NIO Options History — December 2019

In December 2019, NIO traded between $2.21 and $4.02. ATM implied volatility averaged 116.2%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 34.1%. IV traded above realized volatility by 25.1% (HV 20d: 91.2%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2019-12-30: Highest Volume — 1,151,873 contracts
2019-12-30: Largest IV spike — 10.2% change
2019-12-30: Highest IV Rank — 52.0%
2019-12-30: Largest Expected Move — 44.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.58	$2.21	$4.02	$2.40	$4.02
Max Pain	$2.45	$2.00	$3.00	$2.00	$3.00
ATM IV	116.2%	100.9%	141.0%	118.2%	129.6%
Expected Move	34.1%	28.9%	44.2%	35.9%	39.1%
HV 20d	91.2%	56.8%	165.4%	139.0%	165.4%
HV 60d	131.6%	104.3%	138.3%	137.7%	137.7%
IV Rank	36.4%	26.8%	52.0%	37.7%	44.8%
IV Percentile	81.0%	70.6%	92.5%	83.3%	90.1%
Term Structure	0.3%	-7.4%	18.8%	0.5%	-0.5%
VWIV	122.8%	103.1%	158.2%	128.6%	139.4%
Skew 25d	24.9%	1.8%	45.3%	26.1%	1.8%
Skew 10d	49.6%	12.1%	100.6%	40.0%	12.1%
Call IV 25d	111.9%	91.5%	145.0%	113.9%	132.9%
Put IV 25d	136.8%	120.0%	160.1%	140.0%	134.6%
Bid-Ask Spread %	4.84	3.07	8.04	5.03	4.34
Gamma HHI	0.20	0.16	0.25	0.17	0.16
Net GEX	111.4K	-268.2K	952.0K	-9.1K	952.0K
Net DEX	-22.0M	-190.9M	20.3M	-2.4M	-166.5M
Net VEX	-646.0K	-720.1K	-611.4K	-680.3K	-720.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.30	1.43	0.67	0.46
Total Volume	152,651.571	36,665	1,151,873	97,006	542,365
Total OI	2,512,255.048	2,366,499	2,649,729	2,366,499	2,577,103

Daily Data (21 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
2019-12-02	$2.40	$2.00	118.2%	35.9%	139.0%	37.7%	128.6%	26.1%	0.5%	-9.1K	-2.4M	-680.3K	0.67	5.03	58,006	39,000	1,077,016	1,289,483
2019-12-03	$2.40	$2.00	118.3%	36.3%	134.0%	37.7%	129.3%	28.6%	1.7%	191.2K	-5.1M	-708.9K	0.63	5.68	77,230	48,804	1,097,719	1,310,674
2019-12-04	$2.47	$2.00	114.3%	34.1%	95.0%	35.2%	116.9%	21.8%	-5.0%	432.1K	-14.8M	-668.9K	0.30	5.85	81,482	24,190	1,122,560	1,332,697
2019-12-05	$2.28	$2.50	121.9%	35.2%	91.3%	40.0%	133.6%	36.3%	1.9%	-120.4K	8.8M	-668.3K	1.17	4.65	65,339	76,462	1,133,541	1,340,319
2019-12-06	$2.26	$2.50	113.5%	32.7%	91.4%	34.7%	123.3%	26.6%	0.8%	-183.0K	13.5M	-666.2K	0.72	4.02	43,863	31,593	1,138,415	1,406,726
2019-12-09	$2.24	$2.50	120.8%	35.3%	90.4%	39.3%	125.8%	28.8%	-6.9%	-268.2K	16.1M	-627.3K	0.52	5.16	39,209	20,579	1,103,835	1,401,778
2019-12-10	$2.21	$2.50	119.0%	34.0%	86.0%	38.2%	114.1%	37.1%	9.2%	-82.5K	20.3M	-616.4K	0.33	5.27	29,420	9,802	1,119,674	1,414,821
2019-12-11	$2.25	$2.50	119.8%	33.1%	84.5%	38.7%	116.8%	34.6%	-5.6%	-164.5K	12.2M	-630.0K	0.37	3.78	33,008	12,125	1,133,001	1,420,077
2019-12-12	$2.28	$2.50	110.7%	30.8%	82.9%	33.0%	119.2%	18.9%	-1.2%	-86.5K	11.1M	-617.7K	1.43	4.53	15,071	21,594	1,141,652	1,427,525
2019-12-13	$2.40	$2.50	103.1%	31.0%	75.6%	28.1%	115.2%	25.2%	11.0%	51.7K	-1.1M	-627.0K	1.17	3.70	30,737	35,848	1,144,668	1,438,276
2019-12-16	$2.49	$2.50	103.7%	29.8%	75.2%	28.5%	108.7%	18.9%	-7.4%	113.8K	-10.8M	-621.8K	0.69	4.72	68,754	47,683	1,123,654	1,432,688
2019-12-17	$2.59	$2.50	102.5%	29.4%	74.2%	27.8%	106.3%	27.7%	7.5%	282.6K	-29.1M	-621.4K	0.67	3.69	56,801	38,223	1,139,243	1,443,554
2019-12-18	$2.61	$2.50	100.9%	28.9%	73.1%	26.8%	103.1%	30.2%	-1.8%	43.2K	-24.0M	-611.4K	0.54	4.96	42,694	23,019	1,129,618	1,455,024
2019-12-19	$2.65	$2.50	107.7%	31.0%	72.1%	31.1%	107.5%	15.4%	-6.1%	365.3K	-27.3M	-638.9K	0.48	5.55	77,161	37,411	1,118,600	1,464,385
2019-12-20	$2.67	$2.50	108.3%	31.5%	67.2%	31.4%	111.4%	35.5%	7.7%	239.3K	-32.9M	-633.0K	0.68	3.44	29,148	19,879	1,164,887	1,484,842
2019-12-23	$2.68	$2.50	111.0%	32.9%	64.7%	33.1%	117.6%	45.3%	18.8%	140.9K	-27.2M	-650.6K	0.95	3.07	36,603	34,747	1,073,220	1,320,859
2019-12-24	$2.52	$2.50	121.3%	34.7%	67.6%	39.6%	123.5%	22.7%	-7.1%	-39.1K	-7.5M	-623.4K	0.73	5.01	38,587	28,033	1,085,815	1,338,421
2019-12-26	$2.50	$2.50	127.5%	37.8%	63.4%	43.5%	143.1%	26.1%	-4.5%	-8.9K	-6.4M	-638.1K	1.06	5.34	31,026	32,967	1,103,566	1,351,489
2019-12-27	$2.43	$2.50	127.9%	38.9%	56.8%	43.8%	136.4%	12.7%	-3.7%	-130.6K	2.1M	-621.4K	0.83	5.71	41,099	34,248	1,113,476	1,369,309
2019-12-30	$3.79	$2.50	141.0%	44.2%	165.2%	52.0%	158.2%	3.4%	-3.4%	619.6K	-190.9M	-675.2K	0.35	8.04	855,496	296,377	1,108,667	1,364,479
2019-12-31	$4.02	$3.00	129.6%	39.1%	165.4%	44.8%	139.4%	1.8%	-0.5%	952.0K	-166.5M	-720.1K	0.46	4.34	372,378	169,987	1,078,806	1,498,297