NIO Options History — October 2021

In October 2021, NIO traded between $33.55 and $41.29. ATM implied volatility averaged 52.7%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 6.6% (HV 20d: 46.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2021-10-07: Highest Volume — 565,231 contracts
2021-10-18: Largest IV spike — 10.6% change
2021-10-29: Highest IV Rank — 10.2%
2021-10-29: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.56	$33.55	$41.29	$35.47	$39.48
Max Pain	$39.76	$35.00	$40.00	$35.00	$40.00
ATM IV	52.7%	47.5%	58.7%	53.2%	58.7%
Expected Move	15.6%	14.2%	17.7%	14.7%	17.7%
HV 20d	46.0%	40.0%	49.7%	41.6%	49.7%
HV 60d	49.7%	46.1%	52.4%	50.5%	47.3%
IV Rank	4.0%	0.0%	10.2%	3.7%	10.2%
IV Percentile	7.7%	0.0%	25.0%	6.0%	25.0%
Term Structure	1.1%	-0.9%	3.7%	3.2%	-0.9%
VWIV	56.6%	51.4%	64.5%	52.2%	64.5%
Skew 25d	1.4%	-3.4%	5.9%	4.8%	-1.5%
Skew 10d	4.2%	-5.7%	14.0%	11.9%	-2.7%
Call IV 25d	54.1%	48.2%	62.0%	52.3%	62.0%
Put IV 25d	55.5%	49.8%	62.3%	57.2%	60.5%
Bid-Ask Spread %	3.25	2.38	9.90	2.38	3.22
Gamma HHI	0.11	0.07	0.31	0.09	0.07
Net GEX	18.8M	-5.9M	42.5M	3.0M	14.6M
Net DEX	-904.7M	-1.85B	78.0M	-332.5M	-1.29B
Net VEX	-14.7M	-16.3M	-12.7M	-13.8M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.20	0.54	0.39	0.35
Total Volume	294,446.476	156,135	565,231	277,650	307,851
Total OI	2,952,348.571	2,772,796	3,105,937	2,928,182	3,070,829

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
2021-10-01	$35.47	$35.00	53.2%	14.7%	41.6%	3.7%	52.2%	4.8%	3.2%	3.0M	-332.5M	-13.8M	0.39	2.38	199,204	78,446	1,536,726	1,391,456
2021-10-04	$33.55	$40.00	57.0%	16.7%	45.1%	7.2%	60.8%	5.7%	-0.3%	-5.2M	78.0M	-12.7M	0.36	3.29	192,890	69,506	1,460,301	1,355,331
2021-10-05	$33.88	$40.00	53.4%	15.6%	44.8%	3.9%	56.8%	5.4%	-0.2%	-5.9M	46.7M	-13.0M	0.28	2.79	156,490	43,134	1,495,428	1,367,762
2021-10-06	$33.61	$40.00	53.5%	16.0%	40.0%	4.0%	59.6%	5.9%	0.6%	-3.7M	48.0M	-13.1M	0.46	9.90	110,102	50,492	1,545,589	1,388,318
2021-10-07	$35.84	$40.00	52.6%	16.3%	47.1%	3.1%	57.4%	3.7%	0.5%	17.0M	-539.7M	-14.3M	0.31	4.98	431,481	133,750	1,557,193	1,389,963
2021-10-08	$35.92	$40.00	51.5%	15.8%	46.9%	2.2%	57.8%	3.2%	1.3%	42.5M	-597.0M	-13.9M	0.51	3.08	178,791	91,268	1,583,764	1,405,936
2021-10-11	$35.77	$40.00	51.0%	15.7%	46.8%	1.7%	56.5%	3.3%	3.7%	3.1M	-455.1M	-13.8M	0.44	3.13	134,598	59,125	1,528,611	1,399,006
2021-10-12	$35.41	$40.00	50.5%	15.3%	46.8%	1.2%	56.1%	3.3%	2.8%	-278.2K	-342.1M	-13.8M	0.54	2.96	101,172	54,963	1,556,158	1,415,919
2021-10-13	$36.16	$40.00	50.4%	15.3%	47.5%	1.1%	54.5%	1.9%	3.2%	8.3M	-520.7M	-14.0M	0.36	2.49	170,527	61,190	1,587,918	1,427,621
2021-10-14	$36.28	$40.00	50.9%	15.2%	46.7%	1.6%	57.1%	2.7%	2.0%	11.1M	-576.2M	-13.8M	0.45	3.13	154,387	69,444	1,600,106	1,443,040
2021-10-15	$37.75	$40.00	47.5%	14.2%	48.8%	0.0%	51.4%	1.6%	3.7%	41.6M	-1.06B	-14.9M	0.23	2.48	358,881	82,744	1,656,107	1,449,830
2021-10-18	$39.52	$40.00	52.6%	15.2%	44.8%	4.6%	54.7%	1.4%	0.1%	23.7M	-1.38B	-15.2M	0.21	2.89	388,809	83,153	1,444,598	1,328,198
2021-10-19	$39.91	$40.00	51.9%	14.9%	44.6%	4.0%	54.3%	-0.1%	0.5%	31.7M	-1.57B	-15.8M	0.24	2.71	306,299	72,502	1,480,639	1,347,163
2021-10-20	$39.70	$40.00	50.5%	14.5%	44.5%	2.7%	52.4%	0.7%	-0.2%	33.2M	-1.44B	-15.8M	0.28	2.47	145,733	40,406	1,570,224	1,390,868
2021-10-21	$39.85	$40.00	50.5%	14.5%	44.5%	2.7%	52.0%	-0.3%	0.4%	39.7M	-1.51B	-15.8M	0.37	2.51	161,438	58,999	1,586,022	1,398,724
2021-10-22	$38.74	$40.00	51.8%	14.9%	45.3%	3.9%	54.4%	-1.2%	0.4%	18.4M	-1.13B	-15.1M	0.28	2.76	208,508	58,552	1,600,645	1,408,041
2021-10-25	$41.29	$40.00	55.8%	16.4%	48.8%	7.6%	58.8%	-1.7%	0.3%	30.8M	-1.85B	-16.3M	0.20	2.78	353,691	69,490	1,513,923	1,361,724
2021-10-26	$40.66	$40.00	53.5%	15.8%	46.1%	5.5%	57.1%	-2.4%	0.9%	34.9M	-1.66B	-15.8M	0.24	3.01	317,722	75,618	1,580,431	1,376,428
2021-10-27	$39.49	$40.00	53.0%	15.7%	47.8%	5.1%	58.1%	-2.7%	0.5%	19.2M	-1.25B	-15.2M	0.30	2.58	169,027	51,227	1,596,904	1,390,268
2021-10-28	$40.56	$40.00	56.3%	16.8%	48.4%	8.1%	62.6%	-3.4%	1.3%	36.5M	-1.65B	-16.0M	0.21	2.75	273,491	58,275	1,619,934	1,391,674
2021-10-29	$39.48	$40.00	58.7%	17.7%	49.7%	10.2%	64.5%	-1.5%	-0.9%	14.6M	-1.29B	-15.6M	0.35	3.22	228,465	79,386	1,659,374	1,411,455