NIO Options History — December 2020

In December 2020, NIO traded between $40.92 and $48.59. ATM implied volatility averaged 110.6%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 32.7%. IV traded above realized volatility by 17.6% (HV 20d: 93.0%). Max pain ranged from $11.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.42.

Notable Days

2020-12-02: Highest Volume — 1,128,264 contracts
2020-12-07: Largest IV drop — 8.4% change
2020-12-04: Highest IV Rank — 29.0%
2020-12-01: Largest Expected Move — 37.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.49	$40.92	$48.59	$44.93	$48.48
Max Pain	$16.45	$11.00	$41.00	$41.00	$17.00
ATM IV	110.6%	103.7%	119.8%	117.7%	107.7%
Expected Move	32.7%	30.3%	37.7%	37.7%	33.0%
HV 20d	93.0%	66.3%	108.0%	107.1%	66.3%
HV 60d	94.0%	91.3%	96.2%	92.1%	93.6%
IV Rank	22.0%	16.7%	29.0%	27.5%	19.7%
IV Percentile	33.4%	14.3%	59.1%	55.2%	27.4%
Term Structure	1.6%	-2.2%	7.0%	1.0%	-0.1%
VWIV	116.4%	106.3%	134.0%	134.0%	115.5%
Skew 25d	-14.2%	-25.3%	-2.9%	-3.5%	-14.3%
Skew 10d	-22.7%	-49.6%	-5.0%	-13.2%	-19.5%
Call IV 25d	120.8%	112.5%	132.4%	121.3%	116.3%
Put IV 25d	106.7%	100.0%	119.0%	117.8%	102.0%
Bid-Ask Spread %	2.25	1.49	3.85	3.34	2.27
Gamma HHI	0.08	0.06	0.12	0.06	0.07
Net GEX	31.8M	6.1M	62.1M	12.4M	38.3M
Net DEX	-4.27B	-5.34B	-3.19B	-3.75B	-5.34B
Net VEX	-10.9M	-11.5M	-9.7M	-9.7M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.30	0.59	0.52	0.30
Total Volume	680,664.545	401,810	1,128,264	976,934	1,041,961
Total OI	3,369,303.455	3,102,038	3,590,907	3,102,038	3,534,600

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
2020-12-01	$44.93	$41.00	117.7%	37.7%	107.1%	27.5%	134.0%	-3.5%	1.0%	12.4M	-3.75B	-9.7M	0.52	3.34	644,596	332,338	1,558,284	1,543,754
2020-12-02	$47.82	$41.00	117.1%	36.2%	106.9%	26.9%	128.0%	-4.7%	3.0%	25.0M	-4.52B	-10.4M	0.53	3.85	736,748	391,516	1,665,378	1,594,807
2020-12-03	$45.42	$11.00	116.4%	34.6%	108.0%	26.4%	122.1%	-14.5%	3.6%	17.2M	-4.00B	-10.4M	0.45	3.79	523,855	233,810	1,756,480	1,642,812
2020-12-04	$42.91	$12.00	119.8%	35.1%	104.3%	29.0%	123.9%	-2.9%	2.9%	9.0M	-3.38B	-10.1M	0.59	2.52	549,182	326,366	1,810,223	1,665,587
2020-12-07	$45.06	$12.00	109.8%	32.5%	105.6%	21.4%	116.2%	-8.3%	2.4%	23.0M	-4.09B	-10.5M	0.44	2.25	413,564	181,479	1,620,795	1,570,879
2020-12-08	$46.51	$12.00	113.7%	33.7%	103.9%	24.4%	119.7%	-14.2%	3.3%	32.1M	-4.51B	-10.8M	0.36	1.86	351,582	126,728	1,686,447	1,579,320
2020-12-09	$44.01	$13.00	116.8%	34.5%	102.5%	26.7%	123.2%	-12.2%	2.7%	21.8M	-3.84B	-10.7M	0.44	2.67	376,855	164,479	1,732,576	1,613,683
2020-12-10	$45.18	$13.00	107.4%	32.6%	102.1%	19.6%	116.5%	-9.9%	7.0%	31.1M	-4.11B	-10.8M	0.46	1.79	280,404	129,158	1,768,116	1,646,555
2020-12-11	$41.95	$13.00	111.3%	32.9%	96.2%	22.5%	117.9%	-11.1%	4.7%	6.1M	-3.21B	-10.4M	0.53	2.39	525,559	276,439	1,779,293	1,664,976
2020-12-14	$40.92	$13.00	112.1%	32.5%	92.9%	23.1%	120.9%	-24.6%	-2.2%	13.6M	-3.19B	-10.3M	0.44	1.89	479,677	209,798	1,664,820	1,576,987
2020-12-15	$43.44	$14.00	112.2%	32.3%	95.5%	23.2%	116.9%	-25.3%	-0.9%	28.3M	-3.98B	-11.0M	0.33	2.64	459,536	151,583	1,772,038	1,627,198
2020-12-16	$44.49	$14.00	112.2%	32.2%	95.5%	23.2%	117.1%	-24.9%	-0.8%	41.6M	-4.38B	-11.2M	0.35	1.93	413,207	145,394	1,850,268	1,650,952
2020-12-17	$45.42	$15.00	109.0%	31.2%	95.2%	20.8%	111.7%	-24.9%	0.1%	53.8M	-4.68B	-11.4M	0.42	1.66	351,141	147,315	1,885,489	1,675,328
2020-12-18	$46.36	$15.00	108.2%	30.9%	90.7%	20.2%	111.4%	-24.2%	1.4%	55.3M	-5.04B	-11.3M	0.44	1.92	524,285	231,866	1,900,263	1,690,644
2020-12-21	$48.59	$15.00	105.2%	30.3%	92.3%	17.9%	108.4%	-15.9%	1.5%	43.5M	-5.01B	-11.3M	0.38	2.69	505,292	189,522	1,643,400	1,512,035
2020-12-22	$47.69	$15.00	111.5%	32.3%	81.7%	22.7%	114.1%	-15.3%	-0.4%	48.3M	-4.83B	-11.4M	0.36	1.82	502,538	180,991	1,732,541	1,552,146
2020-12-23	$47.33	$15.00	107.6%	31.1%	81.3%	19.7%	109.8%	-13.0%	0.3%	56.2M	-4.73B	-11.5M	0.35	1.84	351,349	123,810	1,810,598	1,601,858
2020-12-24	$45.84	$15.00	103.7%	30.4%	81.7%	16.7%	106.3%	-13.1%	0.0%	23.3M	-4.21B	-11.4M	0.51	1.70	266,432	135,378	1,833,482	1,627,261
2020-12-28	$44.07	$15.00	104.3%	30.6%	82.2%	17.1%	109.6%	-11.8%	1.5%	21.7M	-3.70B	-10.8M	0.36	1.62	436,278	155,533	1,681,811	1,557,672
2020-12-29	$46.23	$15.00	105.2%	31.6%	82.9%	17.9%	111.0%	-11.6%	2.1%	36.7M	-4.40B	-11.3M	0.35	1.59	510,087	180,379	1,764,107	1,603,146
2020-12-30	$48.06	$16.00	104.4%	30.5%	69.8%	17.2%	107.6%	-11.5%	1.5%	62.1M	-5.15B	-11.5M	0.34	1.49	533,390	183,220	1,834,500	1,641,567
2020-12-31	$48.48	$17.00	107.7%	33.0%	66.3%	19.7%	115.5%	-14.3%	-0.1%	38.3M	-5.34B	-11.4M	0.30	2.27	799,569	242,392	1,872,501	1,662,099