NIO Options History — July 2022

In July 2022, NIO traded between $19.08 and $22.69. ATM implied volatility averaged 79.3%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 3.2% (HV 20d: 82.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.54.

Notable Days

2022-07-07: Highest Volume — 319,931 contracts
2022-07-11: Largest IV spike — 10.3% change
2022-07-11: Highest IV Rank — 45.2%
2022-07-12: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.59	$19.08	$22.69	$21.38	$19.81
Max Pain	$22.43	$20.00	$25.00	$21.00	$20.00
ATM IV	79.3%	73.1%	84.8%	82.4%	73.1%
Expected Move	22.8%	20.6%	24.9%	22.4%	20.6%
HV 20d	82.5%	59.5%	111.4%	105.8%	60.3%
HV 60d	95.3%	94.1%	97.5%	94.1%	94.7%
IV Rank	38.6%	31.0%	45.2%	42.3%	31.0%
IV Percentile	58.1%	44.4%	72.6%	65.5%	44.4%
Term Structure	0.5%	-1.9%	3.4%	0.8%	-0.1%
VWIV	80.3%	73.5%	85.9%	80.0%	73.5%
Skew 25d	8.4%	6.7%	9.6%	7.0%	9.5%
Skew 10d	17.7%	15.2%	21.0%	16.9%	21.0%
Call IV 25d	76.7%	69.8%	83.2%	80.2%	69.8%
Put IV 25d	85.2%	79.3%	90.9%	87.2%	79.3%
Bid-Ask Spread %	2.44	1.91	3.72	2.63	3.72
Gamma HHI	0.06	0.04	0.17	0.09	0.17
Net GEX	5.0M	132.1K	11.3M	282.9K	9.8M
Net DEX	-12.5M	-290.0M	156.8M	-66.1M	55.9M
Net VEX	-6.3M	-7.2M	-5.6M	-6.9M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.41	0.70	0.54	0.56
Total Volume	179,398.75	102,616	319,931	264,857	162,839
Total OI	1,931,697.2	1,823,475	2,006,136	2,006,136	1,985,538

Daily Data (20 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
2022-07-01	$21.38	$21.00	82.4%	22.4%	105.8%	42.3%	80.0%	7.0%	0.8%	282.9K	-66.1M	-6.9M	0.54	2.63	172,461	92,396	1,188,644	817,492
2022-07-05	$22.13	$25.00	81.6%	23.3%	105.2%	41.3%	84.0%	9.5%	1.0%	6.6M	-188.7M	-7.1M	0.66	1.91	106,631	70,125	1,127,897	744,142
2022-07-06	$20.82	$25.00	84.0%	24.4%	106.9%	44.3%	85.1%	9.6%	0.3%	4.1M	-18.3M	-6.6M	0.52	2.29	123,694	64,197	1,158,307	757,920
2022-07-07	$22.47	$25.00	79.4%	22.9%	109.6%	38.7%	81.2%	9.0%	1.8%	11.3M	-290.0M	-7.2M	0.58	2.01	201,951	117,980	1,189,707	761,283
2022-07-08	$22.69	$25.00	76.8%	22.3%	109.0%	35.6%	78.5%	8.3%	3.4%	6.7M	-283.0M	-7.2M	0.63	1.91	141,933	89,518	1,202,404	781,670
2022-07-11	$20.59	$25.00	84.8%	24.6%	111.4%	45.2%	85.1%	7.8%	0.3%	3.7M	4.0M	-6.4M	0.58	2.26	117,925	68,559	1,145,987	738,663
2022-07-12	$20.77	$25.00	84.0%	24.9%	110.2%	44.4%	85.9%	8.6%	3.1%	4.8M	-33.8M	-6.5M	0.54	1.91	86,977	46,757	1,179,638	752,146
2022-07-13	$21.15	$25.00	82.3%	23.8%	97.4%	42.3%	84.3%	8.3%	0.4%	5.6M	-79.9M	-6.6M	0.59	2.38	82,226	48,437	1,184,884	759,605
2022-07-14	$20.97	$25.00	81.1%	23.5%	81.8%	40.8%	82.1%	8.9%	1.7%	4.8M	-45.3M	-6.4M	0.70	2.01	106,798	74,759	1,193,140	765,086
2022-07-15	$20.72	$22.50	79.4%	23.0%	78.5%	38.7%	79.0%	9.3%	0.9%	3.8M	-5.5M	-6.3M	0.55	2.00	123,284	67,663	1,217,028	781,022
2022-07-18	$20.81	$22.50	77.1%	22.1%	76.2%	35.9%	78.0%	9.1%	0.6%	4.2M	-10.8M	-6.3M	0.49	2.70	98,610	48,474	1,120,490	702,985
2022-07-19	$20.22	$22.00	80.3%	23.0%	71.6%	39.9%	81.2%	8.4%	0.6%	3.3M	55.2M	-6.0M	0.41	2.40	125,319	51,455	1,145,625	714,444
2022-07-20	$20.30	$20.00	78.4%	22.5%	60.6%	37.5%	79.1%	8.4%	-0.4%	5.0M	19.9M	-6.1M	0.46	2.50	96,925	44,328	1,184,216	723,999
2022-07-21	$20.63	$20.00	76.4%	21.9%	61.1%	35.0%	76.6%	7.8%	-0.5%	7.1M	-25.3M	-6.1M	0.47	2.37	123,250	57,355	1,204,815	732,841
2022-07-22	$19.26	$20.50	77.8%	22.5%	64.5%	36.8%	80.1%	6.7%	-1.9%	132.1K	156.8M	-5.7M	0.53	3.08	186,735	99,620	1,215,399	746,223
2022-07-25	$19.27	$20.00	78.5%	22.6%	61.1%	37.7%	79.6%	9.3%	-0.9%	3.9M	125.4M	-5.7M	0.44	2.76	87,713	38,320	1,174,331	712,949
2022-07-26	$19.08	$20.00	79.2%	23.0%	59.6%	38.5%	80.7%	7.8%	-0.1%	4.0M	137.4M	-5.6M	0.53	2.52	67,150	35,466	1,194,013	723,520
2022-07-27	$19.42	$20.00	75.5%	22.0%	59.9%	34.0%	78.1%	7.5%	-0.5%	4.9M	115.8M	-5.7M	0.52	2.76	82,991	43,464	1,208,328	732,422
2022-07-28	$19.40	$20.00	73.5%	21.0%	59.5%	31.5%	74.0%	8.3%	-0.4%	5.1M	126.2M	-5.6M	0.47	2.68	90,800	42,890	1,224,239	740,902
2022-07-29	$19.81	$20.00	73.1%	20.6%	60.3%	31.0%	73.5%	9.5%	-0.1%	9.8M	55.9M	-5.7M	0.56	3.72	104,188	58,651	1,241,326	744,212