NIO Options History — May 2021

In May 2021, NIO traded between $31.52 and $39.53. ATM implied volatility averaged 60.9%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 2.1% (HV 20d: 58.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2021-05-13: Highest Volume — 582,307 contracts
2021-05-14: Largest IV drop — 13.9% change
2021-05-13: Highest IV Rank — 11.8%
2021-05-13: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.67	$31.52	$39.53	$39.53	$38.41
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	60.9%	53.7%	73.9%	58.3%	55.1%
Expected Move	17.4%	15.1%	21.2%	16.9%	15.1%
HV 20d	58.8%	52.3%	62.8%	56.9%	59.9%
HV 60d	81.1%	74.5%	83.8%	82.0%	74.5%
IV Rank	3.7%	0.0%	11.8%	1.9%	0.9%
IV Percentile	2.3%	0.0%	11.5%	0.4%	1.2%
Term Structure	0.0%	-3.2%	2.4%	0.4%	2.4%
VWIV	62.4%	55.4%	73.8%	61.7%	55.5%
Skew 25d	2.2%	-2.1%	7.6%	-1.4%	-2.1%
Skew 10d	6.8%	-5.1%	19.5%	-1.6%	-5.1%
Call IV 25d	61.7%	56.1%	73.2%	60.9%	56.2%
Put IV 25d	64.0%	54.1%	80.8%	59.5%	54.1%
Bid-Ask Spread %	3.21	2.23	4.72	2.72	4.45
Gamma HHI	0.07	0.05	0.14	0.06	0.14
Net GEX	8.3M	-11.8M	39.5M	16.0M	39.5M
Net DEX	-341.9M	-1.47B	665.9M	-1.16B	-1.40B
Net VEX	-15.6M	-17.1M	-13.9M	-16.9M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.32	0.89	0.35	0.38
Total Volume	372,394.5	231,421	582,307	410,333	459,729
Total OI	3,159,608.25	2,784,605	3,411,749	2,987,255	3,053,439

Daily Data (20 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
2021-05-03	$39.53	$40.00	58.3%	16.9%	56.9%	1.9%	61.7%	-1.4%	0.4%	16.0M	-1.16B	-16.9M	0.35	2.72	303,025	107,308	1,547,974	1,439,281
2021-05-04	$37.66	$40.00	63.2%	18.8%	59.0%	5.0%	66.9%	1.2%	-0.4%	7.5M	-620.4M	-16.5M	0.41	2.92	265,255	109,477	1,619,164	1,469,594
2021-05-05	$37.78	$40.00	60.4%	17.4%	52.7%	3.3%	62.5%	0.7%	0.2%	11.3M	-687.2M	-16.3M	0.44	3.31	195,346	85,830	1,666,081	1,483,417
2021-05-06	$36.39	$40.00	64.6%	18.0%	52.3%	5.9%	64.2%	1.8%	0.0%	1.1M	-309.6M	-15.8M	0.45	4.28	275,783	124,750	1,684,683	1,497,168
2021-05-07	$37.03	$40.00	56.9%	16.7%	52.4%	1.0%	59.4%	1.0%	0.0%	7.6M	-447.4M	-16.0M	0.40	2.90	251,573	99,398	1,726,244	1,516,238
2021-05-10	$34.52	$40.00	63.5%	17.9%	57.4%	5.2%	64.3%	3.5%	-0.3%	-2.0M	34.6M	-14.7M	0.59	3.48	252,332	149,884	1,605,530	1,467,871
2021-05-11	$35.03	$40.00	65.6%	18.6%	56.2%	6.6%	66.3%	5.4%	-0.5%	3.0M	-61.6M	-15.4M	0.82	3.62	274,018	224,595	1,678,953	1,526,584
2021-05-12	$33.70	$40.00	71.1%	19.5%	56.2%	10.0%	70.1%	5.3%	-3.2%	-4.0M	214.0M	-15.0M	0.89	3.55	181,730	161,044	1,697,136	1,557,058
2021-05-13	$31.52	$40.00	73.9%	21.2%	59.0%	11.8%	73.8%	7.6%	-0.1%	-11.8M	665.9M	-13.9M	0.62	4.72	360,438	221,869	1,724,957	1,580,940
2021-05-14	$33.32	$40.00	63.6%	18.1%	62.5%	5.3%	65.5%	6.4%	-1.1%	-5.0M	270.0M	-14.7M	0.55	3.50	285,051	156,040	1,787,822	1,604,416
2021-05-17	$33.60	$40.00	63.1%	18.0%	62.0%	5.0%	64.2%	3.4%	-0.1%	-4.3M	224.6M	-14.8M	0.59	3.10	177,951	104,817	1,664,738	1,549,967
2021-05-18	$34.44	$40.00	61.7%	17.7%	62.8%	4.1%	64.0%	3.0%	0.2%	2.4M	-14.0M	-14.8M	0.40	3.03	233,651	94,105	1,711,660	1,567,134
2021-05-19	$33.31	$40.00	63.8%	18.3%	60.7%	5.4%	65.8%	3.5%	-0.3%	334.4K	267.0M	-14.7M	0.50	3.65	196,026	98,742	1,764,407	1,591,509
2021-05-20	$34.44	$40.00	57.8%	16.5%	61.6%	1.6%	60.3%	4.2%	0.7%	10.1M	-43.1M	-14.9M	0.45	2.23	159,759	71,662	1,785,726	1,587,263
2021-05-21	$34.10	$40.00	55.9%	16.1%	59.7%	0.4%	57.8%	3.2%	-0.2%	9.5M	97.4M	-14.7M	0.53	2.46	158,681	84,274	1,806,383	1,605,366
2021-05-24	$36.09	$40.00	55.0%	15.8%	61.1%	0.0%	56.8%	0.6%	0.5%	8.4M	-608.2M	-15.8M	0.41	2.81	285,166	117,551	1,412,788	1,371,817
2021-05-25	$36.16	$40.00	55.6%	15.9%	60.2%	0.4%	56.9%	0.5%	0.5%	13.5M	-640.2M	-16.1M	0.32	2.60	288,852	91,533	1,481,259	1,404,704
2021-05-26	$37.77	$40.00	54.3%	15.6%	62.7%	0.0%	56.4%	-1.7%	0.4%	26.7M	-1.15B	-16.8M	0.39	2.46	298,848	116,932	1,522,437	1,414,007
2021-05-27	$38.67	$40.00	53.7%	15.4%	60.4%	0.0%	55.4%	-1.3%	1.9%	36.8M	-1.47B	-17.1M	0.48	2.39	220,054	104,811	1,571,606	1,444,844
2021-05-28	$38.41	$40.00	55.1%	15.1%	59.9%	0.9%	55.5%	-2.1%	2.4%	39.5M	-1.40B	-17.0M	0.38	4.45	334,138	125,591	1,595,464	1,457,975