NIO Options History — June 2022

In June 2022, NIO traded between $15.93 and $24.12. ATM implied volatility averaged 85.2%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded below realized volatility by 18.1% (HV 20d: 103.3%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2022-06-14: Highest Volume — 438,335 contracts
2022-06-13: Largest IV spike — 13.4% change
2022-06-13: Highest IV Rank — 57.3%
2022-06-01: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.30	$15.93	$24.12	$17.58	$21.74
Max Pain	$18.62	$15.00	$25.00	$25.00	$20.50
ATM IV	85.2%	79.1%	94.7%	88.3%	85.3%
Expected Move	24.4%	22.6%	27.4%	27.4%	24.1%
HV 20d	103.3%	85.4%	113.7%	111.2%	107.4%
HV 60d	98.1%	87.7%	109.8%	109.0%	94.7%
IV Rank	45.8%	38.3%	57.3%	49.5%	45.9%
IV Percentile	74.5%	64.7%	89.7%	81.7%	74.6%
Term Structure	-0.8%	-3.1%	1.0%	-1.6%	0.6%
VWIV	87.3%	80.9%	96.1%	96.1%	86.3%
Skew 25d	7.3%	3.0%	10.3%	8.3%	6.5%
Skew 10d	17.1%	8.6%	21.9%	17.7%	16.3%
Call IV 25d	83.7%	79.0%	91.5%	86.5%	83.7%
Put IV 25d	91.0%	84.0%	100.9%	94.8%	90.2%
Bid-Ask Spread %	2.76	2.25	3.62	3.62	2.55
Gamma HHI	0.07	0.05	0.14	0.06	0.05
Net GEX	5.1M	64.3K	9.9M	4.8M	1.7M
Net DEX	-69.2M	-594.2M	344.8M	175.6M	-118.4M
Net VEX	-6.3M	-7.6M	-4.5M	-5.2M	-7.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.30	2.44	0.52	0.91
Total Volume	299,016.381	156,307	438,335	343,364	225,014
Total OI	1,988,268.524	1,786,586	2,180,917	1,951,592	1,982,834

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
2022-06-01	$17.58	$25.00	88.3%	27.4%	111.2%	49.5%	96.1%	8.3%	-1.6%	4.8M	175.6M	-5.2M	0.52	3.62	226,327	117,037	1,211,878	739,714
2022-06-02	$18.76	$15.00	84.4%	23.3%	113.0%	44.8%	83.6%	6.7%	-3.1%	8.7M	38.4M	-5.6M	0.70	3.07	147,416	102,925	1,257,777	758,199
2022-06-03	$18.14	$17.50	85.8%	24.2%	94.2%	46.5%	85.2%	7.7%	-2.5%	3.6M	117.7M	-5.5M	0.79	2.71	110,693	87,036	1,273,679	774,565
2022-06-06	$19.08	$17.50	86.7%	24.0%	94.5%	47.6%	85.4%	7.8%	-1.8%	5.1M	64.9M	-5.8M	0.30	2.76	212,571	64,270	1,200,423	729,987
2022-06-07	$19.63	$17.50	85.1%	23.8%	86.2%	45.6%	83.8%	6.5%	-1.6%	6.4M	16.4M	-5.9M	0.48	2.45	105,291	51,016	1,252,372	751,954
2022-06-08	$20.38	$17.50	85.5%	24.3%	85.4%	46.2%	85.5%	5.0%	-0.5%	8.4M	-90.5M	-6.4M	0.43	2.35	212,432	90,515	1,273,385	765,143
2022-06-09	$18.90	$17.50	79.1%	22.6%	88.8%	38.3%	80.9%	4.9%	-0.5%	4.4M	119.4M	-5.7M	0.60	2.65	208,231	124,221	1,314,514	792,180
2022-06-10	$18.16	$17.50	83.5%	23.9%	91.3%	43.7%	84.0%	3.0%	-0.7%	64.3K	183.1M	-5.5M	0.93	3.01	137,501	127,472	1,327,096	800,030
2022-06-13	$15.93	$17.50	94.7%	27.3%	100.3%	57.3%	95.4%	9.4%	-2.9%	273.4K	344.8M	-4.5M	0.97	2.25	90,764	87,806	1,225,123	749,320
2022-06-14	$18.63	$17.50	93.2%	26.8%	113.7%	55.5%	95.4%	10.3%	-2.4%	3.7M	104.8M	-5.6M	0.91	3.51	229,635	208,700	1,244,468	754,005
2022-06-15	$19.97	$17.50	82.9%	23.8%	107.7%	43.0%	86.2%	7.5%	0.2%	7.5M	-47.7M	-6.1M	0.83	3.16	200,730	165,671	1,287,293	808,051
2022-06-16	$19.04	$17.50	87.2%	25.0%	107.8%	48.2%	92.1%	8.6%	1.0%	3.2M	64.4M	-5.8M	1.07	2.61	178,837	191,929	1,304,696	832,333
2022-06-17	$20.63	$17.50	83.9%	24.2%	109.1%	44.2%	86.8%	9.2%	-1.6%	9.9M	-215.3M	-6.3M	0.61	2.53	264,256	162,275	1,335,513	845,404
2022-06-21	$22.83	$17.50	82.5%	23.8%	112.5%	42.4%	85.7%	7.4%	-0.2%	8.0M	-364.0M	-6.9M	0.56	2.92	249,897	139,284	1,072,876	713,710
2022-06-22	$22.59	$18.50	84.8%	24.1%	111.6%	45.3%	87.8%	7.2%	-0.1%	7.0M	-323.6M	-7.0M	0.92	2.38	121,388	111,517	1,115,274	760,297
2022-06-23	$22.99	$20.00	84.5%	24.1%	106.6%	45.0%	88.1%	7.4%	-0.3%	8.0M	-381.5M	-7.3M	0.88	2.26	142,601	126,031	1,133,558	780,291
2022-06-24	$24.12	$20.00	81.3%	23.2%	106.5%	41.0%	83.1%	5.8%	0.4%	6.6M	-594.2M	-7.6M	0.69	2.27	208,267	143,957	1,154,150	783,492
2022-06-27	$23.02	$20.00	82.2%	23.7%	106.2%	42.1%	84.5%	6.6%	-0.3%	4.8M	-258.7M	-7.1M	1.14	2.72	126,372	144,387	1,084,655	719,776
2022-06-28	$22.38	$20.00	83.8%	24.3%	107.4%	44.0%	87.6%	8.0%	0.7%	3.0M	-185.0M	-7.3M	2.44	2.96	90,448	221,104	1,131,015	770,170
2022-06-29	$21.82	$22.00	84.6%	24.2%	107.3%	45.1%	89.8%	8.9%	0.3%	1.1M	-104.6M	-7.2M	1.58	3.15	125,476	198,044	1,143,055	799,384
2022-06-30	$21.74	$20.50	85.3%	24.1%	107.4%	45.9%	86.3%	6.5%	0.6%	1.7M	-118.4M	-7.2M	0.91	2.55	117,737	107,277	1,167,213	815,621