NIO Options History — August 2021

In August 2021, NIO traded between $36.34 and $45.86. ATM implied volatility averaged 61.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 1.8% (HV 20d: 59.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.42.

Notable Days

2021-08-02: Highest Volume — 502,438 contracts
2021-08-19: Largest IV spike — 11.1% change
2021-08-19: Highest IV Rank — 14.5%
2021-08-02: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.89	$36.34	$45.86	$45.86	$38.94
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	61.2%	52.4%	68.6%	68.1%	52.4%
Expected Move	17.4%	14.0%	20.3%	20.3%	14.0%
HV 20d	59.4%	47.6%	66.5%	65.8%	49.0%
HV 60d	60.5%	58.0%	63.4%	63.1%	58.0%
IV Rank	7.5%	0.0%	14.5%	14.0%	0.0%
IV Percentile	12.7%	0.0%	31.3%	24.6%	0.0%
Term Structure	-0.3%	-2.2%	1.9%	-1.8%	0.6%
VWIV	62.2%	50.0%	72.5%	72.5%	50.0%
Skew 25d	3.0%	0.8%	7.7%	1.3%	2.3%
Skew 10d	7.8%	3.3%	16.0%	4.9%	7.8%
Call IV 25d	61.6%	52.3%	69.7%	69.7%	53.5%
Put IV 25d	64.6%	55.3%	73.9%	71.0%	55.8%
Bid-Ask Spread %	2.34	1.83	3.28	2.51	2.58
Gamma HHI	0.08	0.05	0.19	0.06	0.07
Net GEX	7.4M	-15.7M	39.2M	23.0M	10.5M
Net DEX	-1.04B	-2.21B	104.8M	-2.21B	-831.1M
Net VEX	-15.6M	-17.9M	-13.7M	-17.9M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.27	0.62	0.27	0.34
Total Volume	300,738.455	154,937	502,438	502,438	272,322
Total OI	2,913,287.273	2,584,558	3,153,306	2,904,073	2,723,393

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
2021-08-02	$45.86	$45.00	68.1%	20.3%	65.8%	14.0%	72.5%	1.3%	-1.8%	23.0M	-2.21B	-17.9M	0.27	2.51	395,707	106,731	1,470,567	1,433,506
2021-08-03	$44.44	$45.00	67.8%	20.1%	66.5%	13.7%	71.5%	2.5%	-1.7%	20.1M	-1.82B	-17.4M	0.38	2.00	174,111	65,631	1,500,138	1,454,091
2021-08-04	$45.00	$45.00	66.9%	19.6%	60.1%	12.9%	69.8%	2.2%	-2.2%	26.6M	-1.95B	-17.4M	0.28	2.19	140,678	39,167	1,568,173	1,466,998
2021-08-05	$45.70	$45.00	64.6%	18.1%	60.1%	10.6%	64.2%	1.6%	-1.9%	39.2M	-2.19B	-17.7M	0.32	2.47	195,823	63,316	1,588,656	1,474,339
2021-08-06	$44.00	$45.00	65.8%	18.3%	61.6%	11.8%	65.9%	2.1%	-2.0%	5.6M	-1.64B	-16.9M	0.44	2.55	222,598	98,275	1,602,230	1,479,036
2021-08-09	$45.15	$45.00	63.0%	17.8%	62.2%	9.1%	64.3%	0.8%	-0.9%	19.0M	-1.91B	-17.0M	0.34	2.52	167,658	57,637	1,471,559	1,413,193
2021-08-10	$44.43	$45.00	63.1%	17.8%	61.9%	9.2%	64.0%	1.3%	-0.4%	18.7M	-1.77B	-16.5M	0.32	2.26	157,023	49,658	1,504,755	1,430,295
2021-08-11	$44.24	$45.00	65.9%	18.4%	59.0%	11.9%	65.6%	1.1%	-1.8%	19.8M	-1.72B	-16.5M	0.47	3.28	196,266	92,603	1,543,485	1,440,796
2021-08-12	$42.43	$45.00	59.1%	17.0%	60.4%	5.3%	60.1%	2.4%	0.3%	5.7M	-1.12B	-15.6M	0.37	2.44	322,840	119,577	1,572,612	1,454,474
2021-08-13	$40.88	$45.00	57.3%	16.6%	61.1%	3.5%	59.4%	1.6%	0.7%	-6.2M	-686.8M	-15.0M	0.49	1.88	224,769	109,105	1,613,010	1,473,072
2021-08-16	$38.59	$45.00	62.7%	17.9%	63.9%	8.8%	65.5%	3.3%	-0.0%	-4.8M	-319.9M	-14.1M	0.55	2.64	253,189	139,281	1,490,101	1,424,831
2021-08-17	$37.84	$45.00	62.6%	17.9%	62.9%	8.7%	64.4%	5.5%	-0.2%	-6.7M	-156.9M	-13.8M	0.53	2.31	214,622	112,812	1,528,284	1,442,143
2021-08-18	$39.06	$45.00	61.8%	17.7%	60.1%	7.9%	63.2%	3.4%	0.9%	596.3K	-437.3M	-14.9M	0.49	2.30	293,874	143,954	1,581,735	1,475,878
2021-08-19	$36.34	$45.00	68.6%	19.8%	64.1%	14.5%	68.5%	7.7%	-2.2%	-8.6M	104.8M	-13.7M	0.56	2.55	226,020	126,991	1,617,765	1,487,326
2021-08-20	$36.81	$45.00	64.8%	18.7%	63.1%	10.8%	64.8%	6.8%	-1.8%	-15.7M	26.9M	-14.4M	0.62	1.83	212,498	132,149	1,650,366	1,502,940
2021-08-23	$38.12	$45.00	58.0%	16.7%	64.8%	4.2%	59.2%	3.7%	1.1%	2.5M	-691.0M	-14.8M	0.37	2.10	210,020	76,877	1,302,588	1,281,970
2021-08-24	$38.91	$45.00	56.2%	16.0%	57.4%	2.4%	57.4%	3.5%	1.6%	6.8M	-845.0M	-14.8M	0.41	1.94	186,208	76,923	1,334,406	1,307,734
2021-08-25	$38.85	$45.00	54.7%	15.6%	53.3%	1.0%	56.3%	3.3%	1.8%	13.2M	-862.6M	-14.8M	0.44	2.38	107,567	47,370	1,395,075	1,328,430
2021-08-26	$38.17	$45.00	56.3%	15.7%	52.6%	2.6%	55.9%	3.9%	1.0%	3.2M	-669.2M	-14.8M	0.45	2.36	186,681	84,655	1,430,883	1,351,396
2021-08-27	$38.00	$45.00	53.0%	14.5%	49.6%	0.0%	52.4%	2.9%	1.9%	-10.9M	-586.1M	-14.7M	0.42	1.99	165,820	69,771	1,455,300	1,359,503
2021-08-30	$37.77	$45.00	54.0%	14.9%	47.6%	1.0%	54.3%	3.3%	0.1%	920.5K	-574.8M	-14.6M	0.42	2.43	194,929	82,540	1,348,123	1,317,165
2021-08-31	$38.94	$45.00	52.4%	14.0%	49.0%	0.0%	50.0%	2.3%	0.6%	10.5M	-831.1M	-14.8M	0.34	2.58	202,936	69,386	1,385,449	1,337,944