NIO Options History — October 2020

In October 2020, NIO traded between $20.72 and $31.97. ATM implied volatility averaged 98.6%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded above realized volatility by 20.8% (HV 20d: 77.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.34.

Notable Days

2020-10-14: Highest Volume — 1,942,107 contracts
2020-10-14: Largest IV spike — 26.3% change
2020-10-14: Highest IV Rank — 28.5%
2020-10-14: Largest Expected Move — 33.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.38	$20.72	$31.97	$21.78	$30.49
Max Pain	$17.18	$15.00	$20.00	$18.00	$20.00
ATM IV	98.6%	87.5%	119.1%	106.4%	104.1%
Expected Move	29.0%	24.9%	33.5%	31.7%	30.6%
HV 20d	77.9%	57.2%	101.4%	66.4%	101.4%
HV 60d	87.0%	76.6%	94.0%	94.0%	89.0%
IV Rank	12.8%	4.3%	28.5%	18.1%	17.0%
IV Percentile	11.7%	2.0%	52.4%	14.3%	16.3%
Term Structure	2.1%	-3.0%	9.0%	4.7%	0.6%
VWIV	102.2%	88.2%	117.4%	112.0%	107.8%
Skew 25d	-5.6%	-13.5%	-0.7%	-5.6%	-0.7%
Skew 10d	-7.8%	-29.1%	2.0%	-7.0%	1.4%
Call IV 25d	102.5%	90.6%	126.9%	110.1%	105.0%
Put IV 25d	96.8%	84.9%	119.5%	104.5%	104.4%
Bid-Ask Spread %	1.71	1.38	2.11	1.92	1.57
Gamma HHI	0.14	0.08	0.30	0.14	0.14
Net GEX	16.5M	-3.4M	29.3M	20.1M	18.9M
Net DEX	-2.29B	-3.46B	-1.56B	-1.92B	-3.00B
Net VEX	-4.7M	-5.7M	-4.0M	-4.3M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.21	0.54	0.31	0.41
Total Volume	564,345.636	268,122	1,942,107	405,916	741,571
Total OI	2,691,599.409	2,477,198	3,025,206	2,624,678	2,922,828

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
2020-10-01	$21.78	$18.00	106.4%	31.7%	66.4%	18.1%	112.0%	-5.6%	4.7%	20.1M	-1.92B	-4.3M	0.31	1.92	309,095	96,821	1,329,398	1,295,280
2020-10-02	$21.29	$18.00	99.5%	26.9%	63.7%	13.5%	95.5%	-6.6%	6.7%	15.3M	-1.79B	-4.3M	0.33	2.07	339,298	112,300	1,345,276	1,311,589
2020-10-05	$21.61	$15.00	95.0%	30.5%	61.8%	10.0%	107.8%	-7.0%	4.0%	13.9M	-1.74B	-4.0M	0.32	1.72	202,535	65,587	1,220,791	1,256,407
2020-10-06	$20.72	$15.00	89.4%	29.9%	59.9%	5.8%	105.1%	-8.0%	7.0%	14.3M	-1.56B	-4.2M	0.25	1.99	258,413	64,113	1,259,031	1,273,246
2020-10-07	$21.59	$15.00	92.4%	29.4%	58.5%	8.0%	102.9%	-4.3%	6.4%	17.7M	-1.77B	-4.1M	0.21	1.57	274,199	57,032	1,284,798	1,289,662
2020-10-08	$21.40	$15.00	93.5%	28.7%	58.2%	8.9%	101.8%	-7.3%	5.7%	20.1M	-1.75B	-4.1M	0.21	1.63	369,001	77,125	1,328,216	1,303,373
2020-10-09	$21.54	$15.00	89.3%	28.0%	58.2%	5.7%	98.4%	-6.6%	9.0%	29.3M	-1.78B	-4.1M	0.24	1.59	227,238	55,271	1,362,470	1,312,743
2020-10-12	$21.95	$15.00	93.7%	28.2%	57.2%	9.0%	98.4%	-3.7%	3.0%	17.6M	-1.80B	-4.1M	0.26	2.05	217,769	56,859	1,245,592	1,256,454
2020-10-13	$21.55	$15.00	94.3%	27.5%	57.3%	9.5%	96.0%	-7.0%	1.4%	17.5M	-1.72B	-4.1M	0.22	1.56	234,312	51,521	1,293,341	1,275,353
2020-10-14	$26.38	$15.00	119.1%	33.5%	90.0%	28.5%	117.4%	-13.5%	-3.0%	17.6M	-2.83B	-4.3M	0.23	2.00	1,580,859	361,248	1,326,104	1,296,778
2020-10-15	$28.03	$16.00	116.3%	32.6%	91.2%	26.3%	114.8%	-5.9%	-2.5%	23.1M	-3.14B	-4.8M	0.33	1.38	1,309,967	438,603	1,453,042	1,411,738
2020-10-16	$28.30	$17.00	110.9%	31.7%	91.3%	22.3%	110.3%	-7.8%	-1.1%	18.6M	-3.13B	-5.0M	0.40	1.45	613,585	246,012	1,523,657	1,501,549
2020-10-19	$27.64	$17.00	101.0%	28.9%	90.2%	14.7%	101.1%	-2.6%	1.0%	14.2M	-2.45B	-5.0M	0.49	1.51	349,209	170,903	1,291,928	1,330,156
2020-10-20	$27.87	$18.00	99.0%	28.4%	90.2%	13.1%	99.1%	-6.4%	-0.1%	15.3M	-2.50B	-5.0M	0.41	1.45	270,731	111,286	1,328,215	1,369,870
2020-10-21	$27.82	$18.00	96.9%	27.8%	84.8%	11.5%	97.5%	-5.8%	-0.5%	17.4M	-2.51B	-5.2M	0.50	1.67	196,729	98,458	1,370,925	1,394,207
2020-10-22	$27.44	$19.00	88.9%	25.4%	85.1%	5.4%	89.7%	-4.0%	2.1%	12.0M	-2.37B	-5.1M	0.47	1.69	224,850	106,427	1,375,298	1,425,661
2020-10-23	$27.04	$19.00	87.5%	24.9%	86.1%	4.3%	88.2%	-5.5%	2.5%	-3.4M	-2.26B	-5.1M	0.54	1.67	184,085	99,117	1,383,467	1,433,094
2020-10-26	$26.01	$19.00	92.3%	26.5%	88.4%	8.0%	95.2%	-6.5%	0.3%	9.1M	-2.03B	-5.0M	0.40	1.90	197,593	78,210	1,254,572	1,347,072
2020-10-27	$28.32	$19.00	96.5%	28.0%	86.0%	11.2%	98.8%	-3.3%	0.7%	15.9M	-2.53B	-5.4M	0.32	1.59	322,030	101,681	1,302,810	1,369,675
2020-10-28	$27.56	$20.00	99.2%	28.1%	87.3%	13.3%	99.6%	-3.2%	-0.9%	16.1M	-2.40B	-5.3M	0.46	1.56	237,616	110,106	1,358,695	1,391,606
2020-10-29	$31.97	$20.00	104.6%	31.3%	99.7%	17.4%	110.1%	-2.6%	0.3%	23.1M	-3.46B	-5.4M	0.26	2.11	949,992	246,247	1,388,367	1,420,853
2020-10-30	$30.49	$20.00	104.1%	30.6%	101.4%	17.0%	107.8%	-0.7%	0.6%	18.9M	-3.00B	-5.7M	0.41	1.57	527,362	214,209	1,439,004	1,483,824