NIO Options History — September 2022

In September 2022, NIO traded between $15.60 and $21.98. ATM implied volatility averaged 73.0%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 0.2% (HV 20d: 72.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2022-09-12: Highest Volume — 429,906 contracts
2022-09-07: Largest IV drop — 11.7% change
2022-09-29: Highest IV Rank — 42.6%
2022-09-29: Largest Expected Move — 24.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.80	$15.60	$21.98	$18.72	$15.84
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	73.0%	63.1%	82.6%	78.4%	78.7%
Expected Move	21.0%	18.1%	24.2%	23.6%	22.5%
HV 20d	72.9%	50.1%	91.4%	51.4%	90.4%
HV 60d	66.1%	60.0%	74.9%	74.5%	65.2%
IV Rank	31.0%	18.9%	42.6%	37.5%	37.9%
IV Percentile	41.1%	21.0%	65.5%	56.0%	55.6%
Term Structure	-0.4%	-1.7%	0.5%	-1.7%	-0.1%
VWIV	73.9%	64.9%	83.4%	82.7%	78.5%
Skew 25d	5.6%	2.6%	9.7%	4.7%	9.7%
Skew 10d	12.2%	5.6%	19.7%	12.1%	18.6%
Call IV 25d	71.8%	61.7%	80.1%	77.3%	76.0%
Put IV 25d	77.4%	66.1%	89.1%	82.0%	85.7%
Bid-Ask Spread %	2.53	1.80	3.52	2.29	2.41
Gamma HHI	0.07	0.05	0.16	0.05	0.08
Net GEX	4.2M	85.9K	10.7M	2.8M	2.8M
Net DEX	39.1M	-348.3M	274.0M	104.3M	236.7M
Net VEX	-4.7M	-5.9M	-3.5M	-4.9M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.33	1.19	0.35	0.57
Total Volume	217,689.048	104,130	429,906	193,467	202,059
Total OI	1,900,732.667	1,741,233	2,082,096	1,917,192	1,904,922

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
2022-09-01	$18.72	$20.00	78.4%	23.6%	51.4%	37.5%	82.7%	4.7%	-1.7%	2.8M	104.3M	-4.9M	0.35	2.29	143,482	49,985	1,247,204	669,988
2022-09-02	$17.72	$20.00	77.6%	23.7%	53.6%	36.5%	83.4%	4.8%	-0.7%	1.9M	204.7M	-4.5M	0.46	2.34	126,341	58,035	1,287,466	678,940
2022-09-06	$17.15	$20.00	79.9%	22.1%	54.2%	39.4%	79.1%	3.9%	-0.5%	2.4M	205.3M	-4.3M	0.51	2.49	129,397	66,071	1,195,665	656,610
2022-09-07	$17.59	$20.00	70.6%	20.1%	53.0%	28.0%	71.3%	5.1%	-0.2%	3.0M	200.5M	-4.1M	0.56	2.28	173,000	96,019	1,242,680	679,515
2022-09-08	$17.59	$20.00	67.3%	19.3%	50.1%	24.0%	68.7%	4.6%	0.5%	3.1M	201.5M	-4.2M	0.41	3.30	97,719	40,017	1,267,871	692,669
2022-09-09	$19.13	$20.00	63.1%	18.1%	57.6%	18.9%	64.9%	4.4%	0.1%	10.7M	-22.8M	-4.8M	0.48	1.82	214,656	103,110	1,279,611	693,930
2022-09-12	$21.72	$20.00	66.9%	18.8%	74.0%	23.5%	67.7%	2.9%	-1.5%	10.2M	-316.9M	-5.7M	0.59	1.80	269,973	159,933	1,213,307	661,252
2022-09-13	$21.90	$20.00	71.4%	20.2%	74.0%	29.0%	73.5%	2.6%	-1.0%	9.9M	-348.3M	-5.9M	0.93	2.33	185,902	173,194	1,267,641	732,642
2022-09-14	$21.98	$20.00	69.8%	19.9%	73.6%	27.0%	71.4%	4.3%	-0.4%	8.5M	-332.6M	-5.9M	1.19	2.77	102,424	121,485	1,286,433	771,971
2022-09-15	$21.56	$20.00	69.4%	19.6%	72.4%	26.5%	70.1%	3.9%	-1.3%	5.8M	-261.2M	-5.7M	0.83	3.50	127,744	105,919	1,290,436	777,811
2022-09-16	$20.06	$20.00	67.9%	19.4%	77.2%	24.7%	68.9%	4.1%	-0.1%	85.9K	19.3M	-5.2M	1.02	2.36	137,470	140,596	1,304,569	777,527
2022-09-19	$20.88	$20.00	69.2%	19.8%	76.4%	26.3%	69.5%	5.5%	-0.5%	6.6M	-145.2M	-5.4M	0.63	2.05	96,674	61,176	1,111,594	629,639
2022-09-20	$20.45	$20.00	70.8%	20.3%	76.8%	28.3%	71.2%	5.4%	0.1%	5.6M	-94.4M	-5.3M	1.00	3.06	52,080	52,050	1,139,478	653,972
2022-09-21	$18.32	$20.00	73.2%	21.0%	85.9%	31.1%	73.0%	6.0%	-0.8%	844.6K	157.8M	-4.6M	0.66	2.40	156,454	103,746	1,151,460	660,529
2022-09-22	$18.41	$20.00	71.7%	20.5%	85.3%	29.3%	71.6%	6.2%	0.1%	2.7M	126.6M	-4.7M	0.54	3.37	128,070	69,655	1,192,644	670,153
2022-09-23	$17.70	$20.00	74.6%	21.4%	82.8%	32.9%	74.8%	6.3%	-0.2%	1.0M	193.7M	-4.5M	0.81	3.52	107,739	86,759	1,212,226	672,320
2022-09-26	$17.80	$20.00	75.7%	21.9%	82.9%	34.2%	76.1%	7.7%	-0.3%	3.1M	119.7M	-4.4M	0.39	2.19	89,936	34,822	1,138,899	625,775
2022-09-27	$17.19	$20.00	78.6%	22.8%	83.5%	37.7%	77.6%	8.9%	-0.1%	2.6M	164.9M	-4.1M	0.33	2.28	94,715	31,467	1,166,093	633,467
2022-09-28	$17.41	$20.00	76.7%	22.2%	83.8%	35.5%	75.8%	8.2%	0.1%	3.9M	133.7M	-4.3M	0.55	2.19	87,808	47,905	1,192,061	633,480
2022-09-29	$15.60	$20.00	82.6%	24.2%	91.4%	42.6%	82.9%	9.0%	-0.4%	572.5K	274.0M	-3.5M	0.42	2.29	173,262	72,621	1,209,349	641,587
2022-09-30	$15.84	$20.00	78.7%	22.5%	90.4%	37.9%	78.5%	9.7%	-0.1%	2.8M	236.7M	-3.6M	0.57	2.41	128,881	73,178	1,260,297	644,625