NIO Options History — February 2021

In February 2021, NIO traded between $46.79 and $62.51. ATM implied volatility averaged 99.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded above realized volatility by 41.9% (HV 20d: 57.9%). Max pain ranged from $48.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2021-02-09: Highest Volume — 915,632 contracts
2021-02-08: Largest IV spike — 17.1% change
2021-02-25: Highest IV Rank — 24.9%
2021-02-25: Largest Expected Move — 35.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.74	$46.79	$62.51	$56.80	$47.16
Max Pain	$53.95	$48.00	$55.00	$48.00	$55.00
ATM IV	99.8%	87.4%	114.4%	100.4%	104.7%
Expected Move	28.7%	23.2%	35.2%	27.0%	31.4%
HV 20d	57.9%	47.6%	74.3%	74.3%	60.6%
HV 60d	76.1%	71.1%	83.4%	83.4%	73.4%
IV Rank	13.7%	4.2%	24.9%	14.2%	17.5%
IV Percentile	18.6%	2.4%	56.0%	15.5%	29.4%
Term Structure	-0.5%	-5.0%	6.4%	2.7%	-3.9%
VWIV	103.5%	82.2%	124.7%	96.3%	115.9%
Skew 25d	-5.0%	-12.2%	8.3%	-1.6%	3.9%
Skew 10d	-4.4%	-17.6%	19.3%	1.4%	13.8%
Call IV 25d	105.8%	90.5%	114.5%	105.5%	107.9%
Put IV 25d	100.8%	86.6%	122.8%	103.9%	111.8%
Bid-Ask Spread %	2.81	1.61	5.68	1.92	2.66
Gamma HHI	0.08	0.05	0.14	0.07	0.05
Net GEX	36.3M	1.5M	80.5M	29.0M	8.5M
Net DEX	-3.28B	-5.50B	-1.02B	-3.51B	-1.02B
Net VEX	-16.0M	-16.8M	-15.1M	-15.6M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.22	0.71	0.25	0.71
Total Volume	562,526.211	391,864	915,632	566,639	613,885
Total OI	2,839,848.684	2,495,391	3,107,861	2,565,539	2,925,837

Daily Data (19 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
2021-02-01	$56.80	$48.00	100.4%	27.0%	74.3%	14.2%	96.3%	-1.6%	2.7%	29.0M	-3.51B	-15.6M	0.25	1.92	451,917	114,722	1,366,733	1,198,806
2021-02-02	$55.70	$48.00	98.0%	25.6%	67.1%	12.4%	90.9%	-0.8%	3.6%	33.1M	-3.35B	-15.6M	0.36	1.98	364,666	130,156	1,453,435	1,233,089
2021-02-03	$58.03	$49.00	91.4%	23.2%	68.4%	7.3%	82.2%	-0.9%	5.6%	55.9M	-4.11B	-16.0M	0.35	1.61	421,446	148,418	1,511,196	1,283,334
2021-02-04	$57.59	$55.00	90.4%	28.0%	66.4%	6.5%	99.6%	-2.2%	5.5%	53.7M	-3.84B	-15.9M	0.31	2.61	298,977	92,887	1,538,442	1,314,086
2021-02-05	$56.62	$55.00	87.4%	27.1%	63.3%	4.2%	97.2%	-4.0%	6.4%	34.0M	-3.50B	-15.7M	0.37	5.68	346,468	129,099	1,584,243	1,336,474
2021-02-08	$59.01	$55.00	102.4%	29.1%	57.4%	15.7%	102.9%	-7.5%	-0.2%	46.7M	-4.19B	-16.0M	0.37	2.67	435,470	161,128	1,418,321	1,271,784
2021-02-09	$62.51	$55.00	102.0%	29.0%	55.9%	15.4%	103.6%	-10.5%	-0.4%	79.7M	-5.50B	-16.4M	0.22	3.32	748,539	167,093	1,522,013	1,319,270
2021-02-10	$61.03	$55.00	101.6%	28.2%	56.5%	15.1%	101.3%	-10.9%	-3.1%	80.5M	-4.94B	-16.8M	0.30	3.05	622,736	183,960	1,585,425	1,343,076
2021-02-11	$60.24	$55.00	100.4%	28.2%	56.6%	14.2%	101.5%	-11.7%	-2.7%	71.1M	-4.56B	-16.5M	0.36	2.82	345,818	125,363	1,624,378	1,381,037
2021-02-12	$59.76	$55.00	98.7%	27.7%	56.1%	12.8%	100.2%	-11.6%	-2.8%	47.2M	-4.28B	-16.5M	0.40	2.85	339,050	135,862	1,646,835	1,403,319
2021-02-16	$59.31	$55.00	99.2%	28.3%	47.6%	13.2%	102.7%	-12.2%	-3.1%	50.0M	-4.13B	-15.9M	0.32	2.22	413,689	133,332	1,489,409	1,327,994
2021-02-17	$57.41	$55.00	97.9%	28.1%	47.9%	12.2%	103.6%	-11.6%	-1.4%	29.1M	-3.45B	-16.0M	0.32	2.69	381,429	122,204	1,577,679	1,373,813
2021-02-18	$54.62	$55.00	104.8%	30.2%	51.0%	17.6%	109.6%	-10.1%	-3.3%	1.5M	-2.70B	-15.6M	0.38	2.81	374,947	141,601	1,609,563	1,403,346
2021-02-19	$54.81	$55.00	98.4%	28.4%	50.7%	12.6%	103.5%	-8.5%	-2.8%	41.3M	-2.79B	-16.0M	0.47	2.21	313,319	146,120	1,676,944	1,430,917
2021-02-22	$50.59	$55.00	98.5%	29.1%	52.2%	12.7%	106.0%	-5.2%	-0.7%	5.4M	-1.72B	-15.1M	0.40	4.84	432,987	172,139	1,330,236	1,165,155
2021-02-23	$49.50	$55.00	104.4%	31.2%	51.6%	17.2%	113.4%	1.5%	-2.5%	5.4M	-1.51B	-15.6M	0.46	2.39	491,885	227,184	1,436,722	1,221,449
2021-02-24	$51.49	$55.00	100.7%	30.1%	54.3%	14.4%	111.4%	1.5%	-1.7%	16.5M	-2.13B	-16.6M	0.53	2.05	309,129	164,322	1,505,951	1,280,375
2021-02-25	$46.79	$55.00	114.4%	35.2%	61.2%	24.9%	124.7%	8.3%	-5.0%	1.8M	-1.04B	-15.7M	0.47	2.93	331,231	154,820	1,535,895	1,330,544
2021-02-26	$47.16	$55.00	104.7%	31.4%	60.6%	17.5%	115.9%	3.9%	-3.9%	8.5M	-1.02B	-15.8M	0.71	2.66	359,290	254,595	1,568,611	1,357,226