NIO Options History — August 2020

In August 2020, NIO traded between $12.97 and $20.43. ATM implied volatility averaged 111.3%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 31.7%. IV traded above realized volatility by 15.3% (HV 20d: 96.0%). Max pain ranged from $7.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.34.

Notable Days

2020-08-26: Highest Volume — 1,292,913 contracts
2020-08-25: Largest IV spike — 40.1% change
2020-08-26: Highest IV Rank — 51.2%
2020-08-26: Largest Expected Move — 42.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.05	$12.97	$20.43	$13.53	$19.29
Max Pain	$11.33	$7.00	$14.00	$7.00	$14.00
ATM IV	111.3%	81.9%	148.1%	128.1%	127.2%
Expected Move	31.7%	23.4%	42.1%	39.3%	35.2%
HV 20d	96.0%	69.2%	124.9%	124.9%	96.8%
HV 60d	116.5%	111.3%	119.8%	119.2%	112.0%
IV Rank	25.1%	4.3%	51.2%	37.0%	36.3%
IV Percentile	43.1%	4.8%	88.9%	73.8%	67.1%
Term Structure	-0.1%	-8.8%	4.5%	-8.8%	2.9%
VWIV	112.9%	84.5%	146.4%	141.9%	125.1%
Skew 25d	-14.3%	-37.8%	-2.5%	-7.4%	-37.8%
Skew 10d	-24.5%	-66.1%	22.2%	-18.4%	-59.8%
Call IV 25d	121.2%	87.6%	164.1%	131.2%	157.4%
Put IV 25d	106.9%	80.3%	145.9%	123.8%	119.6%
Bid-Ask Spread %	2.57	1.81	3.19	3.10	2.52
Gamma HHI	0.12	0.07	0.32	0.09	0.09
Net GEX	8.7M	5.3M	12.1M	5.9M	7.7M
Net DEX	-1.16B	-1.98B	-899.3M	-1.00B	-1.49B
Net VEX	-3.1M	-3.8M	-2.8M	-2.9M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.20	0.54	0.31	0.39
Total Volume	420,300.381	159,182	1,292,913	395,243	598,413
Total OI	2,633,032.667	2,041,229	2,863,929	2,556,060	2,406,935

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
2020-08-03	$13.53	$7.00	128.1%	39.3%	124.9%	37.0%	141.9%	-7.4%	-8.8%	5.9M	-1.00B	-2.9M	0.31	3.10	301,320	93,923	1,196,259	1,359,801
2020-08-04	$13.56	$7.00	132.4%	40.5%	115.0%	40.0%	145.0%	-15.8%	-5.7%	7.5M	-1.05B	-2.9M	0.37	3.01	234,926	86,141	1,268,165	1,399,743
2020-08-05	$13.88	$7.00	140.5%	37.8%	114.9%	45.7%	134.7%	-32.1%	-8.7%	9.5M	-1.11B	-3.0M	0.35	3.19	128,507	45,322	1,307,862	1,430,236
2020-08-06	$13.89	$11.00	129.6%	35.7%	108.3%	38.0%	124.9%	-5.4%	-2.0%	10.4M	-1.11B	-3.0M	0.33	2.34	126,748	41,407	1,319,426	1,439,726
2020-08-07	$13.41	$11.00	127.6%	35.6%	107.8%	36.7%	125.9%	-5.0%	3.1%	7.5M	-1.01B	-2.9M	0.34	2.19	156,768	53,113	1,332,018	1,451,275
2020-08-10	$14.03	$11.00	134.7%	37.7%	107.5%	41.6%	131.0%	-12.6%	-2.2%	5.3M	-1.09B	-3.0M	0.33	2.68	201,318	66,182	1,238,636	1,397,248
2020-08-11	$12.97	$11.00	112.1%	32.4%	111.0%	25.7%	116.4%	-13.8%	1.2%	5.6M	-899.3M	-3.0M	0.32	2.58	341,959	109,276	1,316,374	1,426,636
2020-08-12	$13.32	$11.00	100.9%	28.6%	110.9%	17.7%	102.2%	-8.7%	-1.2%	8.3M	-966.0M	-2.9M	0.28	2.60	197,476	55,390	1,377,063	1,443,443
2020-08-13	$13.36	$11.00	85.6%	24.9%	110.1%	6.9%	88.9%	-7.6%	1.9%	9.7M	-970.5M	-2.8M	0.40	2.38	140,953	56,069	1,392,036	1,453,221
2020-08-14	$13.10	$12.00	83.8%	24.3%	87.9%	5.7%	87.0%	-3.4%	1.2%	6.1M	-908.2M	-2.8M	0.53	2.31	170,325	90,967	1,399,470	1,464,459
2020-08-17	$13.94	$12.00	88.1%	25.4%	72.3%	8.7%	90.0%	-2.5%	0.9%	7.9M	-1.03B	-2.9M	0.28	2.28	250,073	69,523	1,223,154	1,402,887
2020-08-18	$14.31	$12.00	83.2%	23.9%	72.7%	5.3%	87.1%	-6.6%	4.5%	12.1M	-1.14B	-2.9M	0.30	2.54	192,026	57,863	1,285,616	1,425,728
2020-08-19	$14.06	$12.00	82.4%	23.6%	71.1%	4.7%	86.9%	-18.6%	2.5%	12.1M	-1.06B	-2.9M	0.35	2.27	117,604	41,578	1,283,482	1,445,469
2020-08-20	$13.82	$12.00	81.9%	23.4%	71.0%	4.3%	84.5%	-9.4%	2.7%	11.6M	-997.1M	-2.9M	0.31	2.35	149,906	45,824	1,293,969	1,462,558
2020-08-21	$14.05	$12.00	88.6%	25.0%	69.2%	9.1%	90.7%	-12.7%	3.7%	10.6M	-1.07B	-2.9M	0.29	2.59	259,056	75,413	1,310,724	1,471,505
2020-08-24	$14.93	$12.00	91.4%	25.7%	71.4%	11.0%	91.2%	-6.7%	2.2%	7.1M	-917.5M	-3.0M	0.28	3.02	360,308	100,550	984,429	1,056,800
2020-08-25	$17.66	$12.50	128.0%	37.1%	89.4%	37.0%	129.3%	-22.1%	-1.6%	8.0M	-1.41B	-3.4M	0.20	2.88	1,061,393	210,468	1,091,452	1,111,396
2020-08-26	$20.43	$13.00	148.1%	42.1%	100.3%	51.2%	146.4%	-18.2%	-3.3%	9.8M	-1.98B	-3.4M	0.28	2.90	1,007,480	285,433	1,229,647	1,192,037
2020-08-27	$19.88	$13.50	129.2%	35.6%	99.7%	37.8%	125.8%	-25.9%	0.9%	11.5M	-1.78B	-3.8M	0.37	1.81	456,239	169,462	1,297,324	1,279,046
2020-08-28	$18.53	$14.00	114.5%	32.2%	104.0%	27.4%	116.0%	-28.1%	2.8%	7.4M	-1.45B	-3.7M	0.54	2.51	401,691	217,915	1,322,767	1,303,664
2020-08-31	$19.29	$14.00	127.2%	35.2%	96.8%	36.3%	125.1%	-37.8%	2.9%	7.7M	-1.49B	-3.8M	0.39	2.52	431,569	166,844	1,171,635	1,235,300