NIO Options History — January 2022

In January 2022, NIO traded between $20.70 and $33.42. ATM implied volatility averaged 71.0%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 7.7% (HV 20d: 78.7%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-01-31: Highest Volume — 454,025 contracts
  • 2022-01-24: Largest IV spike — 18.1% change
  • 2022-01-26: Highest IV Rank — 57.8%
  • 2022-01-26: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.96$20.70$33.42$33.42$24.35
Max Pain$32.75$25.00$35.00$30.00$25.00
ATM IV71.0%61.8%86.1%63.8%79.8%
Expected Move20.5%18.0%24.8%18.3%23.3%
HV 20d78.7%67.8%94.3%74.7%94.3%
HV 60d67.5%63.8%79.1%63.8%79.1%
IV Rank35.1%21.4%57.8%24.4%48.2%
IV Percentile61.1%36.1%86.5%43.7%82.9%
Term Structure0.5%-1.2%3.7%-0.4%0.8%
VWIV75.0%65.6%92.0%66.5%83.9%
Skew 25d6.9%1.7%18.0%1.7%6.6%
Skew 10d15.4%2.7%72.1%3.5%17.8%
Call IV 25d71.1%63.4%81.1%66.9%80.5%
Put IV 25d78.0%67.9%98.0%68.6%87.1%
Bid-Ask Spread %3.111.8212.2112.212.40
Gamma HHI0.100.070.170.080.07
Net GEX-290.8K-5.9M10.3M9.3M794.7K
Net DEX208.6M-623.5M813.5M-623.5M376.7M
Net VEX-10.4M-12.9M-7.1M-12.9M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.240.710.240.62
Total Volume298,738.1177,034454,025434,571454,025
Total OI2,770,406.251,925,1273,138,3872,955,0532,212,884

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$33.42$30.0063.8%18.3%74.7%24.4%66.5%1.7%-0.4%9.3M-623.5M-12.9M0.2412.21349,87084,7011,603,2641,351,789
2022-01-04$31.76$30.0063.3%18.0%77.0%23.6%66.1%2.5%-0.0%5.0M-257.4M-12.2M0.412.11215,83988,5231,665,2551,364,940
2022-01-05$29.98$30.0068.1%19.6%78.5%30.8%71.7%2.1%-0.8%-1.5M84.4M-11.4M0.482.59169,26280,4791,688,8371,380,230
2022-01-06$29.32$35.0067.5%19.4%75.6%29.9%73.0%3.3%-0.2%-5.2M204.4M-11.3M0.505.97216,516109,1291,706,4121,388,304
2022-01-07$29.43$35.0067.3%19.4%75.5%29.6%71.8%3.1%-0.5%-4.1M185.3M-11.3M0.422.20183,89377,5101,733,5151,404,872
2022-01-10$28.83$35.0068.4%19.8%75.6%31.3%73.9%5.2%0.6%-2.8M232.9M-10.7M0.472.58134,78163,9431,613,3631,358,244
2022-01-11$30.08$35.0063.0%18.4%77.7%23.1%66.3%4.8%1.4%574.3K46.8M-11.3M0.292.35182,04552,8871,648,8671,371,599
2022-01-12$31.70$35.0061.8%18.5%78.6%21.4%65.6%4.5%2.7%8.5M-319.8M-12.2M0.292.10245,25871,1631,676,7781,379,674
2022-01-13$30.68$35.0062.8%18.4%77.3%22.9%66.0%4.1%1.8%3.1M-72.1M-11.6M0.492.51139,04367,7721,697,7981,390,180
2022-01-14$30.90$35.0063.9%18.5%77.1%24.6%67.9%4.9%0.8%10.3M-124.5M-11.8M0.522.14148,75576,8041,715,9901,390,813
2022-01-18$29.67$35.0066.6%19.1%78.5%28.6%69.7%6.5%0.0%-2.5M104.6M-10.9M0.632.28109,43368,9021,643,0891,358,121
2022-01-19$28.80$35.0066.3%19.0%75.6%28.0%69.3%5.0%-0.3%-5.1M240.7M-10.5M0.421.82124,97152,0631,665,7161,364,254
2022-01-20$29.32$35.0065.3%18.8%72.1%26.6%68.0%5.5%-1.0%-2.3M163.7M-10.7M0.542.18194,667105,4981,676,6001,356,105
2022-01-21$27.64$35.0071.6%20.6%74.9%36.0%76.2%7.4%-1.2%-5.9M416.6M-10.1M0.622.11178,124110,1331,690,3471,367,772
2022-01-24$24.55$35.0084.5%24.6%84.7%55.3%90.2%18.0%0.2%-2.7M600.2M-8.6M0.542.62247,573133,8091,112,950812,177
2022-01-25$24.08$35.0082.7%24.3%84.7%52.6%89.0%14.7%0.5%-1.8M612.7M-8.5M0.432.63173,96875,5131,165,614842,923
2022-01-26$22.77$35.0086.1%24.8%86.2%57.8%92.0%17.5%0.8%-2.7M710.8M-8.0M0.493.67245,666120,5401,212,836860,405
2022-01-27$21.20$25.0084.4%24.1%87.5%55.1%87.6%10.0%3.7%-3.8M776.8M-7.5M0.672.47224,200149,5201,304,564921,137
2022-01-28$20.70$25.0082.2%23.3%67.8%51.8%85.0%10.0%1.7%-3.0M813.5M-7.1M0.713.30262,315185,6691,351,930957,977
2022-01-31$24.35$25.0079.8%23.3%94.3%48.2%83.9%6.6%0.8%794.7K376.7M-9.2M0.622.40281,120172,9051,264,880948,004