NIO Options History — December 2021

In December 2021, NIO traded between $28.16 and $38.71. ATM implied volatility averaged 72.1%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 3.4% (HV 20d: 68.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.43.

Notable Days

2021-12-30: Highest Volume — 969,028 contracts
2021-12-03: Largest IV spike — 28.9% change
2021-12-03: Highest IV Rank — 72.8%
2021-12-03: Largest Expected Move — 30.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.94	$28.16	$38.71	$38.71	$31.89
Max Pain	$31.36	$30.00	$40.00	$40.00	$30.00
ATM IV	72.1%	60.5%	100.1%	71.2%	62.9%
Expected Move	20.5%	17.0%	30.9%	21.0%	17.9%
HV 20d	68.7%	53.4%	86.9%	53.4%	84.0%
HV 60d	56.6%	48.7%	64.5%	48.7%	64.5%
IV Rank	35.9%	19.4%	72.8%	32.8%	23.0%
IV Percentile	59.4%	33.3%	83.7%	62.3%	40.1%
Term Structure	-1.0%	-8.1%	0.9%	-0.1%	0.5%
VWIV	76.7%	63.9%	110.0%	78.4%	66.1%
Skew 25d	1.6%	-7.2%	11.6%	-7.2%	1.2%
Skew 10d	3.6%	-14.8%	16.4%	-14.8%	3.9%
Call IV 25d	75.8%	62.0%	100.4%	78.8%	65.9%
Put IV 25d	77.3%	65.6%	112.0%	71.6%	67.1%
Bid-Ask Spread %	3.43	2.06	12.87	3.71	2.24
Gamma HHI	0.09	0.06	0.34	0.07	0.11
Net GEX	3.0M	-15.1M	17.0M	17.0M	-2.9M
Net DEX	-85.5M	-1.19B	378.2M	-1.19B	-321.5M
Net VEX	-12.6M	-15.5M	-10.5M	-15.5M	-12.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.26	0.74	0.29	0.50
Total Volume	362,733.773	151,861	969,028	310,463	476,484
Total OI	3,130,428.455	2,923,447	3,400,925	3,071,009	3,131,808

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
2021-12-01	$38.71	$40.00	71.2%	21.0%	53.4%	32.8%	78.4%	-7.2%	-0.1%	17.0M	-1.19B	-15.5M	0.29	3.71	240,670	69,793	1,703,923	1,367,086
2021-12-02	$36.14	$40.00	77.7%	24.1%	58.1%	41.8%	88.3%	5.9%	-1.6%	4.0M	-565.0M	-14.6M	0.50	5.87	406,934	205,354	1,739,331	1,380,944
2021-12-03	$32.09	$40.00	100.1%	30.9%	68.0%	72.8%	110.0%	11.6%	-8.1%	-2.3M	89.1M	-13.2M	0.74	3.76	374,163	277,193	1,785,382	1,411,733
2021-12-06	$32.09	$30.00	84.7%	23.1%	68.2%	51.4%	86.6%	5.6%	-0.8%	-67.8K	40.9M	-12.9M	0.55	2.95	264,766	145,721	1,689,681	1,384,697
2021-12-07	$33.17	$30.00	74.6%	20.8%	69.5%	39.1%	78.6%	1.9%	-0.8%	3.9M	-124.0M	-13.3M	0.40	2.30	222,762	88,497	1,741,831	1,400,589
2021-12-08	$34.97	$30.00	75.2%	20.5%	71.7%	39.9%	76.0%	-1.8%	-1.3%	12.3M	-544.2M	-14.2M	0.35	3.39	243,213	84,547	1,778,581	1,414,941
2021-12-09	$34.14	$30.00	73.4%	20.2%	71.3%	37.3%	77.0%	-1.4%	-1.1%	8.5M	-312.8M	-13.7M	0.50	2.48	169,167	85,382	1,813,305	1,433,517
2021-12-10	$34.18	$30.00	69.8%	19.6%	67.5%	33.4%	73.9%	-0.5%	-0.2%	8.7M	-247.6M	-13.6M	0.44	3.48	164,701	71,780	1,836,640	1,449,352
2021-12-13	$33.76	$30.00	70.4%	19.6%	66.7%	34.3%	75.0%	-2.0%	-2.4%	3.9M	-175.2M	-13.1M	0.49	3.07	167,012	82,424	1,748,457	1,408,100
2021-12-14	$32.18	$30.00	70.6%	19.9%	66.8%	34.5%	74.0%	-1.1%	-0.9%	-1.0M	145.3M	-12.5M	0.47	3.24	169,821	79,873	1,769,444	1,433,987
2021-12-15	$30.57	$30.00	77.8%	21.2%	68.3%	45.3%	80.5%	-1.8%	-3.5%	-3.2M	341.4M	-12.0M	0.51	3.36	283,507	144,793	1,805,055	1,452,900
2021-12-16	$30.07	$30.00	77.4%	21.5%	68.3%	44.7%	81.8%	-2.1%	-2.1%	-942.7K	365.8M	-12.0M	0.54	2.59	167,781	90,618	1,882,764	1,477,848
2021-12-17	$30.06	$30.00	74.5%	20.8%	67.8%	40.3%	80.6%	-1.1%	-3.1%	-15.1M	378.2M	-12.0M	0.59	3.50	215,266	127,831	1,911,293	1,489,632
2021-12-20	$28.16	$30.00	77.1%	21.9%	69.6%	44.3%	82.8%	0.7%	0.1%	-505.6K	256.3M	-11.0M	0.44	2.45	261,609	114,240	1,614,984	1,323,620
2021-12-21	$30.05	$30.00	66.8%	19.1%	67.1%	28.8%	71.3%	5.6%	0.3%	6.5M	33.5M	-11.9M	0.36	2.29	216,127	77,696	1,679,977	1,354,315
2021-12-22	$29.87	$30.00	63.9%	18.3%	67.0%	24.5%	68.2%	4.9%	0.2%	3.6M	100.6M	-11.8M	0.31	2.36	150,652	45,997	1,686,780	1,369,619
2021-12-23	$30.40	$30.00	64.1%	18.4%	68.0%	24.9%	69.0%	3.6%	0.9%	7.6M	-43.4M	-11.9M	0.30	2.27	246,491	72,941	1,704,965	1,364,316
2021-12-27	$29.96	$30.00	64.2%	18.1%	67.5%	24.9%	69.2%	3.3%	0.5%	1.7M	56.9M	-11.5M	0.27	2.25	188,432	50,049	1,589,175	1,334,272
2021-12-28	$29.75	$30.00	60.5%	17.0%	67.1%	19.4%	63.9%	3.6%	0.6%	2.5M	90.4M	-11.4M	0.26	12.87	120,220	31,641	1,625,370	1,344,095
2021-12-29	$28.18	$30.00	64.3%	18.5%	68.5%	25.2%	66.6%	4.4%	0.8%	-3.6M	328.3M	-10.5M	0.34	2.06	234,922	80,045	1,641,466	1,348,193
2021-12-30	$32.22	$30.00	66.0%	19.0%	86.9%	27.6%	70.3%	1.1%	-1.0%	15.8M	-584.4M	-12.7M	0.39	2.97	695,425	273,603	1,688,464	1,356,994
2021-12-31	$31.89	$30.00	62.9%	17.9%	84.0%	23.0%	66.1%	1.2%	0.5%	-2.9M	-321.5M	-12.4M	0.50	2.24	318,138	158,346	1,708,402	1,423,406