NIO Options History — May 2022

In May 2022, NIO traded between $12.74 and $18.13. ATM implied volatility averaged 98.1%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 28.5%. IV traded above realized volatility by 7.6% (HV 20d: 90.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2022-05-17: Highest Volume — 364,943 contracts
2022-05-05: Largest IV spike — 16.7% change
2022-05-11: Highest IV Rank — 82.1%
2022-05-12: Largest Expected Move — 32.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.48	$12.74	$18.13	$17.31	$17.42
Max Pain	$24.88	$22.50	$30.00	$22.50	$25.00
ATM IV	98.1%	85.5%	115.1%	94.2%	87.5%
Expected Move	28.5%	25.3%	32.7%	28.9%	27.4%
HV 20d	90.4%	55.0%	111.3%	64.6%	111.3%
HV 60d	106.9%	99.8%	110.7%	100.2%	109.2%
IV Rank	61.4%	46.2%	82.1%	56.7%	48.5%
IV Percentile	92.4%	81.3%	99.2%	94.4%	81.3%
Term Structure	-1.8%	-8.2%	2.5%	-3.4%	-2.0%
VWIV	100.6%	90.5%	115.6%	102.4%	97.7%
Skew 25d	12.5%	8.4%	17.2%	9.8%	11.6%
Skew 10d	25.1%	16.1%	30.0%	20.9%	25.1%
Call IV 25d	94.1%	82.1%	109.7%	90.0%	83.8%
Put IV 25d	106.6%	92.5%	124.1%	99.9%	95.4%
Bid-Ask Spread %	2.37	1.76	3.87	3.09	2.36
Gamma HHI	0.06	0.03	0.37	0.04	0.05
Net GEX	2.6M	381.2K	9.8M	2.6M	3.9M
Net DEX	373.2M	169.3M	552.4M	446.4M	195.9M
Net VEX	-4.6M	-5.6M	-3.7M	-5.5M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.28	0.84	0.46	0.53
Total Volume	209,940.714	122,252	364,943	150,192	212,137
Total OI	2,099,302.905	1,891,142	2,228,510	2,058,614	1,891,142

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
2022-05-02	$17.31	$22.50	94.2%	28.9%	64.6%	56.7%	102.4%	9.8%	-3.4%	2.6M	446.4M	-5.5M	0.46	3.09	102,747	47,445	1,257,462	801,152
2022-05-03	$17.51	$22.50	92.1%	28.4%	55.0%	54.1%	98.6%	10.2%	-1.2%	3.5M	438.4M	-5.4M	0.63	3.87	74,869	47,383	1,294,737	815,737
2022-05-04	$18.13	$22.50	85.5%	25.3%	55.8%	46.2%	90.5%	8.4%	-1.0%	6.0M	403.8M	-5.6M	0.44	3.23	110,562	48,616	1,311,723	819,766
2022-05-05	$15.29	$30.00	99.8%	27.5%	79.4%	63.5%	94.6%	13.4%	-3.8%	426.2K	552.0M	-4.5M	0.41	1.92	213,060	88,271	1,334,690	826,995
2022-05-06	$14.93	$25.00	99.2%	27.5%	78.4%	62.7%	96.2%	10.9%	-2.3%	496.3K	552.4M	-4.4M	0.74	1.94	177,965	132,505	1,388,196	833,357
2022-05-09	$13.62	$25.00	109.1%	31.7%	82.8%	74.8%	108.5%	14.4%	2.5%	446.8K	482.1M	-3.9M	0.53	2.01	93,874	49,726	1,287,466	792,559
2022-05-10	$13.37	$25.00	108.2%	31.5%	82.7%	73.7%	107.1%	13.5%	2.3%	428.3K	491.8M	-3.8M	0.52	1.79	112,153	58,745	1,311,266	799,189
2022-05-11	$12.74	$25.00	115.1%	32.4%	83.3%	82.1%	113.8%	13.2%	-2.4%	430.4K	483.1M	-3.7M	0.56	1.81	106,750	59,244	1,335,543	806,242
2022-05-12	$12.96	$25.00	115.0%	32.7%	80.9%	82.0%	115.6%	14.4%	-1.4%	381.2K	481.1M	-3.7M	0.84	2.29	105,874	89,400	1,349,579	810,123
2022-05-13	$14.27	$25.00	99.0%	27.6%	91.1%	62.5%	98.9%	17.2%	-2.9%	820.3K	436.1M	-4.1M	0.47	2.11	134,719	62,911	1,361,909	822,001
2022-05-16	$14.53	$25.00	100.6%	28.7%	91.8%	64.5%	100.9%	12.7%	-4.1%	1.4M	422.8M	-4.2M	0.28	2.03	190,383	52,862	1,306,963	792,766
2022-05-17	$16.50	$25.00	94.6%	27.0%	103.7%	57.1%	97.3%	12.2%	-2.8%	4.1M	239.7M	-5.0M	0.35	2.20	269,386	95,557	1,346,743	788,499
2022-05-18	$15.77	$25.00	101.2%	29.0%	101.4%	65.2%	101.1%	11.3%	-8.2%	3.2M	307.1M	-4.8M	0.73	1.92	145,004	106,421	1,379,546	808,193
2022-05-19	$16.80	$25.00	90.7%	26.1%	102.2%	52.5%	96.2%	13.1%	-2.6%	5.9M	220.2M	-5.2M	0.67	1.76	126,812	85,065	1,387,079	815,734
2022-05-20	$16.28	$25.00	92.9%	26.7%	102.7%	55.2%	96.2%	12.7%	0.1%	2.5M	293.3M	-4.9M	0.80	2.13	184,235	147,839	1,393,674	834,836
2022-05-23	$15.78	$25.00	95.2%	28.0%	103.2%	57.9%	99.8%	14.3%	-2.5%	1.8M	287.3M	-4.6M	0.70	2.23	91,436	64,089	1,189,047	740,555
2022-05-24	$14.71	$25.00	100.4%	30.1%	104.6%	64.3%	107.5%	13.1%	-1.2%	991.8K	357.8M	-4.2M	0.72	2.72	91,058	65,233	1,221,382	752,400
2022-05-25	$14.64	$25.00	100.3%	29.7%	104.1%	64.1%	104.0%	11.1%	-0.7%	1.2M	350.8M	-4.2M	0.44	2.81	87,301	38,348	1,240,664	756,937
2022-05-26	$16.06	$25.00	91.0%	27.0%	109.8%	52.8%	95.0%	12.5%	-0.3%	4.1M	225.9M	-4.6M	0.58	3.37	128,513	74,265	1,254,763	760,656
2022-05-27	$16.49	$25.00	87.4%	25.8%	110.2%	48.5%	90.9%	12.9%	-0.6%	9.8M	169.3M	-4.8M	0.61	2.22	146,826	89,166	1,279,148	784,942
2022-05-31	$17.42	$25.00	87.5%	27.4%	111.3%	48.5%	97.7%	11.6%	-2.0%	3.9M	195.9M	-5.1M	0.53	2.36	138,916	73,221	1,171,204	719,938