NIO Options History — June 2020

In June 2020, NIO traded between $4.28 and $7.67. ATM implied volatility averaged 118.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 33.5%. IV traded below realized volatility by 0.5% (HV 20d: 118.9%). Max pain ranged from $3.50 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.32.

Notable Days

2020-06-03: Highest Volume — 628,786 contracts
2020-06-03: Largest IV spike — 22.8% change
2020-06-03: Highest IV Rank — 43.2%
2020-06-03: Largest Expected Move — 40.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.47	$4.28	$7.67	$4.28	$7.67
Max Pain	$4.80	$3.50	$6.00	$3.50	$6.00
ATM IV	118.4%	99.5%	136.8%	99.5%	112.3%
Expected Move	33.5%	28.7%	40.6%	30.6%	30.3%
HV 20d	118.9%	98.1%	131.3%	98.1%	105.9%
HV 60d	107.7%	94.9%	124.1%	114.0%	95.4%
IV Rank	30.3%	17.0%	43.2%	17.0%	26.0%
IV Percentile	59.2%	29.0%	88.9%	29.0%	42.1%
Term Structure	-0.7%	-13.3%	4.5%	3.0%	-1.8%
VWIV	121.1%	110.2%	145.0%	110.8%	110.2%
Skew 25d	-27.4%	-58.7%	5.2%	5.2%	-27.3%
Skew 10d	-41.0%	-82.0%	14.5%	14.5%	-77.6%
Call IV 25d	142.0%	104.4%	181.5%	104.4%	133.8%
Put IV 25d	114.6%	103.0%	139.7%	109.6%	106.5%
Bid-Ask Spread %	4.03	2.30	5.94	4.58	4.63
Gamma HHI	0.13	0.10	0.18	0.12	0.17
Net GEX	2.4M	806.2K	3.7M	806.2K	3.7M
Net DEX	-323.4M	-443.0M	-95.4M	-95.4M	-420.0M
Net VEX	-1.5M	-1.7M	-1.1M	-1.1M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.17	0.64	0.33	0.33
Total Volume	225,420.955	70,189	628,786	156,630	198,545
Total OI	1,919,207.091	1,563,152	2,066,002	1,563,152	1,976,612

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
2020-06-01	$4.28	$3.50	99.5%	30.6%	98.1%	17.0%	110.8%	5.2%	3.0%	806.2K	-95.4M	-1.1M	0.33	4.58	118,098	38,532	742,076	821,076
2020-06-02	$4.67	$3.50	111.4%	32.8%	101.4%	25.3%	115.5%	-0.3%	0.7%	1.3M	-140.6M	-1.2M	0.17	5.08	218,124	37,685	783,973	834,745
2020-06-03	$5.68	$3.50	136.8%	40.6%	119.1%	43.2%	145.0%	-3.6%	-4.1%	1.4M	-261.7M	-1.3M	0.21	2.91	518,036	110,750	833,408	852,221
2020-06-04	$5.92	$4.00	125.2%	34.8%	117.2%	35.0%	123.1%	-13.9%	1.6%	2.4M	-305.2M	-1.4M	0.24	5.19	343,342	83,344	935,600	901,702
2020-06-05	$5.58	$4.50	114.4%	32.6%	120.8%	27.5%	117.4%	-18.4%	1.3%	2.0M	-257.8M	-1.4M	0.36	3.54	139,256	49,884	973,033	923,334
2020-06-08	$5.98	$4.50	115.6%	32.1%	121.8%	28.3%	111.0%	-25.1%	-4.0%	2.3M	-285.6M	-1.4M	0.57	4.65	156,326	88,993	912,240	898,241
2020-06-09	$6.68	$4.50	133.2%	38.4%	125.1%	40.7%	133.8%	-58.7%	1.3%	2.5M	-376.5M	-1.5M	0.24	4.42	358,308	84,694	942,870	953,204
2020-06-10	$6.33	$5.00	126.0%	32.2%	127.2%	35.6%	119.2%	-51.2%	-13.3%	2.8M	-329.7M	-1.5M	0.39	4.30	165,343	63,989	1,003,224	1,007,311
2020-06-11	$5.88	$5.00	125.4%	33.8%	128.6%	35.2%	123.8%	-40.6%	-9.5%	2.2M	-268.3M	-1.5M	0.29	3.79	168,718	48,148	1,021,390	1,018,004
2020-06-12	$6.11	$5.00	117.1%	33.2%	128.4%	29.4%	121.6%	-42.2%	-2.9%	2.4M	-301.8M	-1.5M	0.24	3.27	102,398	24,116	1,043,811	1,022,191
2020-06-15	$6.84	$5.00	131.2%	37.0%	130.4%	39.3%	132.6%	-32.5%	0.1%	2.9M	-390.7M	-1.5M	0.25	2.98	237,875	58,505	979,470	981,471
2020-06-16	$6.74	$5.00	127.6%	36.5%	131.2%	36.7%	129.4%	-32.9%	-4.9%	2.7M	-369.6M	-1.6M	0.36	5.94	144,578	52,364	995,111	1,007,576
2020-06-17	$6.83	$5.00	119.3%	34.2%	131.3%	30.9%	121.4%	-28.7%	2.6%	2.9M	-375.8M	-1.6M	0.28	3.10	81,272	22,888	999,978	1,020,423
2020-06-18	$7.18	$5.00	121.3%	34.7%	127.2%	32.3%	126.9%	-28.6%	2.6%	3.6M	-412.5M	-1.6M	0.27	2.30	132,442	36,144	997,957	1,025,974
2020-06-19	$7.38	$5.00	112.4%	31.8%	122.2%	26.0%	117.1%	-23.0%	4.5%	2.3M	-443.0M	-1.6M	0.23	2.86	187,207	42,958	1,023,287	1,037,666
2020-06-22	$7.42	$5.00	115.1%	33.4%	121.5%	28.0%	119.2%	-35.4%	1.6%	2.6M	-389.0M	-1.6M	0.28	4.85	148,478	41,862	898,522	959,362
2020-06-23	$7.21	$5.00	109.6%	31.4%	117.0%	24.1%	122.5%	-30.5%	0.9%	2.7M	-365.9M	-1.6M	0.36	3.91	121,768	43,922	943,791	978,154
2020-06-24	$6.88	$5.00	115.8%	34.3%	117.7%	28.5%	119.5%	-32.5%	2.5%	2.3M	-321.7M	-1.6M	0.42	4.34	149,095	63,006	961,215	991,710
2020-06-25	$7.04	$5.50	116.4%	32.5%	107.4%	28.8%	118.4%	-29.7%	-1.4%	2.7M	-343.6M	-1.7M	0.64	3.79	66,872	42,700	997,785	1,025,727
2020-06-26	$6.89	$5.50	112.8%	31.4%	108.6%	26.3%	113.7%	-35.4%	1.2%	2.1M	-312.0M	-1.7M	0.35	4.48	52,102	18,087	1,005,719	1,045,681
2020-06-29	$7.19	$5.50	106.6%	28.7%	107.3%	21.9%	111.3%	-18.2%	1.5%	2.6M	-347.5M	-1.6M	0.22	3.78	80,974	17,533	937,136	1,008,575
2020-06-30	$7.67	$6.00	112.3%	30.3%	105.9%	26.0%	110.2%	-27.3%	-1.8%	3.7M	-420.0M	-1.7M	0.33	4.63	149,143	49,402	963,170	1,013,442