NIO Options History — November 2022

In November 2022, NIO traded between $9.28 and $12.59. ATM implied volatility averaged 90.3%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded below realized volatility by 26.2% (HV 20d: 116.5%). Max pain ranged from $10.50 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2022-11-30: Highest Volume — 640,028 contracts
2022-11-10: Largest IV drop — 12.4% change
2022-11-09: Highest IV Rank — 63.4%
2022-11-01: Largest Expected Move — 29.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.57	$9.28	$12.59	$9.72	$12.59
Max Pain	$11.81	$10.50	$12.00	$10.50	$11.00
ATM IV	90.3%	81.9%	102.8%	94.5%	85.6%
Expected Move	26.3%	24.3%	29.5%	29.5%	26.3%
HV 20d	116.5%	99.2%	133.2%	99.2%	122.6%
HV 60d	95.9%	84.0%	106.9%	84.5%	106.9%
IV Rank	44.4%	30.9%	63.4%	52.1%	36.3%
IV Percentile	74.2%	48.0%	95.6%	85.7%	63.9%
Term Structure	-1.0%	-4.2%	1.6%	0.1%	-0.6%
VWIV	94.0%	85.8%	107.4%	107.4%	94.9%
Skew 25d	4.1%	-0.6%	6.9%	3.8%	-0.5%
Skew 10d	10.1%	2.0%	13.1%	9.7%	2.0%
Call IV 25d	91.0%	80.4%	102.8%	95.4%	88.7%
Put IV 25d	95.1%	86.4%	108.8%	99.2%	88.2%
Bid-Ask Spread %	1.81	1.28	3.06	2.74	2.64
Gamma HHI	0.08	0.06	0.30	0.06	0.09
Net GEX	3.5M	1.3M	9.0M	2.6M	6.8M
Net DEX	30.0M	-215.2M	142.5M	117.1M	-215.2M
Net VEX	-2.4M	-2.9M	-2.0M	-2.2M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.35	0.89	0.37	0.62
Total Volume	233,294.238	72,562	640,028	163,167	640,028
Total OI	2,078,456.762	1,939,341	2,243,635	2,074,495	2,018,846

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
2022-11-01	$9.72	$10.50	94.5%	29.5%	99.2%	52.1%	107.4%	3.8%	0.1%	2.6M	117.1M	-2.2M	0.37	2.74	119,453	43,714	1,479,903	594,592
2022-11-02	$9.58	$10.50	95.7%	29.4%	99.3%	53.6%	103.0%	4.2%	-1.3%	2.2M	136.6M	-2.1M	0.83	3.06	109,724	90,948	1,494,647	600,853
2022-11-03	$9.93	$12.00	92.2%	26.2%	99.4%	49.0%	94.0%	3.6%	-2.2%	3.2M	87.5M	-2.2M	0.89	1.45	95,105	84,944	1,510,215	589,382
2022-11-04	$11.57	$12.00	93.5%	26.8%	114.1%	50.7%	95.7%	4.2%	-1.0%	5.5M	-81.6M	-2.7M	0.46	1.33	290,858	134,919	1,520,212	607,125
2022-11-07	$11.01	$12.00	94.6%	26.7%	114.8%	52.2%	98.3%	5.1%	-1.6%	3.4M	18.8M	-2.6M	0.67	1.30	127,310	84,683	1,449,330	591,494
2022-11-08	$10.52	$12.00	94.6%	27.2%	114.8%	52.2%	95.7%	4.6%	0.9%	2.9M	58.0M	-2.4M	0.76	1.28	98,180	74,470	1,474,105	600,239
2022-11-09	$9.28	$12.00	102.8%	29.0%	121.7%	63.4%	105.7%	6.0%	-1.5%	1.3M	142.5M	-2.0M	0.59	1.85	157,924	93,223	1,487,035	603,694
2022-11-10	$10.36	$12.00	90.1%	26.2%	129.7%	46.1%	91.6%	5.0%	1.6%	3.3M	59.4M	-2.3M	0.56	1.53	169,051	94,317	1,539,506	610,469
2022-11-11	$11.50	$12.00	85.0%	24.6%	133.2%	39.3%	88.5%	5.0%	1.0%	9.0M	-61.8M	-2.6M	0.38	1.28	268,165	100,711	1,551,182	622,014
2022-11-14	$11.31	$12.00	88.9%	25.6%	132.7%	41.9%	91.1%	1.8%	-2.0%	3.8M	-4.6M	-2.5M	0.46	1.45	138,000	63,149	1,469,688	591,623
2022-11-15	$11.45	$12.00	90.2%	25.9%	132.8%	43.7%	92.1%	3.9%	-0.5%	5.0M	-39.7M	-2.6M	0.50	1.41	156,132	78,256	1,527,007	606,068
2022-11-16	$10.58	$12.00	94.2%	27.0%	128.7%	49.5%	99.4%	-0.6%	-2.6%	2.7M	50.3M	-2.4M	0.53	1.46	139,396	73,674	1,541,860	617,310
2022-11-17	$10.67	$12.00	93.4%	26.9%	128.6%	47.8%	94.6%	1.5%	-1.0%	3.5M	24.3M	-2.5M	0.58	1.65	157,129	90,614	1,583,640	624,008
2022-11-18	$10.47	$12.00	90.0%	26.0%	128.6%	42.6%	91.0%	2.4%	-2.2%	2.9M	47.4M	-2.3M	0.55	1.38	147,894	81,083	1,608,730	634,905
2022-11-21	$10.02	$12.00	90.9%	26.4%	114.2%	43.9%	96.4%	6.9%	-4.2%	2.1M	84.8M	-2.2M	0.59	2.13	112,623	66,359	1,409,047	537,424
2022-11-22	$10.00	$12.00	86.3%	24.7%	106.2%	37.3%	86.7%	6.0%	-1.2%	2.1M	73.0M	-2.2M	0.68	2.14	82,945	56,049	1,444,803	544,681
2022-11-23	$10.63	$12.00	83.3%	24.5%	108.3%	32.9%	85.9%	5.5%	0.3%	4.2M	2.2M	-2.3M	0.57	2.25	128,510	73,344	1,464,224	543,952
2022-11-25	$10.15	$12.00	84.6%	24.8%	106.2%	34.8%	87.0%	5.2%	-2.0%	1.9M	57.4M	-2.2M	0.49	1.97	48,608	23,954	1,475,582	559,121
2022-11-28	$10.14	$12.00	82.9%	25.0%	105.0%	32.3%	88.2%	6.2%	0.3%	2.1M	51.9M	-2.2M	0.60	1.92	88,313	52,919	1,411,122	528,219
2022-11-29	$10.52	$12.00	81.9%	24.3%	105.7%	30.9%	85.8%	6.0%	-0.2%	2.9M	20.9M	-2.3M	0.35	1.84	120,186	42,315	1,433,561	546,174
2022-11-30	$12.59	$11.00	85.6%	26.3%	122.6%	36.3%	94.9%	-0.5%	-0.6%	6.8M	-215.2M	-2.9M	0.62	2.64	395,762	244,266	1,462,248	556,598