NIO Options History — September 2021

In September 2021, NIO traded between $34.99 and $40.81. ATM implied volatility averaged 52.8%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 7.7% (HV 20d: 45.1%). Max pain ranged from $35.00 to $44.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2021-09-01: Highest Volume — 430,172 contracts
2021-09-20: Largest IV spike — 21.1% change
2021-09-20: Highest IV Rank — 15.0%
2021-09-20: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.34	$34.99	$40.81	$39.06	$35.65
Max Pain	$35.52	$35.00	$44.00	$44.00	$35.00
ATM IV	52.8%	49.2%	65.3%	51.0%	53.8%
Expected Move	15.2%	13.8%	19.0%	13.8%	15.4%
HV 20d	45.1%	35.6%	52.3%	48.6%	43.8%
HV 60d	55.8%	50.6%	58.4%	58.1%	50.6%
IV Rank	3.3%	0.0%	15.0%	0.0%	4.3%
IV Percentile	4.4%	0.0%	30.2%	0.0%	6.7%
Term Structure	0.1%	-2.9%	1.4%	1.1%	0.4%
VWIV	54.9%	49.2%	68.4%	49.2%	55.5%
Skew 25d	5.4%	1.5%	11.6%	2.6%	4.9%
Skew 10d	12.4%	5.1%	24.3%	7.3%	12.9%
Call IV 25d	52.4%	48.7%	62.4%	51.5%	53.6%
Put IV 25d	57.8%	51.4%	74.0%	54.0%	58.5%
Bid-Ask Spread %	2.54	1.92	4.49	3.04	2.44
Gamma HHI	0.09	0.06	0.15	0.08	0.08
Net GEX	6.1M	-4.7M	41.9M	19.6M	6.4M
Net DEX	-567.1M	-1.32B	-173.1M	-917.7M	-388.5M
Net VEX	-14.1M	-15.1M	-13.2M	-14.6M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.35	0.73	0.65	0.37
Total Volume	255,797.952	140,181	430,172	430,172	140,181
Total OI	2,819,987.762	2,621,192	2,935,982	2,806,795	2,901,944

Daily Data (21 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
2021-09-01	$39.06	$44.00	51.0%	13.8%	48.6%	0.0%	49.2%	2.6%	1.1%	19.6M	-917.7M	-14.6M	0.65	3.04	259,983	170,189	1,442,431	1,364,364
2021-09-02	$40.34	$35.00	49.6%	14.6%	50.0%	0.0%	53.1%	1.7%	0.9%	41.9M	-1.32B	-15.1M	0.45	4.02	290,146	130,429	1,474,978	1,383,755
2021-09-03	$40.23	$35.00	49.3%	14.4%	48.5%	0.0%	52.5%	2.7%	0.8%	11.1M	-1.29B	-15.1M	0.49	2.36	187,417	92,461	1,495,396	1,405,928
2021-09-07	$40.81	$35.00	49.2%	14.5%	47.8%	0.0%	53.1%	1.5%	1.4%	16.3M	-1.21B	-15.1M	0.39	2.41	213,608	84,002	1,385,210	1,350,183
2021-09-08	$38.31	$35.00	53.7%	15.2%	51.9%	4.2%	55.5%	3.2%	-0.7%	543.2K	-590.9M	-14.3M	0.45	2.34	268,145	120,988	1,414,948	1,355,823
2021-09-09	$38.65	$35.00	52.2%	15.0%	52.3%	2.8%	55.0%	4.2%	0.1%	-2.3M	-612.0M	-14.3M	0.41	2.19	173,573	70,706	1,453,549	1,371,367
2021-09-10	$38.02	$35.00	52.1%	14.9%	50.8%	2.7%	54.7%	5.5%	-0.0%	12.9M	-521.7M	-14.4M	0.63	2.19	156,142	98,866	1,527,341	1,386,658
2021-09-13	$38.22	$35.00	52.2%	14.9%	49.5%	2.8%	54.6%	5.0%	0.6%	4.8M	-599.9M	-14.1M	0.51	1.98	190,944	97,883	1,448,139	1,352,586
2021-09-14	$37.84	$35.00	52.1%	14.9%	45.2%	2.7%	54.8%	5.4%	0.3%	3.5M	-539.0M	-13.9M	0.56	2.26	131,298	73,199	1,462,221	1,360,997
2021-09-15	$38.06	$35.00	50.8%	14.6%	44.7%	1.5%	53.9%	4.6%	1.1%	8.1M	-604.2M	-14.3M	0.51	1.92	113,034	57,167	1,502,915	1,378,239
2021-09-16	$37.11	$35.00	54.6%	15.8%	44.0%	5.1%	54.6%	5.9%	-2.9%	-2.7M	-366.5M	-13.6M	0.43	2.01	153,688	66,577	1,522,246	1,389,396
2021-09-17	$37.47	$35.00	53.9%	15.7%	35.6%	4.4%	52.9%	6.8%	-1.6%	7.3M	-438.0M	-13.7M	0.59	2.14	125,240	73,428	1,539,636	1,396,346
2021-09-20	$35.10	$35.00	65.3%	19.0%	42.5%	15.0%	68.4%	11.6%	-1.4%	-1.3M	-256.0M	-13.6M	0.73	4.49	226,285	164,982	1,347,140	1,274,052
2021-09-21	$34.99	$35.00	57.4%	16.7%	40.1%	7.6%	58.8%	9.2%	-0.2%	-4.7M	-173.1M	-13.2M	0.54	2.75	140,659	76,574	1,364,443	1,286,421
2021-09-22	$35.75	$35.00	51.2%	14.6%	40.2%	1.8%	53.2%	7.4%	0.2%	-372.8K	-311.2M	-13.8M	0.46	2.31	136,768	62,736	1,429,697	1,339,889
2021-09-23	$36.07	$35.00	51.1%	14.6%	40.5%	1.8%	52.6%	6.6%	-0.2%	4.4M	-410.3M	-13.8M	0.35	2.31	122,807	42,558	1,459,815	1,372,064
2021-09-24	$35.43	$35.00	51.1%	14.6%	40.5%	1.8%	52.1%	6.7%	0.9%	-4.3M	-254.9M	-13.6M	0.60	2.55	115,331	69,111	1,493,240	1,380,384
2021-09-27	$36.72	$35.00	50.5%	14.6%	42.8%	1.2%	52.1%	7.0%	0.2%	5.9M	-576.3M	-14.2M	0.35	2.18	198,969	70,593	1,410,601	1,337,051
2021-09-28	$35.18	$36.00	54.0%	15.8%	45.2%	4.5%	55.2%	6.6%	0.2%	-27.3K	-255.1M	-13.7M	0.35	2.72	167,011	58,786	1,436,017	1,356,624
2021-09-29	$35.20	$36.00	53.9%	15.7%	43.5%	4.3%	60.9%	4.7%	0.2%	1.0M	-267.3M	-13.5M	0.52	2.71	117,728	61,565	1,490,296	1,375,413
2021-09-30	$35.65	$35.00	53.8%	15.4%	43.8%	4.3%	55.5%	4.9%	0.4%	6.4M	-388.5M	-13.9M	0.37	2.44	102,437	37,744	1,517,433	1,384,511