NIO Options History — December 2022

In December 2022, NIO traded between $9.68 and $13.36. ATM implied volatility averaged 83.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 11.4% (HV 20d: 94.7%). Max pain ranged from $11.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2022-12-02: Highest Volume — 452,391 contracts
2022-12-27: Largest IV spike — 9.7% change
2022-12-05: Highest IV Rank — 41.2%
2022-12-02: Largest Expected Move — 26.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.72	$9.68	$13.36	$12.16	$9.68
Max Pain	$14.50	$11.00	$15.00	$11.50	$13.00
ATM IV	83.3%	78.1%	89.1%	84.0%	87.1%
Expected Move	24.0%	22.3%	26.4%	25.4%	24.3%
HV 20d	94.7%	61.3%	125.2%	123.4%	61.3%
HV 60d	102.7%	99.6%	108.2%	106.9%	99.6%
IV Rank	32.8%	25.5%	41.2%	33.9%	37.1%
IV Percentile	52.0%	33.7%	71.8%	55.6%	65.9%
Term Structure	0.6%	-0.6%	2.6%	0.3%	1.3%
VWIV	86.0%	80.4%	93.9%	90.2%	85.9%
Skew 25d	3.2%	-0.7%	8.1%	0.9%	8.1%
Skew 10d	6.6%	-1.0%	15.2%	5.3%	15.2%
Call IV 25d	84.0%	79.3%	91.7%	85.4%	83.7%
Put IV 25d	87.2%	81.6%	94.4%	86.3%	91.8%
Bid-Ask Spread %	1.83	1.30	2.58	2.17	1.84
Gamma HHI	0.08	0.05	0.23	0.08	0.06
Net GEX	3.8M	614.1K	9.7M	5.6M	900.5K
Net DEX	-56.4M	-299.6M	94.9M	-139.0M	93.1M
Net VEX	-2.5M	-3.1M	-1.8M	-2.8M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.37	1.07	0.63	0.46
Total Volume	172,433.143	109,983	452,391	209,267	112,784
Total OI	1,952,523.381	1,707,934	2,163,985	2,123,796	1,813,591

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
2022-12-01	$12.16	$11.50	84.0%	25.4%	123.4%	33.9%	90.2%	0.9%	0.3%	5.6M	-139.0M	-2.8M	0.63	2.17	128,700	80,567	1,508,934	614,862
2022-12-02	$13.11	$11.00	86.6%	26.4%	125.2%	37.6%	93.9%	-0.7%	-0.1%	9.7M	-299.6M	-3.0M	0.39	2.58	324,412	127,979	1,521,515	608,728
2022-12-05	$12.84	$15.00	89.1%	25.2%	114.3%	41.2%	91.1%	0.8%	-0.1%	5.3M	-172.2M	-3.0M	0.40	1.70	183,049	73,911	1,448,499	567,238
2022-12-06	$13.18	$15.00	89.0%	25.4%	112.7%	41.1%	90.8%	0.2%	0.3%	7.0M	-225.5M	-3.1M	0.44	1.78	140,124	60,971	1,499,760	582,996
2022-12-07	$12.66	$15.00	87.4%	25.0%	112.3%	38.8%	93.3%	3.3%	0.7%	5.7M	-147.1M	-2.9M	0.72	1.72	111,979	80,897	1,513,889	594,333
2022-12-08	$13.36	$15.00	82.5%	24.1%	101.3%	31.7%	85.4%	1.5%	1.7%	7.9M	-244.3M	-3.0M	0.37	1.46	166,414	61,717	1,532,323	600,250
2022-12-09	$12.70	$15.00	82.4%	23.7%	98.0%	31.6%	85.7%	3.0%	2.6%	4.3M	-133.2M	-2.9M	0.45	1.44	130,044	58,831	1,544,849	619,136
2022-12-12	$12.45	$15.00	82.3%	23.7%	91.9%	31.4%	86.3%	4.1%	0.2%	4.4M	-90.5M	-2.7M	0.42	1.40	77,491	32,492	1,449,467	562,655
2022-12-13	$12.39	$15.00	79.4%	22.6%	91.6%	27.3%	82.6%	4.7%	-0.6%	4.7M	-83.3M	-2.7M	0.48	1.68	104,337	50,459	1,473,770	576,125
2022-12-14	$12.09	$15.00	78.8%	22.6%	92.2%	26.4%	82.9%	3.5%	0.5%	4.2M	-54.4M	-2.6M	0.78	1.30	74,699	58,480	1,492,804	586,078
2022-12-15	$11.82	$15.00	78.7%	22.8%	87.6%	26.3%	81.6%	1.4%	0.9%	3.6M	-24.6M	-2.5M	0.40	1.36	105,275	41,891	1,499,963	586,654
2022-12-16	$11.75	$15.00	78.1%	22.3%	87.7%	25.5%	82.2%	0.4%	-0.4%	2.8M	-8.5M	-2.5M	0.61	1.60	89,934	54,651	1,517,565	596,240
2022-12-19	$11.09	$15.00	81.2%	23.3%	90.1%	29.9%	84.7%	1.3%	-0.4%	1.9M	28.4M	-2.2M	0.49	2.34	85,242	42,095	1,244,401	463,533
2022-12-20	$11.11	$15.00	80.2%	23.0%	88.4%	28.4%	82.6%	2.9%	0.8%	2.3M	23.2M	-2.2M	0.47	2.12	76,510	35,999	1,272,621	471,890
2022-12-21	$11.64	$15.00	79.0%	22.6%	89.6%	26.6%	80.4%	3.3%	1.0%	3.5M	-17.7M	-2.3M	0.88	2.12	76,215	66,829	1,284,870	480,704
2022-12-22	$11.21	$15.00	81.4%	23.3%	88.6%	30.1%	81.2%	4.0%	-0.5%	2.2M	20.6M	-2.2M	0.56	2.13	74,026	41,374	1,301,866	488,294
2022-12-23	$10.91	$15.00	80.8%	23.1%	87.4%	29.3%	81.0%	3.8%	1.0%	877.7K	46.3M	-2.1M	0.53	2.22	93,835	49,989	1,310,584	489,014
2022-12-27	$10.11	$15.00	88.6%	25.5%	91.9%	40.6%	90.4%	6.7%	1.1%	1.2M	72.9M	-1.9M	0.67	1.93	91,708	61,026	1,266,412	464,615
2022-12-28	$9.82	$15.00	87.4%	24.8%	91.4%	38.8%	89.0%	6.9%	0.9%	614.1K	94.9M	-1.8M	1.07	1.78	83,378	89,039	1,280,618	489,064
2022-12-29	$9.98	$14.00	86.2%	24.2%	61.5%	35.8%	84.5%	7.6%	2.0%	1.0M	75.1M	-1.9M	0.51	1.87	80,688	41,055	1,292,580	489,701
2022-12-30	$9.68	$13.00	87.1%	24.3%	61.3%	37.1%	85.9%	8.1%	1.3%	900.5K	93.1M	-1.8M	0.46	1.84	77,085	35,699	1,314,170	499,421