NIO Options History — March 2021

In March 2021, NIO traded between $34.74 and $50.00. ATM implied volatility averaged 84.8%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded below realized volatility by 15.0% (HV 20d: 99.8%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.57.

Notable Days

2021-03-05: Highest Volume — 1,378,937 contracts
2021-03-24: Largest IV spike — 23.4% change
2021-03-26: Highest IV Rank — 16.9%
2021-03-01: Largest Expected Move — 29.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.13	$34.74	$50.00	$50.00	$39.10
Max Pain	$46.70	$45.00	$55.00	$55.00	$45.00
ATM IV	84.8%	67.3%	100.3%	96.9%	74.8%
Expected Move	24.3%	19.4%	29.0%	29.0%	20.9%
HV 20d	99.8%	65.2%	112.4%	65.2%	103.8%
HV 60d	80.3%	69.4%	87.0%	69.4%	85.0%
IV Rank	6.0%	0.0%	16.9%	11.5%	5.2%
IV Percentile	4.7%	0.0%	21.0%	13.1%	0.8%
Term Structure	-0.8%	-3.0%	3.4%	-2.8%	0.7%
VWIV	87.3%	69.1%	103.9%	103.9%	74.4%
Skew 25d	3.5%	-0.7%	10.9%	0.4%	4.4%
Skew 10d	7.5%	-1.5%	21.1%	5.4%	9.3%
Call IV 25d	86.0%	67.7%	100.2%	99.5%	73.3%
Put IV 25d	89.5%	69.6%	108.7%	99.9%	77.8%
Bid-Ask Spread %	2.91	2.01	4.92	2.68	2.01
Gamma HHI	0.06	0.05	0.14	0.06	0.05
Net GEX	7.7M	-10.4M	41.2M	14.5M	9.1M
Net DEX	-873.9M	-2.31B	166.5M	-1.95B	-785.5M
Net VEX	-15.9M	-18.0M	-13.8M	-16.3M	-16.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.35	0.78	0.44	0.54
Total Volume	655,028.348	336,512	1,378,937	560,676	586,647
Total OI	3,027,343.217	2,627,213	3,303,567	2,627,213	3,097,032

Daily Data (23 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
2021-03-01	$50.00	$55.00	96.9%	29.0%	65.2%	11.5%	103.9%	0.4%	-2.8%	14.5M	-1.95B	-16.3M	0.44	2.68	390,004	170,672	1,366,433	1,260,780
2021-03-02	$43.23	$55.00	86.9%	25.2%	81.7%	3.8%	90.6%	2.7%	-1.6%	-3.2M	-538.5M	-14.4M	0.46	2.98	700,575	321,180	1,484,909	1,298,121
2021-03-03	$41.56	$50.00	87.6%	25.1%	82.2%	4.4%	91.1%	5.1%	-1.6%	-5.5M	-301.7M	-14.6M	0.59	3.62	441,388	259,507	1,620,313	1,366,679
2021-03-04	$39.29	$50.00	92.0%	25.8%	80.7%	7.8%	92.4%	6.6%	-2.6%	-8.5M	43.8M	-14.2M	0.60	4.92	564,086	337,080	1,683,068	1,401,966
2021-03-05	$38.09	$50.00	97.8%	27.1%	80.7%	12.2%	97.7%	10.9%	-3.0%	-10.4M	166.5M	-14.4M	0.62	3.49	849,886	529,051	1,735,347	1,442,199
2021-03-08	$35.40	$46.00	100.3%	27.8%	82.8%	14.1%	100.3%	7.0%	-2.3%	582.5K	-49.3M	-13.8M	0.65	2.74	410,170	267,652	1,579,172	1,335,260
2021-03-09	$41.25	$46.00	87.5%	24.7%	101.7%	4.3%	90.1%	1.7%	-1.2%	14.4M	-1.06B	-16.3M	0.46	2.49	653,642	303,213	1,666,094	1,401,563
2021-03-10	$41.27	$46.00	89.2%	25.2%	98.0%	5.6%	90.7%	0.8%	-0.9%	14.0M	-1.07B	-16.5M	0.49	2.67	554,314	270,378	1,718,068	1,447,043
2021-03-11	$45.85	$46.00	85.3%	24.2%	107.7%	2.6%	85.7%	1.0%	-0.9%	39.6M	-2.31B	-17.9M	0.50	2.96	542,858	270,319	1,772,596	1,469,632
2021-03-12	$45.41	$45.00	87.2%	24.8%	107.7%	4.0%	88.7%	-0.0%	-1.4%	41.2M	-2.18B	-18.0M	0.64	2.72	403,791	257,842	1,797,125	1,506,442
2021-03-15	$45.03	$45.00	86.4%	24.6%	107.7%	3.5%	89.0%	-0.7%	-0.8%	19.3M	-1.77B	-17.6M	0.41	2.75	244,378	100,532	1,639,336	1,412,749
2021-03-16	$43.94	$45.00	84.0%	24.0%	107.8%	1.6%	86.5%	1.9%	-1.0%	16.4M	-1.48B	-17.0M	0.59	3.89	279,720	164,797	1,681,126	1,426,798
2021-03-17	$44.53	$45.00	79.6%	22.8%	108.0%	0.0%	83.4%	-0.7%	-0.4%	22.0M	-1.61B	-17.2M	0.57	4.04	280,730	160,722	1,716,632	1,455,821
2021-03-18	$41.81	$45.00	84.4%	24.2%	108.7%	3.6%	87.0%	2.6%	-0.5%	2.9M	-925.7M	-16.5M	0.68	2.81	234,123	158,525	1,740,856	1,471,296
2021-03-19	$43.16	$45.00	76.4%	21.9%	109.8%	0.0%	79.4%	1.6%	0.6%	12.7M	-1.25B	-16.7M	0.75	2.33	310,706	232,531	1,768,340	1,489,493
2021-03-22	$43.28	$45.00	72.4%	21.0%	106.8%	0.0%	74.8%	0.8%	0.7%	10.3M	-1.38B	-16.3M	0.35	2.96	279,200	98,435	1,392,764	1,287,113
2021-03-23	$41.17	$45.00	67.3%	19.4%	107.8%	0.0%	69.1%	1.9%	0.1%	3.3M	-853.7M	-15.6M	0.45	2.04	232,288	104,224	1,451,805	1,317,180
2021-03-24	$36.70	$45.00	83.1%	24.7%	112.4%	10.9%	87.8%	7.3%	-1.3%	-5.3M	-96.5M	-14.5M	0.62	2.44	459,220	284,222	1,479,402	1,344,912
2021-03-25	$38.20	$45.00	79.5%	23.6%	110.1%	8.4%	84.1%	5.5%	-0.8%	462.6K	-380.0M	-15.9M	0.77	2.54	409,868	315,767	1,590,736	1,423,279
2021-03-26	$35.32	$45.00	91.8%	27.1%	112.4%	16.9%	95.7%	9.2%	-1.2%	-10.2M	103.2M	-15.1M	0.78	2.79	469,187	365,957	1,639,247	1,466,293
2021-03-29	$34.74	$45.00	85.6%	25.0%	109.1%	12.6%	89.0%	6.2%	3.4%	-3.1M	29.4M	-15.1M	0.58	2.89	221,383	129,518	1,521,781	1,432,320
2021-03-30	$37.61	$45.00	75.3%	21.4%	103.3%	5.5%	76.7%	4.3%	0.9%	2.6M	-438.6M	-16.2M	0.61	2.22	276,128	169,236	1,567,248	1,462,525
2021-03-31	$39.10	$45.00	74.8%	20.9%	103.8%	5.2%	74.4%	4.4%	0.7%	9.1M	-785.5M	-16.7M	0.54	2.01	380,964	205,683	1,600,744	1,496,288