NIO Options History — October 2022

In October 2022, NIO traded between $9.43 and $16.66. ATM implied volatility averaged 90.5%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 2.6% (HV 20d: 87.9%). Max pain ranged from $11.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2022-10-24: Highest Volume — 506,251 contracts
2022-10-19: Largest IV spike — 19.8% change
2022-10-24: Highest IV Rank — 75.6%
2022-10-24: Largest Expected Move — 32.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.30	$9.43	$16.66	$15.55	$9.78
Max Pain	$15.55	$11.00	$20.00	$20.00	$11.00
ATM IV	90.5%	74.4%	110.8%	78.8%	98.5%
Expected Move	26.4%	21.0%	32.7%	22.7%	30.9%
HV 20d	87.9%	74.9%	107.7%	88.8%	104.7%
HV 60d	72.7%	64.1%	84.7%	65.1%	84.6%
IV Rank	51.0%	32.7%	75.6%	38.0%	57.5%
IV Percentile	78.5%	39.3%	97.6%	55.6%	90.9%
Term Structure	-0.6%	-8.1%	3.8%	0.6%	-1.5%
VWIV	92.2%	71.8%	116.4%	78.9%	109.1%
Skew 25d	7.6%	5.2%	9.3%	8.1%	5.2%
Skew 10d	15.7%	8.3%	20.0%	18.2%	9.7%
Call IV 25d	88.7%	70.8%	108.6%	76.1%	98.5%
Put IV 25d	96.2%	79.8%	114.9%	84.3%	103.7%
Bid-Ask Spread %	2.81	2.00	4.43	2.38	3.15
Gamma HHI	0.06	0.05	0.09	0.06	0.06
Net GEX	1.9M	376.5K	3.9M	1.9M	2.2M
Net DEX	208.1M	90.1M	294.4M	234.7M	124.9M
Net VEX	-2.6M	-4.0M	-2.0M	-3.6M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.31	0.92	0.43	0.31
Total Volume	230,120.19	124,577	506,251	124,577	195,393
Total OI	1,953,588.476	1,797,835	2,106,580	1,797,835	2,027,401

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
2022-10-03	$15.55	$20.00	78.8%	22.7%	88.8%	38.0%	78.9%	8.1%	0.6%	1.9M	234.7M	-3.6M	0.43	2.38	86,828	37,749	1,174,346	623,489
2022-10-04	$16.66	$20.00	74.4%	21.0%	92.1%	32.7%	71.8%	9.1%	-0.6%	3.9M	141.9M	-4.0M	0.32	2.14	132,640	42,512	1,206,420	627,911
2022-10-05	$16.16	$20.00	76.1%	22.3%	92.0%	34.7%	76.7%	8.6%	0.4%	3.3M	175.5M	-3.7M	0.66	2.50	85,194	56,223	1,225,935	629,870
2022-10-06	$14.90	$17.50	81.5%	23.7%	96.0%	41.2%	82.7%	7.8%	-0.1%	1.4M	260.0M	-3.3M	0.39	2.11	163,543	63,061	1,243,248	629,963
2022-10-07	$13.76	$17.50	83.6%	24.2%	92.6%	43.9%	85.3%	8.1%	0.4%	510.2K	294.4M	-3.0M	0.44	3.16	181,951	80,314	1,295,710	634,383
2022-10-10	$13.33	$17.50	85.9%	25.6%	75.6%	46.6%	88.8%	9.3%	3.8%	1.8M	273.0M	-2.8M	0.50	2.35	99,618	49,339	1,269,033	611,614
2022-10-11	$12.75	$17.50	90.0%	25.7%	74.9%	51.6%	89.8%	8.9%	-0.5%	1.3M	288.5M	-2.6M	0.51	2.37	107,464	55,133	1,287,431	616,941
2022-10-12	$12.85	$17.50	89.0%	25.7%	75.1%	50.4%	87.8%	7.9%	0.7%	1.8M	268.9M	-2.6M	0.92	2.44	92,658	85,123	1,312,969	618,344
2022-10-13	$12.79	$17.50	88.3%	26.0%	75.5%	49.5%	89.6%	6.4%	2.8%	1.6M	248.2M	-2.6M	0.56	2.61	116,468	65,347	1,338,628	608,321
2022-10-14	$11.83	$15.00	90.0%	25.7%	76.0%	51.5%	90.6%	5.7%	-0.1%	376.5K	283.0M	-2.3M	0.59	2.16	132,954	77,928	1,369,814	611,394
2022-10-17	$12.21	$15.00	89.3%	25.6%	75.1%	50.7%	89.2%	8.6%	-1.4%	1.9M	231.4M	-2.4M	0.54	2.85	126,565	68,934	1,310,217	577,006
2022-10-18	$12.22	$15.00	86.6%	24.8%	75.7%	45.5%	86.8%	8.3%	-1.6%	2.2M	211.5M	-2.4M	0.39	2.39	117,425	46,334	1,342,458	570,354
2022-10-19	$10.83	$15.00	103.7%	29.7%	77.4%	67.0%	100.4%	8.5%	-8.1%	1.0M	237.3M	-2.0M	0.50	3.08	300,157	150,231	1,362,334	562,996
2022-10-20	$11.02	$15.00	96.1%	27.8%	78.2%	57.5%	95.8%	7.1%	-4.3%	3.0M	200.0M	-2.2M	0.54	2.00	162,733	88,128	1,479,446	587,597
2022-10-21	$11.16	$15.00	96.0%	28.0%	79.1%	57.3%	97.2%	7.2%	-4.5%	1.5M	193.5M	-2.3M	0.74	2.52	158,641	117,164	1,479,557	591,709
2022-10-24	$9.43	$12.50	110.8%	32.7%	93.6%	75.6%	116.4%	6.4%	-3.5%	963.8K	191.3M	-2.0M	0.59	4.43	317,501	188,750	1,330,134	563,553
2022-10-25	$10.58	$12.50	96.7%	28.9%	107.1%	56.8%	100.2%	7.6%	1.5%	2.8M	108.9M	-2.3M	0.45	4.19	203,074	91,758	1,432,039	606,170
2022-10-26	$10.84	$12.00	93.2%	27.6%	107.7%	52.2%	100.2%	6.3%	0.3%	3.5M	90.1M	-2.4M	0.82	3.24	129,933	106,014	1,450,470	620,712
2022-10-27	$10.07	$12.00	94.9%	27.8%	104.6%	54.5%	98.5%	6.7%	1.0%	1.6M	150.9M	-2.2M	0.78	3.36	108,133	84,489	1,459,914	628,947
2022-10-28	$9.65	$11.50	97.1%	28.8%	103.9%	55.6%	101.2%	7.4%	1.3%	1.1M	162.4M	-2.1M	0.48	3.54	175,258	83,862	1,476,716	629,864
2022-10-31	$9.78	$11.00	98.5%	30.9%	104.7%	57.5%	109.1%	5.2%	-1.5%	2.2M	124.9M	-2.2M	0.31	3.15	149,450	45,943	1,438,523	588,878