NIO Options History — March 2020

In March 2020, NIO traded between $2.17 and $4.07. ATM implied volatility averaged 135.2%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 38.1%. IV traded above realized volatility by 28.4% (HV 20d: 106.7%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2020-03-18: Highest Volume — 193,593 contracts
2020-03-18: Largest IV spike — 23.8% change
2020-03-18: Highest IV Rank — 80.2%
2020-03-18: Largest Expected Move — 53.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.07	$2.17	$4.07	$4.07	$2.75
Max Pain	$4.00	$4.00	$4.00	$4.00	$4.00
ATM IV	135.2%	112.7%	186.1%	122.8%	125.3%
Expected Move	38.1%	30.2%	53.3%	33.8%	37.1%
HV 20d	106.7%	74.9%	145.3%	90.7%	145.0%
HV 60d	130.3%	116.1%	149.2%	126.2%	116.1%
IV Rank	47.1%	30.0%	80.2%	40.1%	38.4%
IV Percentile	84.5%	57.1%	98.8%	78.2%	78.6%
Term Structure	5.9%	-34.0%	43.6%	-6.9%	7.5%
VWIV	134.2%	109.8%	183.5%	121.4%	121.9%
Skew 25d	9.1%	-6.6%	38.0%	-2.1%	21.9%
Skew 10d	33.2%	-56.2%	95.9%	54.8%	36.4%
Call IV 25d	133.4%	106.2%	172.3%	128.8%	106.2%
Put IV 25d	142.5%	110.9%	197.6%	126.7%	128.2%
Bid-Ask Spread %	4.80	2.46	9.02	2.78	4.49
Gamma HHI	0.15	0.12	0.30	0.12	0.17
Net GEX	-810.1K	-2.2M	-357.5K	-364.2K	-722.9K
Net DEX	19.0M	-61.7M	83.7M	-61.7M	33.3M
Net VEX	-1.1M	-1.4M	-835.2K	-1.4M	-950.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.40	2.24	0.47	0.59
Total Volume	87,505.682	32,657	193,593	83,439	32,657
Total OI	2,244,473.364	2,022,144	2,385,780	2,249,250	2,071,865

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
2020-03-02	$4.07	$4.00	122.8%	33.8%	90.7%	40.1%	121.4%	-2.1%	-6.9%	-364.2K	-61.7M	-1.4M	0.47	2.78	56,879	26,560	844,987	1,404,263
2020-03-03	$4.04	$4.00	117.6%	30.3%	87.9%	36.8%	112.2%	-6.6%	3.2%	-357.5K	-58.5M	-1.3M	0.63	3.07	50,781	31,798	864,938	1,417,750
2020-03-04	$3.84	$4.00	115.7%	31.1%	78.4%	35.6%	109.8%	-3.9%	2.9%	-831.7K	-33.4M	-1.3M	1.02	2.46	52,495	53,685	867,224	1,427,027
2020-03-05	$3.70	$4.00	123.8%	36.0%	78.5%	40.8%	125.0%	-3.5%	-1.1%	-1.1M	-18.1M	-1.3M	0.67	3.72	78,427	52,215	881,881	1,442,608
2020-03-06	$3.49	$4.00	141.3%	40.0%	77.1%	51.9%	137.1%	0.5%	-13.3%	-2.2M	2.7M	-1.3M	1.11	9.02	59,475	66,268	918,924	1,466,856
2020-03-09	$3.34	$4.00	151.2%	41.0%	74.9%	58.1%	143.6%	2.4%	-11.5%	-1.0M	8.4M	-1.3M	0.88	5.74	57,402	50,316	872,649	1,434,324
2020-03-10	$3.46	$4.00	146.9%	38.6%	76.1%	55.4%	135.4%	4.7%	-14.0%	-793.7K	-1.6M	-1.3M	0.46	4.88	56,538	26,108	884,372	1,432,644
2020-03-11	$3.32	$4.00	144.8%	42.0%	76.2%	54.1%	138.7%	-0.4%	1.4%	-884.8K	10.4M	-1.2M	0.50	3.57	39,922	19,778	899,385	1,436,636
2020-03-12	$3.16	$4.00	140.6%	40.7%	76.3%	51.4%	140.9%	-4.3%	11.4%	-977.0K	31.4M	-1.2M	0.81	5.00	45,608	36,892	899,582	1,438,629
2020-03-13	$3.12	$4.00	133.8%	40.7%	76.3%	47.1%	137.3%	4.5%	36.7%	-1.0M	31.4M	-1.1M	0.97	6.35	34,139	33,059	912,546	1,432,970
2020-03-16	$2.97	$4.00	145.5%	41.2%	75.3%	54.5%	143.1%	10.1%	0.2%	-981.5K	40.0M	-1.1M	0.94	6.84	58,234	54,578	873,415	1,413,075
2020-03-17	$3.01	$4.00	150.3%	42.9%	75.6%	57.6%	150.1%	30.2%	-4.7%	-877.1K	36.9M	-1.1M	0.78	4.37	47,730	37,238	896,555	1,432,246
2020-03-18	$2.17	$4.00	186.1%	53.3%	130.3%	80.2%	183.5%	25.2%	-34.0%	-676.3K	78.5M	-842.2K	0.93	4.90	100,127	93,466	912,228	1,443,057
2020-03-19	$2.38	$4.00	157.8%	44.7%	135.7%	62.3%	159.7%	19.7%	15.5%	-688.1K	74.4M	-878.8K	0.90	5.60	33,400	29,982	909,772	1,438,270
2020-03-20	$2.43	$4.00	139.4%	39.0%	136.8%	50.7%	144.8%	24.8%	11.2%	-573.5K	83.7M	-861.9K	2.24	5.01	35,629	79,980	917,461	1,441,492
2020-03-23	$2.29	$4.00	128.0%	34.8%	137.1%	43.5%	134.2%	19.3%	18.8%	-672.1K	50.5M	-835.2K	0.54	4.68	45,335	24,470	759,035	1,263,109
2020-03-24	$2.65	$4.00	120.7%	36.0%	140.5%	35.6%	125.2%	9.3%	43.6%	-667.7K	32.4M	-935.0K	1.14	4.25	54,574	62,116	779,172	1,267,173
2020-03-25	$2.83	$4.00	131.3%	35.3%	144.2%	42.7%	125.2%	38.0%	42.5%	-620.2K	20.0M	-1.0M	0.40	5.31	63,072	25,474	792,846	1,295,577
2020-03-26	$2.94	$4.00	117.0%	36.0%	145.3%	33.1%	128.8%	-1.1%	0.8%	-446.0K	10.5M	-1.0M	0.66	3.57	29,164	19,369	809,263	1,301,348
2020-03-27	$2.86	$4.00	121.4%	32.5%	145.3%	36.0%	118.8%	-6.2%	11.0%	-674.5K	19.7M	-1.0M	0.65	4.49	20,182	13,017	814,302	1,306,492
2020-03-30	$2.77	$4.00	112.7%	30.2%	145.0%	30.0%	115.6%	17.3%	9.2%	-718.5K	26.1M	-969.7K	0.78	5.39	20,773	16,213	779,786	1,280,680
2020-03-31	$2.75	$4.00	125.3%	37.1%	145.0%	38.4%	121.9%	21.9%	7.5%	-722.9K	33.3M	-950.4K	0.59	4.49	20,484	12,173	786,963	1,284,902