NIO Options History — June 2021

In June 2021, NIO traded between $41.06 and $53.27. ATM implied volatility averaged 59.7%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 1.8% (HV 20d: 57.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.39.

Notable Days

2021-06-11: Highest Volume — 1,059,201 contracts
2021-06-23: Largest IV drop — 7.9% change
2021-06-30: Highest IV Rank — 6.7%
2021-06-30: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.25	$41.06	$53.27	$42.25	$53.27
Max Pain	$42.95	$40.00	$45.00	$40.00	$45.00
ATM IV	59.7%	55.2%	64.4%	60.7%	64.4%
Expected Move	17.1%	15.7%	18.4%	17.7%	18.4%
HV 20d	57.9%	51.3%	69.0%	69.0%	54.9%
HV 60d	64.2%	56.6%	76.7%	76.7%	60.4%
IV Rank	3.8%	1.0%	6.7%	4.5%	6.7%
IV Percentile	5.9%	1.6%	15.5%	4.4%	15.5%
Term Structure	0.9%	-1.4%	4.4%	-1.4%	1.9%
VWIV	61.6%	56.9%	65.8%	63.3%	65.8%
Skew 25d	-3.4%	-8.9%	-1.4%	-4.2%	-8.9%
Skew 10d	-5.4%	-14.4%	-1.9%	-4.6%	-14.4%
Call IV 25d	63.6%	57.5%	71.7%	65.6%	71.7%
Put IV 25d	60.2%	56.1%	63.0%	61.4%	62.8%
Bid-Ask Spread %	2.41	1.84	3.67	2.94	2.10
Gamma HHI	0.09	0.06	0.21	0.07	0.10
Net GEX	32.8M	-7.7M	56.3M	24.2M	55.5M
Net DEX	-2.76B	-4.47B	-1.89B	-2.34B	-4.47B
Net VEX	-18.3M	-19.7M	-17.7M	-17.7M	-19.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.27	0.47	0.41	0.34
Total Volume	446,077	228,748	1,059,201	735,427	921,880
Total OI	3,017,300.5	2,748,174	3,253,910	2,910,997	2,924,269

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
2021-06-01	$42.25	$40.00	60.7%	17.7%	69.0%	4.5%	63.3%	-4.2%	-1.4%	24.2M	-2.34B	-17.7M	0.41	2.94	521,769	213,658	1,488,382	1,422,615
2021-06-02	$41.25	$40.00	62.0%	17.8%	67.0%	5.2%	64.4%	-3.5%	-1.3%	22.9M	-1.96B	-18.0M	0.46	3.01	282,176	129,012	1,562,282	1,487,081
2021-06-03	$41.06	$40.00	62.0%	17.7%	67.1%	5.2%	63.5%	-2.7%	-0.5%	24.7M	-1.89B	-18.0M	0.45	2.32	263,199	117,858	1,592,265	1,512,193
2021-06-04	$41.90	$40.00	59.0%	17.0%	65.5%	3.4%	61.2%	-2.9%	-0.6%	48.8M	-2.21B	-17.8M	0.45	2.55	203,860	90,912	1,616,843	1,521,617
2021-06-07	$43.64	$40.00	61.7%	17.9%	66.5%	5.1%	65.8%	-4.4%	0.8%	26.0M	-2.58B	-18.3M	0.27	1.90	337,221	90,866	1,510,292	1,441,362
2021-06-08	$43.60	$40.00	61.9%	17.7%	59.8%	5.2%	64.2%	-3.7%	0.1%	32.9M	-2.63B	-18.5M	0.39	1.89	207,161	81,526	1,587,034	1,463,122
2021-06-09	$42.82	$40.00	59.7%	17.3%	60.8%	3.8%	61.5%	-2.0%	0.4%	27.7M	-2.37B	-18.0M	0.42	2.41	160,531	68,217	1,608,753	1,481,434
2021-06-10	$42.73	$40.00	55.2%	16.2%	58.2%	1.0%	57.6%	-1.4%	1.3%	26.6M	-2.33B	-17.8M	0.41	2.72	166,619	68,752	1,629,285	1,484,920
2021-06-11	$45.60	$40.00	58.8%	17.0%	53.1%	3.2%	60.9%	-4.0%	0.3%	31.7M	-3.41B	-18.2M	0.35	2.19	784,466	274,735	1,644,717	1,496,515
2021-06-14	$46.48	$45.00	59.0%	16.9%	51.3%	3.4%	61.4%	-3.5%	0.8%	41.8M	-3.43B	-18.4M	0.33	2.01	414,323	135,891	1,607,459	1,468,303
2021-06-15	$45.25	$45.00	59.5%	17.1%	53.5%	3.7%	61.9%	-3.3%	-0.3%	33.6M	-2.99B	-18.0M	0.38	3.67	227,375	87,461	1,646,732	1,503,873
2021-06-16	$45.08	$45.00	58.8%	16.8%	53.8%	3.2%	60.6%	-3.3%	1.1%	35.8M	-2.90B	-18.1M	0.44	3.56	192,835	84,725	1,678,502	1,511,382
2021-06-17	$47.40	$45.00	58.4%	16.7%	52.3%	3.0%	60.8%	-2.4%	0.9%	56.3M	-3.72B	-18.5M	0.37	2.17	395,388	146,519	1,693,455	1,516,828
2021-06-18	$46.89	$45.00	59.5%	17.0%	52.9%	3.7%	61.6%	-2.6%	0.6%	48.1M	-3.52B	-18.6M	0.42	1.92	295,181	124,337	1,717,802	1,536,108
2021-06-21	$46.36	$45.00	58.9%	16.7%	53.0%	3.3%	60.7%	-3.5%	1.0%	28.2M	-2.50B	-18.4M	0.39	2.27	200,195	78,806	1,406,652	1,341,522
2021-06-22	$44.20	$45.00	61.4%	17.6%	55.1%	4.9%	63.7%	-1.9%	0.6%	19.1M	-1.93B	-18.2M	0.47	2.54	259,570	121,692	1,458,089	1,363,103
2021-06-23	$45.61	$45.00	56.5%	16.2%	55.5%	1.8%	57.7%	-2.6%	1.3%	32.9M	-2.33B	-18.6M	0.40	2.49	208,351	82,598	1,505,583	1,397,706
2021-06-24	$45.50	$45.00	57.7%	16.1%	54.4%	2.5%	57.8%	-2.5%	1.3%	29.7M	-2.30B	-18.4M	0.35	1.87	226,299	79,926	1,524,820	1,410,868
2021-06-25	$45.02	$45.00	56.4%	15.7%	54.5%	1.7%	56.9%	-2.5%	2.0%	-7.7M	-2.11B	-18.2M	0.39	1.84	201,352	79,077	1,553,287	1,432,162
2021-06-28	$49.33	$45.00	59.9%	16.9%	61.8%	3.9%	60.4%	-4.0%	4.3%	38.1M	-3.28B	-18.8M	0.38	2.37	500,285	188,963	1,423,236	1,340,773
2021-06-29	$50.26	$45.00	62.8%	17.7%	53.6%	5.8%	63.1%	-5.9%	4.4%	45.5M	-3.51B	-19.0M	0.35	2.36	370,055	128,072	1,483,080	1,384,305
2021-06-30	$53.27	$45.00	64.4%	18.4%	54.9%	6.7%	65.8%	-8.9%	1.9%	55.5M	-4.47B	-19.7M	0.34	2.10	686,637	235,243	1,518,548	1,405,721