NIO Options History — July 2020

In July 2020, NIO traded between $7.94 and $14.97. ATM implied volatility averaged 157.4%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 44.0%. IV traded above realized volatility by 30.2% (HV 20d: 127.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.47.

Notable Days

2020-07-08: Highest Volume — 948,099 contracts
2020-07-06: Largest IV spike — 29.1% change
2020-07-08: Highest IV Rank — 96.6%
2020-07-07: Largest Expected Move — 56.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.39	$7.94	$14.97	$7.94	$11.93
Max Pain	$6.41	$6.00	$7.00	$6.00	$7.00
ATM IV	157.4%	110.9%	212.4%	110.9%	118.5%
Expected Move	44.0%	31.1%	56.6%	31.1%	32.7%
HV 20d	127.2%	84.7%	146.7%	84.7%	138.0%
HV 60d	112.2%	95.3%	120.0%	95.3%	117.3%
IV Rank	57.7%	25.0%	96.6%	25.0%	30.2%
IV Percentile	85.2%	39.7%	99.6%	39.7%	52.0%
Term Structure	-0.9%	-10.4%	5.7%	0.8%	-4.2%
VWIV	157.3%	107.4%	198.1%	107.4%	118.1%
Skew 25d	-16.6%	-47.9%	7.4%	-19.1%	-4.2%
Skew 10d	-21.2%	-49.6%	14.0%	-46.3%	-6.6%
Call IV 25d	171.5%	122.4%	239.3%	128.3%	122.4%
Put IV 25d	154.9%	109.2%	202.9%	109.2%	118.2%
Bid-Ask Spread %	3.87	2.50	7.06	4.50	3.30
Gamma HHI	0.12	0.06	0.69	0.23	0.17
Net GEX	4.4M	1.7M	18.6M	4.8M	6.0M
Net DEX	-890.0M	-1.36B	-460.0M	-460.0M	-764.9M
Net VEX	-2.5M	-2.9M	-1.7M	-1.7M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.22	0.92	0.50	0.57
Total Volume	402,633.5	144,377	948,099	144,377	220,291
Total OI	2,485,270.318	2,024,967	2,722,883	2,030,343	2,698,795

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
2020-07-01	$7.94	$6.00	110.9%	31.1%	84.7%	25.0%	107.4%	-19.1%	0.8%	4.8M	-460.0M	-1.7M	0.50	4.50	96,136	48,241	988,871	1,041,472
2020-07-02	$9.32	$6.00	140.5%	41.0%	98.6%	45.9%	145.5%	-47.9%	-0.1%	2.1M	-675.6M	-1.7M	0.22	2.83	473,973	103,361	996,463	1,056,567
2020-07-06	$11.48	$6.00	181.5%	47.3%	113.8%	74.8%	167.7%	-32.3%	-3.9%	2.6M	-858.6M	-1.8M	0.31	3.95	445,475	137,766	958,960	1,066,007
2020-07-07	$13.19	$6.00	209.9%	56.6%	119.0%	94.8%	198.0%	-38.2%	-4.5%	2.9M	-1.04B	-2.0M	0.37	3.13	502,132	187,837	1,014,956	1,131,917
2020-07-08	$12.94	$6.00	212.4%	56.2%	117.6%	96.6%	197.7%	-34.4%	-8.3%	3.2M	-1.03B	-2.2M	0.46	4.69	649,238	298,861	1,095,277	1,219,220
2020-07-09	$14.39	$6.00	200.2%	55.8%	115.7%	88.0%	198.1%	-35.2%	-3.4%	5.1M	-1.24B	-2.5M	0.51	3.65	353,488	179,346	1,209,343	1,310,523
2020-07-10	$14.97	$6.00	199.1%	55.1%	107.4%	87.2%	195.6%	-32.6%	1.4%	18.6M	-1.36B	-2.6M	0.43	2.50	386,875	166,476	1,253,077	1,361,892
2020-07-13	$14.15	$6.00	189.1%	50.4%	113.5%	80.2%	181.8%	-31.0%	-10.4%	3.9M	-1.13B	-2.6M	0.49	7.06	336,648	164,906	1,146,186	1,273,972
2020-07-14	$14.02	$6.00	164.5%	47.4%	111.7%	62.8%	169.9%	-23.6%	0.5%	3.7M	-1.06B	-2.6M	0.46	3.53	243,072	112,582	1,192,074	1,325,282
2020-07-15	$13.54	$6.00	155.8%	45.4%	113.1%	56.6%	168.1%	-14.3%	1.9%	4.0M	-1.00B	-2.7M	0.44	2.70	203,181	89,770	1,243,674	1,347,230
2020-07-16	$13.07	$6.00	153.8%	44.3%	115.6%	55.2%	161.8%	-1.5%	-0.5%	3.3M	-926.5M	-2.7M	0.40	5.86	207,343	83,518	1,279,557	1,371,214
2020-07-17	$10.93	$6.00	153.4%	43.9%	137.5%	54.9%	161.3%	-10.0%	-2.1%	1.7M	-597.8M	-2.5M	0.92	5.56	386,896	354,125	1,304,947	1,385,955
2020-07-20	$12.76	$6.00	152.7%	43.5%	145.5%	54.5%	156.3%	0.7%	-0.7%	3.5M	-877.2M	-2.7M	0.59	3.90	309,271	181,134	1,138,614	1,260,099
2020-07-21	$12.89	$7.00	151.6%	43.3%	145.4%	53.6%	154.8%	-4.1%	2.3%	4.5M	-927.4M	-2.8M	0.63	3.09	153,017	96,073	1,244,414	1,346,698
2020-07-22	$12.36	$7.00	162.8%	46.7%	146.1%	61.6%	165.9%	-0.2%	3.9%	3.5M	-833.1M	-2.9M	0.59	3.89	144,981	85,090	1,268,873	1,377,835
2020-07-23	$12.14	$7.00	154.4%	44.6%	144.5%	55.6%	157.7%	1.3%	-4.5%	2.8M	-794.2M	-2.8M	0.50	3.47	202,560	100,549	1,298,159	1,400,408
2020-07-24	$11.70	$7.00	148.7%	42.8%	146.4%	51.6%	150.4%	7.4%	-4.6%	2.3M	-713.5M	-2.8M	0.51	3.95	196,410	99,339	1,318,601	1,404,282
2020-07-27	$11.68	$7.00	132.1%	37.3%	145.7%	39.9%	133.3%	5.1%	2.9%	2.6M	-721.1M	-2.6M	0.39	2.94	145,394	56,322	1,185,082	1,323,257
2020-07-28	$12.34	$7.00	125.1%	34.8%	146.0%	34.9%	124.7%	-28.4%	1.7%	4.3M	-837.7M	-2.7M	0.32	3.73	181,138	57,391	1,215,996	1,339,028
2020-07-29	$12.65	$7.00	125.6%	35.2%	145.3%	35.3%	124.9%	-10.7%	5.4%	5.8M	-901.7M	-2.8M	0.35	3.99	168,374	59,455	1,258,532	1,354,816
2020-07-30	$12.22	$7.00	120.2%	33.4%	146.7%	31.4%	120.9%	-11.4%	5.7%	5.7M	-825.5M	-2.7M	0.40	3.01	135,730	54,172	1,291,840	1,375,982
2020-07-31	$11.93	$7.00	118.5%	32.7%	138.0%	30.2%	118.1%	-4.2%	-4.2%	6.0M	-764.9M	-2.7M	0.57	3.30	140,329	79,962	1,307,329	1,391,466