470	783,361	1,091,909
2019-09-23	$2.73	$3.50	104.5%	29.8%	72.3%	39.5%	96.6%	16.9%	-10.1%	-620.6K	76.8M	-733.1K	1.06	11.36	63,293	67,022	725,943	998,453
2019-09-24	$2.10	$3.50	116.3%	34.2%	117.1%	49.6%	117.8%	23.4%	-8.1%	-713.8K	108.6M	-558.2K	2.12	8.75	138,367	292,889	761,271	1,037,110
2019-09-25	$2.04	$3.50	121.1%	34.5%	116.8%	53.7%	134.0%	31.9%	-6.2%	-772.6K	115.2M	-600.7K	1.18	7.23	50,755	59,722	814,166	1,195,511
2019-09-26	$1.96	$3.50	115.5%	33.5%	116.8%	48.9%	119.5%	16.8%	-3.7%	-760.4K	117.7M	-572.0K	1.84	5.89	37,915	69,758	836,688	1,228,672
2019-09-27	$1.73	$3.00	165.8%	49.5%	122.5%	92.0%	156.0%	39.6%	-6.8%	-511.9K	112.6M	-519.2K	1.38	4.59	45,767	63,100	849,520	1,232,319
2019-09-30	$1.54	$3.00	171.0%	52.8%	126.0%	96.4%	180.0%	45.2%	-16.6%	-455.1K	100.9M	-467.6K	1.34	5.49	77,251	103,830	794,724	1,207,307