NIO Options History — March 2022

In March 2022, NIO traded between $14.05 and $22.18. ATM implied volatility averaged 96.5%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 27.0%. IV traded below realized volatility by 21.6% (HV 20d: 118.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.52.

Notable Days

2022-03-16: Highest Volume — 642,734 contracts
2022-03-11: Largest IV spike — 15.0% change
2022-03-07: Highest IV Rank — 100.0%
2022-03-11: Largest Expected Move — 34.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.63	$14.05	$22.18	$21.84	$21.23
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	96.5%	75.6%	129.8%	89.7%	78.0%
Expected Move	27.0%	22.1%	34.5%	26.0%	23.3%
HV 20d	118.0%	72.1%	148.5%	72.6%	143.1%
HV 60d	97.2%	79.6%	110.1%	82.9%	106.9%
IV Rank	71.2%	34.1%	100.0%	80.0%	37.0%
IV Percentile	94.7%	79.4%	100.0%	98.0%	83.3%
Term Structure	-2.1%	-8.6%	1.7%	-1.9%	1.5%
VWIV	95.4%	79.3%	123.3%	91.8%	81.0%
Skew 25d	7.6%	2.4%	22.0%	7.8%	3.3%
Skew 10d	13.2%	2.4%	41.5%	14.5%	7.0%
Call IV 25d	95.7%	75.6%	124.6%	88.6%	78.6%
Put IV 25d	103.3%	79.7%	146.6%	96.4%	81.9%
Bid-Ask Spread %	3.10	2.27	7.91	2.86	3.26
Gamma HHI	0.06	0.04	0.17	0.05	0.05
Net GEX	3.0M	-2.5M	10.5M	1.1M	4.9M
Net DEX	354.3M	-81.8M	746.5M	480.9M	133.5M
Net VEX	-6.9M	-8.1M	-4.6M	-7.8M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.32	0.90	0.41	0.52
Total Volume	362,602.913	167,052	642,734	167,052	311,497
Total OI	2,213,586.043	1,913,688	2,488,012	2,161,635	2,223,488

Daily Data (23 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
2022-03-01	$21.84	$30.00	89.7%	26.0%	72.6%	80.0%	91.8%	7.8%	-1.9%	1.1M	480.9M	-7.8M	0.41	2.86	118,789	48,263	1,265,244	896,391
2022-03-02	$21.84	$30.00	86.7%	23.8%	72.1%	74.3%	84.9%	8.5%	-2.5%	1.4M	517.3M	-7.7M	0.37	2.57	125,597	46,651	1,287,342	901,886
2022-03-03	$19.83	$30.00	92.3%	25.4%	78.1%	84.9%	88.9%	8.1%	-3.3%	-2.3M	685.6M	-6.8M	0.41	2.44	200,850	83,083	1,309,555	908,218
2022-03-04	$18.67	$30.00	97.5%	27.5%	80.0%	94.6%	96.5%	6.7%	-4.1%	-2.1M	746.5M	-6.2M	0.53	2.77	182,905	96,216	1,365,049	923,231
2022-03-07	$18.13	$30.00	101.0%	29.8%	78.1%	100.0%	104.8%	8.6%	-0.6%	-1.1M	694.7M	-6.0M	0.47	3.09	169,429	78,952	1,279,353	888,356
2022-03-08	$17.90	$30.00	99.8%	29.6%	77.9%	97.8%	106.8%	6.4%	-1.6%	-711.5K	696.5M	-6.0M	0.69	3.24	121,446	83,276	1,319,099	895,808
2022-03-09	$20.29	$30.00	92.5%	26.1%	91.4%	84.2%	94.3%	7.2%	-2.0%	3.3M	526.5M	-7.1M	0.53	2.53	210,058	110,701	1,339,668	909,280
2022-03-10	$17.64	$30.00	99.5%	28.7%	99.5%	97.2%	103.1%	7.4%	-1.1%	-2.5M	735.5M	-5.9M	0.60	2.50	231,923	139,031	1,356,168	927,739
2022-03-11	$16.18	$30.00	114.5%	34.5%	102.3%	100.0%	123.3%	8.2%	1.4%	-1.6M	709.8M	-5.5M	0.90	3.34	324,794	292,371	1,431,320	928,882
2022-03-14	$14.05	$30.00	129.8%	32.5%	110.4%	100.0%	114.1%	22.0%	-3.0%	-458.1K	622.6M	-4.6M	0.69	3.17	211,392	146,786	1,353,304	885,711
2022-03-15	$14.89	$30.00	127.6%	32.9%	114.2%	97.3%	114.8%	18.6%	-5.3%	766.0K	566.1M	-5.2M	0.66	3.14	221,211	145,300	1,406,122	908,745
2022-03-16	$18.61	$30.00	113.8%	29.9%	140.3%	80.5%	102.8%	8.4%	-5.1%	4.5M	314.5M	-6.7M	0.44	7.91	445,365	197,369	1,441,539	930,060
2022-03-17	$18.73	$30.00	107.3%	28.5%	140.5%	72.6%	96.5%	11.5%	-8.6%	4.9M	352.5M	-6.6M	0.73	3.11	181,237	132,239	1,483,055	966,090
2022-03-18	$20.80	$30.00	97.2%	26.5%	146.6%	60.4%	92.8%	4.1%	-6.0%	10.5M	85.3M	-7.5M	0.48	3.79	406,091	196,615	1,505,582	982,430
2022-03-21	$20.30	$30.00	99.6%	27.1%	145.3%	63.3%	94.5%	6.4%	-2.4%	3.7M	115.0M	-7.2M	0.53	3.50	182,468	96,704	1,128,654	785,034
2022-03-22	$21.73	$30.00	89.9%	25.0%	145.9%	51.5%	89.0%	5.4%	-1.4%	6.2M	-16.3M	-7.7M	0.38	2.67	235,015	89,227	1,173,214	809,119
2022-03-23	$21.91	$30.00	91.8%	25.3%	144.2%	53.8%	90.2%	6.1%	-1.9%	7.2M	-46.1M	-7.8M	0.44	2.86	232,684	102,285	1,214,614	824,169
2022-03-24	$22.00	$30.00	92.8%	25.4%	143.9%	55.0%	92.9%	4.1%	-3.2%	8.2M	-81.8M	-8.1M	0.60	2.51	339,621	203,610	1,254,662	846,116
2022-03-25	$19.85	$30.00	84.8%	24.7%	148.5%	45.3%	87.6%	4.5%	-0.0%	-1.2M	270.3M	-7.0M	0.58	2.51	331,286	190,663	1,362,007	924,839
2022-03-28	$21.13	$30.00	81.2%	24.1%	146.6%	40.9%	84.2%	4.3%	0.3%	6.1M	86.4M	-7.7M	0.32	2.36	200,231	64,758	1,244,655	841,286
2022-03-29	$21.87	$30.00	75.6%	22.1%	146.5%	34.1%	79.3%	5.0%	1.7%	9.1M	908.3K	-7.9M	0.37	2.27	152,479	56,047	1,277,317	855,105
2022-03-30	$22.18	$30.00	75.6%	22.4%	146.6%	34.1%	79.3%	2.4%	1.0%	10.3M	-46.9M	-8.0M	0.40	2.83	432,329	171,023	1,289,215	863,758
2022-03-31	$21.23	$30.00	78.0%	23.3%	143.1%	37.0%	81.0%	3.3%	1.5%	4.9M	133.5M	-7.6M	0.52	3.26	205,492	106,005	1,333,515	889,973