NIO Options History — September 2020

In September 2020, NIO traded between $17.10 and $21.27. ATM implied volatility averaged 111.0%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 31.7%. IV traded above realized volatility by 21.9% (HV 20d: 89.1%). Max pain ranged from $15.00 to $17.50. 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

2020-09-30: Highest Volume — 835,047 contracts
2020-09-29: Largest IV spike — 18.0% change
2020-09-01: Highest IV Rank — 42.4%
2020-09-08: Largest Expected Move — 37.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.89	$17.10	$21.27	$19.99	$21.27
Max Pain	$16.60	$15.00	$17.50	$15.00	$17.50
ATM IV	111.0%	96.7%	135.7%	135.7%	109.0%
Expected Move	31.7%	26.7%	37.8%	36.7%	32.3%
HV 20d	89.1%	57.4%	102.9%	96.8%	66.2%
HV 60d	107.4%	94.1%	111.6%	111.6%	94.1%
IV Rank	23.5%	10.9%	42.4%	42.4%	20.0%
IV Percentile	27.8%	3.6%	81.0%	81.0%	20.2%
Term Structure	0.9%	-5.5%	6.5%	1.7%	6.5%
VWIV	112.6%	94.3%	136.4%	136.4%	115.4%
Skew 25d	-9.6%	-51.8%	0.1%	-51.8%	-6.0%
Skew 10d	-15.5%	-65.9%	1.4%	-55.0%	-6.8%
Call IV 25d	118.2%	95.8%	174.9%	174.9%	111.0%
Put IV 25d	108.6%	95.9%	126.8%	123.1%	105.1%
Bid-Ask Spread %	3.61	1.88	15.93	1.88	3.06
Gamma HHI	0.13	0.08	0.26	0.11	0.13
Net GEX	10.4M	2.5M	18.5M	11.4M	18.5M
Net DEX	-1.38B	-1.82B	-1.09B	-1.68B	-1.82B
Net VEX	-4.0M	-4.3M	-3.9M	-4.0M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.19	0.60	0.33	0.27
Total Volume	346,380.667	176,915	835,047	476,530	835,047
Total OI	2,525,884.19	2,340,745	2,702,616	2,540,034	2,533,640

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
2020-09-01	$19.99	$15.00	135.7%	36.7%	96.8%	42.4%	136.4%	-51.8%	1.7%	11.4M	-1.68B	-4.0M	0.33	1.88	358,766	117,764	1,265,514	1,274,520
2020-09-02	$19.78	$15.00	129.1%	34.7%	97.4%	37.7%	126.1%	-40.6%	4.5%	12.7M	-1.63B	-4.1M	0.38	3.32	333,847	125,989	1,310,281	1,300,968
2020-09-03	$18.77	$15.00	125.6%	36.7%	100.4%	35.3%	130.4%	-23.6%	2.1%	9.2M	-1.41B	-4.1M	0.34	2.74	316,630	108,748	1,342,048	1,325,004
2020-09-04	$18.10	$15.00	127.3%	36.7%	100.5%	36.5%	128.5%	-14.9%	-0.1%	2.5M	-1.25B	-4.0M	0.60	15.93	337,847	201,674	1,364,666	1,337,950
2020-09-08	$17.10	$16.00	132.0%	37.8%	102.9%	39.7%	132.2%	-16.5%	-0.6%	5.3M	-1.09B	-3.9M	0.41	2.48	192,750	79,130	1,204,487	1,268,462
2020-09-09	$18.09	$17.00	117.1%	34.0%	98.6%	29.2%	121.0%	-5.4%	1.0%	8.8M	-1.27B	-4.0M	0.43	2.68	219,939	94,472	1,254,628	1,294,492
2020-09-10	$17.80	$17.00	107.1%	30.6%	99.2%	22.1%	108.3%	-5.0%	-1.5%	8.5M	-1.21B	-4.0M	0.39	4.94	182,413	71,289	1,282,457	1,311,911
2020-09-11	$17.94	$17.00	100.5%	29.2%	99.1%	17.5%	105.3%	-3.1%	1.9%	14.8M	-1.22B	-3.9M	0.51	2.78	125,221	64,428	1,284,458	1,319,875
2020-09-14	$18.66	$17.00	102.9%	29.8%	98.6%	19.2%	104.0%	-3.5%	-5.5%	9.7M	-1.33B	-3.9M	0.28	2.86	179,897	51,040	1,179,316	1,262,742
2020-09-15	$19.24	$17.00	106.8%	30.7%	97.4%	21.9%	108.1%	-3.5%	1.4%	12.0M	-1.47B	-4.0M	0.23	4.08	385,525	89,693	1,223,213	1,279,258
2020-09-16	$19.12	$17.00	106.0%	30.4%	97.6%	21.4%	107.9%	-6.8%	-0.9%	13.3M	-1.44B	-4.1M	0.26	3.60	163,547	43,068	1,278,186	1,302,575
2020-09-17	$19.18	$17.00	105.8%	30.4%	97.0%	21.2%	108.6%	-7.7%	-1.6%	14.7M	-1.46B	-4.1M	0.31	2.42	145,603	44,987	1,304,590	1,308,689
2020-09-18	$19.44	$17.00	100.7%	29.0%	96.2%	17.6%	102.0%	-3.9%	-1.6%	8.6M	-1.53B	-4.0M	0.31	2.84	201,440	61,736	1,321,674	1,311,087
2020-09-21	$18.72	$17.00	104.7%	30.2%	98.1%	16.9%	106.2%	-1.6%	1.4%	8.7M	-1.26B	-4.0M	0.36	2.54	196,369	70,934	1,158,242	1,182,503
2020-09-22	$19.30	$17.00	100.8%	28.9%	96.8%	14.0%	101.8%	-1.8%	0.9%	11.5M	-1.37B	-4.1M	0.22	2.35	170,484	38,197	1,205,285	1,212,082
2020-09-23	$18.05	$17.00	104.5%	29.8%	81.6%	16.7%	105.8%	-2.0%	-0.1%	8.1M	-1.16B	-4.0M	0.34	2.69	214,397	72,587	1,237,571	1,219,711
2020-09-24	$17.90	$17.00	101.9%	28.4%	61.2%	14.8%	101.0%	-1.3%	3.4%	6.7M	-1.12B	-4.0M	0.40	3.11	179,089	71,482	1,258,842	1,236,984
2020-09-25	$18.31	$17.00	96.7%	26.7%	61.5%	10.9%	94.3%	0.1%	2.8%	10.8M	-1.20B	-4.1M	0.33	3.05	132,820	44,095	1,280,706	1,254,037
2020-09-28	$18.89	$17.00	99.4%	28.4%	57.4%	12.9%	100.0%	0.1%	2.1%	9.2M	-1.30B	-4.0M	0.32	2.67	153,524	48,982	1,147,150	1,198,300
2020-09-29	$20.98	$17.00	117.3%	34.5%	67.1%	26.2%	120.3%	-1.7%	2.0%	12.4M	-1.71B	-4.2M	0.19	3.76	627,858	120,686	1,188,433	1,217,031
2020-09-30	$21.27	$17.50	109.0%	32.3%	66.2%	20.0%	115.4%	-6.0%	6.5%	18.5M	-1.82B	-4.3M	0.27	3.06	657,697	177,350	1,282,522	1,251,118