NIO Options History — November 2021

In November 2021, NIO traded between $38.10 and $43.11. ATM implied volatility averaged 64.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 14.5% (HV 20d: 49.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2021-11-22: Highest Volume — 580,780 contracts
2021-11-10: Largest IV drop — 17.8% change
2021-11-26: Highest IV Rank — 39.7%
2021-11-26: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.89	$38.10	$43.11	$40.53	$39.37
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	64.0%	56.1%	76.5%	56.5%	72.7%
Expected Move	18.5%	16.3%	22.2%	17.4%	21.7%
HV 20d	49.5%	40.8%	55.3%	44.6%	53.7%
HV 60d	46.9%	44.7%	48.9%	47.0%	48.7%
IV Rank	18.7%	7.8%	39.7%	8.3%	34.8%
IV Percentile	40.9%	19.4%	67.5%	21.4%	65.5%
Term Structure	-0.6%	-2.6%	1.8%	-0.6%	-0.2%
VWIV	68.8%	60.8%	83.7%	64.5%	80.9%
Skew 25d	-6.9%	-11.5%	-1.3%	-1.3%	-9.3%
Skew 10d	-12.2%	-22.5%	-0.1%	-0.1%	-16.7%
Call IV 25d	71.4%	59.9%	88.1%	59.9%	82.3%
Put IV 25d	64.5%	56.5%	78.5%	58.6%	72.9%
Bid-Ask Spread %	2.78	2.04	4.07	2.86	3.05
Gamma HHI	0.07	0.06	0.08	0.07	0.08
Net GEX	26.1M	5.6M	55.3M	22.7M	19.5M
Net DEX	-1.70B	-2.40B	-865.5M	-1.55B	-1.37B
Net VEX	-16.3M	-17.0M	-15.3M	-15.8M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.21	0.52	0.37	0.23
Total Volume	333,815.619	212,130	580,780	344,538	262,107
Total OI	3,061,435.143	2,888,323	3,251,090	2,928,662	3,020,995

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
2021-11-01	$40.53	$40.00	56.5%	17.4%	44.6%	8.3%	64.5%	-1.3%	-0.6%	22.7M	-1.55B	-15.8M	0.37	2.86	251,900	92,638	1,541,235	1,387,427
2021-11-02	$41.30	$40.00	58.2%	17.8%	44.7%	9.8%	64.5%	-4.0%	-0.3%	32.4M	-1.79B	-16.4M	0.26	3.26	281,108	72,222	1,586,862	1,408,734
2021-11-03	$41.50	$40.00	59.7%	18.0%	44.2%	11.2%	65.7%	-4.2%	-1.3%	35.5M	-1.83B	-16.5M	0.31	2.60	163,882	51,431	1,615,102	1,422,837
2021-11-04	$43.06	$40.00	61.8%	17.8%	40.8%	13.1%	64.2%	-5.3%	-1.2%	55.3M	-2.40B	-16.9M	0.27	3.23	409,811	110,350	1,639,644	1,429,046
2021-11-05	$42.46	$40.00	63.3%	17.8%	41.5%	14.5%	66.4%	-6.7%	-0.5%	41.2M	-2.18B	-17.0M	0.36	2.91	241,451	87,413	1,658,033	1,442,862
2021-11-08	$43.11	$40.00	65.0%	18.7%	41.3%	16.1%	69.2%	-7.8%	0.3%	31.9M	-2.31B	-17.0M	0.35	2.04	245,580	85,655	1,578,408	1,397,976
2021-11-09	$40.93	$40.00	72.4%	20.0%	46.3%	22.8%	74.6%	-9.0%	-2.6%	22.6M	-1.72B	-16.5M	0.52	4.07	234,542	122,255	1,627,454	1,414,252
2021-11-10	$39.61	$40.00	59.5%	17.0%	48.1%	11.0%	64.9%	-4.6%	-0.5%	12.7M	-1.25B	-15.7M	0.41	3.39	310,848	126,108	1,659,042	1,443,715
2021-11-11	$41.87	$40.00	56.1%	16.3%	51.4%	7.8%	62.3%	-5.3%	0.6%	34.4M	-1.95B	-16.3M	0.37	2.61	209,835	77,836	1,684,155	1,453,642
2021-11-12	$42.61	$40.00	59.3%	17.4%	50.1%	10.8%	61.7%	-6.1%	1.8%	31.0M	-2.23B	-16.4M	0.36	2.43	299,386	107,337	1,704,982	1,462,064
2021-11-15	$40.70	$40.00	60.0%	17.2%	51.0%	11.5%	65.6%	-7.4%	0.6%	20.4M	-1.56B	-15.9M	0.36	2.82	240,346	86,035	1,590,958	1,408,777
2021-11-16	$40.32	$40.00	59.3%	17.0%	51.0%	12.5%	60.8%	-7.0%	-0.2%	22.4M	-1.47B	-15.9M	0.39	2.25	205,722	79,402	1,657,396	1,428,967
2021-11-17	$39.60	$40.00	60.0%	17.2%	51.4%	13.3%	64.8%	-7.4%	0.6%	18.3M	-1.27B	-15.8M	0.32	2.30	170,850	54,088	1,710,533	1,450,161
2021-11-18	$38.10	$40.00	62.9%	18.0%	53.2%	20.1%	67.1%	-6.1%	-0.0%	5.6M	-865.5M	-15.3M	0.35	2.57	232,859	80,750	1,738,204	1,462,988
2021-11-19	$38.59	$40.00	61.1%	17.6%	52.5%	17.8%	64.8%	-5.5%	-0.2%	9.9M	-1.02B	-15.5M	0.41	2.47	177,745	72,625	1,777,956	1,473,134
2021-11-22	$41.79	$40.00	64.9%	18.5%	55.3%	22.7%	68.9%	-8.7%	-2.0%	28.1M	-1.92B	-16.7M	0.25	2.73	466,105	114,675	1,552,705	1,335,618
2021-11-23	$41.72	$40.00	72.6%	20.7%	55.0%	32.8%	76.4%	-11.5%	-1.6%	33.0M	-1.96B	-16.9M	0.24	2.86	393,971	94,877	1,633,005	1,356,003
2021-11-24	$41.45	$40.00	70.9%	20.0%	53.9%	30.5%	76.8%	-9.8%	-2.0%	36.7M	-1.94B	-16.8M	0.27	2.54	211,135	57,605	1,701,482	1,371,122
2021-11-26	$39.92	$40.00	76.5%	22.2%	54.9%	39.7%	83.7%	-9.6%	-2.6%	12.9M	-1.52B	-16.5M	0.32	3.09	163,393	52,120	1,730,176	1,378,880
2021-11-29	$40.22	$40.00	70.6%	20.5%	54.0%	31.9%	77.8%	-9.3%	-0.4%	21.2M	-1.54B	-16.1M	0.21	2.22	175,636	36,494	1,613,578	1,340,028
2021-11-30	$39.37	$40.00	72.7%	21.7%	53.7%	34.8%	80.9%	-9.3%	-0.2%	19.5M	-1.37B	-15.9M	0.23	3.05	212,308	49,799	1,663,624	1,357,371