NIO Options History — October 2019

In October 2019, NIO traded between $1.29 and $1.75. ATM implied volatility averaged 145.8%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 41.7%. IV traded below realized volatility by 8.8% (HV 20d: 154.6%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.93.

Notable Days

2019-10-01: Highest Volume — 206,320 contracts
2019-10-03: Largest IV drop — 13.9% change
2019-10-01: Highest IV Rank — 100.0%
2019-10-02: Largest Expected Move — 66.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.54	$1.29	$1.75	$1.29	$1.50
Max Pain	$2.96	$2.50	$3.00	$3.00	$2.50
ATM IV	145.8%	114.5%	217.2%	204.4%	114.5%
Expected Move	41.7%	31.7%	66.5%	65.3%	34.1%
HV 20d	154.6%	103.2%	178.1%	134.4%	104.3%
HV 60d	114.9%	98.2%	120.9%	98.2%	118.3%
IV Rank	55.4%	35.3%	100.0%	100.0%	35.3%
IV Percentile	92.9%	85.8%	100.0%	100.0%	85.8%
Term Structure	-0.1%	-14.8%	16.9%	0.1%	-0.1%
VWIV	146.7%	107.5%	235.4%	235.4%	117.1%
Skew 25d	38.6%	18.2%	64.6%	64.6%	38.5%
Skew 10d	51.7%	-11.5%	125.2%	-11.5%	47.0%
Call IV 25d	134.5%	105.0%	182.7%	182.7%	111.3%
Put IV 25d	173.1%	146.0%	247.3%	247.3%	149.8%
Bid-Ask Spread %	13.27	3.08	60.69	6.15	4.24
Gamma HHI	0.21	0.18	0.28	0.19	0.26
Net GEX	-400.2K	-519.2K	-306.3K	-306.3K	-312.8K
Net DEX	95.4M	86.4M	101.6M	90.8M	93.1M
Net VEX	-484.7K	-554.1K	-412.8K	-412.8K	-480.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.27	3.02	1.24	0.41
Total Volume	79,220.043	20,154	206,320	206,320	25,333
Total OI	2,291,984.696	2,086,098	2,515,430	2,086,098	2,515,430

Daily Data (23 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
2019-10-01	$1.29	$3.00	204.4%	65.3%	134.4%	100.0%	235.4%	64.6%	0.1%	-306.3K	90.8M	-412.8K	1.24	6.15	92,058	114,262	841,822	1,244,276
2019-10-02	$1.63	$3.00	217.2%	66.5%	163.6%	100.0%	224.6%	52.8%	-8.1%	-371.8K	86.4M	-554.1K	0.65	8.31	104,247	67,454	890,433	1,287,476
2019-10-03	$1.65	$3.00	187.1%	52.5%	158.4%	81.0%	181.3%	60.7%	12.2%	-395.7K	88.9M	-545.4K	1.56	13.00	47,194	73,534	928,008	1,284,504
2019-10-04	$1.61	$3.00	165.3%	48.4%	157.9%	67.3%	164.0%	29.3%	-8.4%	-417.9K	92.0M	-523.3K	0.58	5.61	21,435	12,525	944,980	1,300,942
2019-10-07	$1.54	$3.00	169.3%	45.4%	155.7%	69.8%	167.2%	33.5%	-14.5%	-427.4K	97.2M	-474.8K	1.25	13.24	20,084	25,158	901,906	1,271,399
2019-10-08	$1.75	$3.00	162.4%	45.1%	162.9%	65.5%	150.7%	29.0%	-14.8%	-519.2K	98.5M	-543.9K	0.40	20.63	80,206	32,172	910,001	1,283,048
2019-10-09	$1.62	$3.00	144.9%	42.1%	163.5%	54.4%	142.7%	18.2%	7.5%	-455.9K	95.5M	-526.8K	0.27	14.85	91,026	24,160	958,619	1,288,911
2019-10-10	$1.52	$3.00	142.7%	41.1%	163.7%	53.1%	147.6%	35.8%	3.4%	-425.7K	97.4M	-489.6K	0.58	21.55	19,978	11,614	975,759	1,302,619
2019-10-11	$1.59	$3.00	135.1%	39.1%	165.4%	48.3%	133.9%	20.9%	-4.7%	-465.3K	97.2M	-508.0K	0.44	60.69	21,284	9,321	980,553	1,304,994
2019-10-14	$1.52	$3.00	140.1%	40.2%	165.5%	51.4%	137.9%	33.1%	15.7%	-443.4K	99.4M	-473.2K	0.47	18.59	13,698	6,456	959,709	1,283,780
2019-10-15	$1.56	$3.00	142.0%	40.7%	166.0%	52.7%	133.2%	39.9%	-12.8%	-467.4K	98.4M	-491.1K	0.80	19.37	38,955	31,233	967,575	1,286,619
2019-10-16	$1.42	$3.00	149.1%	42.7%	167.2%	57.1%	158.2%	51.2%	-13.9%	-404.4K	101.6M	-431.5K	1.17	22.64	40,150	46,838	990,329	1,296,052
2019-10-17	$1.48	$3.00	142.1%	40.9%	168.8%	52.7%	153.8%	52.4%	1.1%	-465.6K	100.4M	-462.9K	0.55	16.25	18,561	10,154	1,014,359	1,323,085
2019-10-18	$1.50	$3.00	137.0%	38.3%	169.7%	49.5%	133.5%	22.6%	10.6%	-375.2K	99.2M	-470.3K	3.02	4.50	46,661	140,942	1,026,727	1,322,004
2019-10-21	$1.72	$3.00	127.2%	34.9%	178.1%	43.3%	113.5%	53.8%	14.9%	-472.3K	93.7M	-503.1K	0.61	9.91	42,200	25,727	978,390	1,269,953
2019-10-22	$1.54	$3.00	127.7%	34.7%	158.1%	43.6%	124.0%	32.2%	-4.1%	-339.0K	93.0M	-476.1K	2.20	3.08	29,587	65,019	997,693	1,280,210
2019-10-23	$1.55	$3.00	122.8%	34.9%	158.2%	40.5%	123.1%	27.8%	-2.7%	-385.8K	93.8M	-480.5K	1.40	3.71	10,929	15,343	1,009,447	1,318,833
2019-10-24	$1.53	$3.00	126.8%	35.9%	157.8%	43.1%	154.7%	32.7%	16.9%	-341.5K	95.6M	-478.5K	0.64	3.18	16,360	10,471	1,013,356	1,330,026
2019-10-25	$1.52	$3.00	115.5%	31.8%	152.2%	35.9%	110.9%	38.1%	7.8%	-393.0K	96.3M	-467.6K	0.44	3.63	22,385	9,892	1,018,149	1,332,021
2019-10-28	$1.45	$3.00	125.5%	37.8%	147.4%	42.3%	130.8%	32.7%	-5.4%	-353.0K	94.5M	-445.4K	1.98	3.36	68,303	135,553	1,004,177	1,318,209
2019-10-29	$1.39	$3.00	133.4%	34.5%	133.4%	47.2%	128.9%	54.8%	-3.9%	-321.2K	96.6M	-442.7K	0.29	13.07	42,957	12,516	1,059,210	1,400,891
2019-10-30	$1.44	$2.50	121.7%	31.7%	103.2%	39.9%	107.5%	33.9%	0.1%	-344.7K	94.0M	-464.6K	0.47	15.54	19,164	8,962	1,092,063	1,407,101
2019-10-31	$1.50	$2.50	114.5%	34.1%	104.3%	35.3%	117.1%	38.5%	-0.1%	-312.8K	93.1M	-480.7K	0.41	4.24	17,950	7,383	1,103,392	1,412,038