NIO Options History — January 2020

In January 2020, NIO traded between $3.26 and $5.14. ATM implied volatility averaged 120.1%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 33.9%. IV traded below realized volatility by 47.9% (HV 20d: 168.0%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2020-01-15: Highest Volume — 654,629 contracts
2020-01-15: Largest IV spike — 17.1% change
2020-01-27: Highest IV Rank — 46.8%
2020-01-27: Largest Expected Move — 37.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.07	$3.26	$5.14	$3.72	$3.79
Max Pain	$3.24	$3.00	$3.50	$3.00	$3.50
ATM IV	120.1%	106.7%	132.8%	112.9%	128.3%
Expected Move	33.9%	28.9%	37.9%	34.1%	37.2%
HV 20d	168.0%	109.0%	191.6%	169.3%	109.0%
HV 60d	136.5%	132.9%	138.5%	138.5%	138.0%
IV Rank	38.8%	30.4%	46.8%	34.3%	43.6%
IV Percentile	80.6%	68.7%	90.5%	75.4%	88.9%
Term Structure	-3.4%	-17.3%	5.2%	2.0%	1.2%
VWIV	123.1%	107.6%	148.7%	120.7%	148.7%
Skew 25d	-3.6%	-15.1%	6.0%	-2.8%	-6.8%
Skew 10d	-4.8%	-26.5%	19.4%	-9.2%	-1.0%
Call IV 25d	126.3%	105.7%	139.0%	123.3%	134.5%
Put IV 25d	122.7%	111.6%	132.9%	120.5%	127.8%
Bid-Ask Spread %	7.47	3.11	13.43	3.11	3.34
Gamma HHI	0.14	0.11	0.20	0.14	0.14
Net GEX	486.0K	-353.3K	1.1M	803.6K	-353.3K
Net DEX	-116.9M	-236.8M	-36.3M	-108.7M	-36.3M
Net VEX	-996.1K	-1.2M	-733.0K	-733.0K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.35	1.53	0.39	1.05
Total Volume	261,029.19	95,320	654,629	301,504	193,770
Total OI	2,558,907.667	2,138,529	2,951,007	2,618,499	2,390,145

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
2020-01-02	$3.72	$3.00	112.9%	34.1%	169.3%	34.3%	120.7%	-2.8%	2.0%	803.6K	-108.7M	-733.0K	0.39	3.11	216,560	84,944	1,103,697	1,514,802
2020-01-03	$3.79	$3.00	114.2%	33.3%	169.3%	35.1%	119.8%	-1.7%	2.8%	887.5K	-125.8M	-752.6K	0.87	3.32	121,243	105,449	1,155,590	1,516,419
2020-01-06	$3.75	$3.00	114.0%	31.5%	165.5%	35.0%	113.0%	-0.5%	-5.2%	885.4K	-104.3M	-820.4K	0.63	12.37	117,817	74,589	1,068,216	1,454,068
2020-01-07	$3.26	$3.00	121.8%	32.4%	175.3%	39.9%	115.7%	-3.4%	-4.3%	317.9K	-37.9M	-850.8K	0.72	9.23	183,861	132,103	1,100,294	1,489,807
2020-01-08	$3.39	$3.00	117.9%	32.3%	175.1%	37.5%	118.3%	-3.6%	1.9%	433.2K	-54.0M	-870.6K	0.66	11.39	91,875	60,703	1,141,060	1,561,365
2020-01-09	$3.46	$3.00	117.7%	32.7%	174.7%	37.3%	122.9%	-4.3%	-5.6%	589.4K	-64.5M	-891.7K	1.53	9.67	59,341	90,807	1,160,284	1,584,700
2020-01-10	$3.49	$3.00	109.6%	30.3%	174.7%	32.2%	117.1%	-3.8%	-4.1%	881.6K	-66.8M	-908.4K	0.69	7.84	98,471	68,217	1,166,019	1,640,276
2020-01-13	$3.69	$3.00	114.7%	30.3%	175.1%	35.4%	111.1%	-0.3%	-10.6%	725.2K	-99.6M	-898.5K	0.73	5.47	84,383	61,759	1,109,414	1,638,161
2020-01-14	$3.79	$3.00	106.7%	28.9%	174.8%	30.4%	107.6%	6.0%	-6.4%	718.1K	-113.5M	-917.3K	0.70	7.83	75,313	52,941	1,126,784	1,674,905
2020-01-15	$4.27	$3.00	124.9%	34.6%	178.1%	41.9%	122.5%	-5.7%	-5.2%	1.0M	-195.4M	-967.0K	0.46	8.10	447,842	206,787	1,135,497	1,704,896
2020-01-16	$4.38	$3.00	114.7%	32.3%	178.1%	35.4%	114.5%	-1.6%	-3.1%	1.1M	-187.8M	-986.9K	0.58	13.43	138,871	79,869	1,153,133	1,775,027
2020-01-17	$4.67	$3.50	113.1%	31.9%	178.4%	34.4%	114.5%	0.6%	-1.9%	413.9K	-236.8M	-990.2K	0.63	7.57	233,630	147,823	1,152,951	1,798,056
2020-01-21	$5.14	$3.50	123.2%	35.3%	179.9%	40.8%	121.2%	-0.7%	5.2%	766.9K	-221.2M	-1.1M	0.50	8.81	348,153	174,183	800,948	1,337,581
2020-01-22	$4.78	$3.50	127.4%	36.5%	183.6%	43.4%	130.1%	-15.0%	3.7%	69.6K	-153.6M	-1.1M	0.67	5.54	361,022	242,481	821,700	1,427,228
2020-01-23	$4.92	$3.50	126.0%	36.0%	183.3%	42.6%	127.8%	-15.1%	3.6%	399.8K	-167.3M	-1.2M	0.55	10.95	182,498	100,550	890,770	1,481,394
2020-01-24	$4.61	$3.50	123.4%	35.5%	183.6%	40.9%	124.8%	-8.0%	-17.3%	433.6K	-126.7M	-1.2M	0.35	9.76	152,686	54,163	924,568	1,516,787
2020-01-27	$4.06	$3.50	132.8%	37.9%	191.6%	46.8%	137.2%	-5.8%	-14.8%	-199.4K	-75.4M	-1.2M	0.76	3.84	154,275	116,662	827,087	1,407,664
2020-01-28	$4.20	$3.50	129.3%	36.6%	190.6%	44.3%	132.3%	5.3%	-1.0%	89.6K	-94.5M	-1.2M	0.63	3.72	58,451	36,869	864,119	1,441,348
2020-01-29	$4.27	$3.50	125.3%	35.8%	109.7%	41.7%	129.9%	-0.4%	0.2%	261.0K	-103.7M	-1.2M	0.75	4.14	74,012	55,381	875,467	1,446,888
2020-01-30	$4.09	$3.50	124.4%	35.8%	109.2%	41.2%	134.5%	-6.9%	-11.5%	-49.3K	-81.1M	-1.2M	1.01	7.44	70,196	71,063	878,431	1,479,515
2020-01-31	$3.79	$3.50	128.3%	37.2%	109.0%	43.6%	148.7%	-6.8%	1.2%	-353.3K	-36.3M	-1.2M	1.05	3.34	94,336	99,434	883,966	1,506,179