NIO Options History — February 2022

In February 2022, NIO traded between $20.55 and $25.94. ATM implied volatility averaged 80.6%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded below realized volatility by 11.8% (HV 20d: 92.5%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2022-02-01: Highest Volume — 346,600 contracts
  • 2022-02-15: Largest IV drop — 7.5% change
  • 2022-02-28: Highest IV Rank — 70.9%
  • 2022-02-23: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.67$20.55$25.94$24.77$22.77
Max Pain$33.95$25.00$35.00$25.00$35.00
ATM IV80.6%73.2%89.1%74.3%84.9%
Expected Move23.2%20.9%26.6%20.9%25.7%
HV 20d92.5%87.3%96.2%92.3%92.5%
HV 60d79.7%78.1%83.5%78.7%83.5%
IV Rank50.8%38.4%70.9%40.1%70.9%
IV Percentile85.7%76.2%96.4%77.4%92.5%
Term Structure-1.2%-4.5%2.2%2.2%-2.3%
VWIV83.5%76.6%94.5%76.7%92.9%
Skew 25d8.4%3.0%13.2%8.2%9.4%
Skew 10d19.0%11.1%25.3%21.2%17.9%
Call IV 25d79.3%72.7%84.9%75.9%82.9%
Put IV 25d87.7%78.6%98.0%84.1%92.3%
Bid-Ask Spread %2.731.974.852.542.97
Gamma HHI0.070.050.270.060.06
Net GEX1.4M-2.6M9.9M943.6K739.8K
Net DEX443.4M188.4M672.4M353.6M425.9M
Net VEX-8.6M-9.8M-6.9M-9.2M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.290.850.710.29
Total Volume219,876.211108,280346,600346,600269,377
Total OI2,269,084.8952,054,4472,386,5522,297,1642,081,649

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$24.77$25.0074.3%20.9%92.3%40.1%76.7%8.2%2.2%943.6K353.6M-9.2M0.712.54202,102144,4981,310,003987,161
2022-02-02$23.75$25.0078.3%21.7%91.9%46.1%78.1%10.1%0.1%-449.0K487.4M-8.9M0.682.42142,19296,7871,345,877998,805
2022-02-03$23.13$35.0082.5%23.1%90.6%52.3%82.3%8.5%-2.1%-947.4K532.8M-8.6M0.632.66147,37793,2961,365,056993,166
2022-02-04$24.02$35.0080.2%22.4%92.3%48.9%81.4%9.0%-0.0%9.9M424.2M-9.0M0.582.63146,95485,5751,382,2451,004,307
2022-02-07$23.98$35.0081.5%22.7%92.2%50.9%81.9%8.0%-2.2%112.8K426.9M-8.9M0.402.45126,83551,2641,291,470958,491
2022-02-08$24.69$35.0077.5%22.3%93.2%44.8%79.7%8.2%0.9%2.9M356.6M-9.2M0.631.97202,697128,5711,321,677969,563
2022-02-09$25.94$35.0073.2%21.5%93.7%38.4%76.6%5.9%2.0%7.1M188.4M-9.8M0.422.57214,51689,0911,338,538976,393
2022-02-10$25.19$35.0075.9%21.8%91.2%42.5%77.4%3.0%0.3%3.6M299.3M-9.5M0.562.34124,12169,0151,359,9771,000,768
2022-02-11$23.94$35.0081.2%23.0%92.0%50.3%84.4%8.9%-1.3%781.5K484.7M-9.0M0.492.39134,86266,7181,374,1051,001,253
2022-02-14$23.80$35.0081.8%23.3%91.8%51.3%85.2%7.7%1.4%-742.0K486.3M-8.7M0.523.1186,89645,3241,301,690959,137
2022-02-15$25.63$35.0075.6%21.7%96.1%42.1%79.4%7.9%-3.0%3.9M272.1M-9.4M0.392.28136,73052,7871,328,757963,822
2022-02-16$25.62$35.0076.5%21.9%95.8%43.4%77.1%5.2%-1.9%5.5M252.4M-9.4M0.552.2469,88238,3981,356,313972,089
2022-02-17$24.86$35.0078.1%22.5%95.7%45.7%80.1%5.8%-1.2%2.2M348.0M-9.1M0.502.98121,73060,2671,365,489970,409
2022-02-18$23.28$35.0082.7%24.0%96.2%52.6%83.9%9.3%-3.9%-1.6M553.8M-8.2M0.702.23149,966105,6771,378,996977,112
2022-02-22$21.81$35.0085.9%25.0%89.8%57.4%94.5%9.6%-2.9%-2.0M595.6M-7.4M0.524.85125,45165,4641,187,999866,448
2022-02-23$20.55$35.0088.4%26.6%91.7%61.2%93.2%13.2%-4.5%-2.6M672.4M-6.9M0.632.7198,72761,7011,218,608885,114
2022-02-24$21.15$35.0089.1%26.3%90.7%62.2%93.2%11.2%-3.4%-1.3M619.6M-7.2M0.853.65124,428106,0991,245,113891,354
2022-02-25$20.82$35.0084.4%24.7%87.3%64.4%88.3%10.6%-1.5%-965.7K644.2M-7.1M0.452.90132,99959,2741,270,156913,503
2022-02-28$22.77$35.0084.9%25.7%92.5%70.9%92.9%9.4%-2.3%739.8K425.9M-8.1M0.292.97208,48360,8941,204,286877,363