NIO Options History — January 2023

In January 2023, NIO traded between $9.66 and $12.80. ATM implied volatility averaged 77.0%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 12.3% (HV 20d: 64.8%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2023-01-27: Highest Volume — 410,205 contracts
2023-01-23: Largest IV drop — 6.5% change
2023-01-03: Highest IV Rank — 41.8%
2023-01-03: Largest Expected Move — 26.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.36	$9.66	$12.80	$9.66	$12.05
Max Pain	$11.43	$10.00	$13.00	$13.00	$10.00
ATM IV	77.0%	69.5%	90.3%	90.3%	74.7%
Expected Move	22.5%	20.3%	26.0%	26.0%	21.4%
HV 20d	64.8%	52.3%	69.5%	52.3%	66.3%
HV 60d	94.4%	87.0%	100.2%	98.4%	88.5%
IV Rank	21.5%	9.6%	41.8%	41.8%	17.4%
IV Percentile	26.7%	4.4%	75.8%	75.8%	16.7%
Term Structure	0.3%	-4.5%	4.1%	-0.2%	1.0%
VWIV	79.2%	72.0%	91.7%	91.7%	76.8%
Skew 25d	4.7%	0.4%	8.7%	8.7%	4.3%
Skew 10d	10.1%	3.3%	16.7%	16.7%	7.9%
Call IV 25d	76.6%	68.6%	87.3%	87.3%	74.8%
Put IV 25d	81.3%	70.9%	95.9%	95.9%	79.1%
Bid-Ask Spread %	2.24	1.48	3.58	1.92	2.50
Gamma HHI	0.10	0.06	0.15	0.06	0.11
Net GEX	4.0M	1.2M	7.4M	1.2M	5.6M
Net DEX	-63.5M	-249.6M	78.1M	78.1M	-138.7M
Net VEX	-2.1M	-2.3M	-1.8M	-1.8M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.19	0.93	0.45	0.34
Total Volume	184,051.5	96,446	410,205	172,286	116,313
Total OI	1,620,717.85	1,165,046	1,899,651	1,728,049	1,312,289

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
2023-01-03	$9.66	$13.00	90.3%	26.0%	52.3%	41.8%	91.7%	8.7%	-0.2%	1.2M	78.1M	-1.8M	0.45	1.92	118,918	53,368	1,257,583	470,466
2023-01-04	$10.59	$13.00	85.3%	24.3%	64.6%	34.4%	86.0%	6.2%	-0.3%	2.9M	9.2M	-2.0M	0.69	1.99	142,783	98,012	1,284,179	473,640
2023-01-05	$10.86	$12.50	84.7%	25.0%	64.5%	33.6%	84.9%	6.5%	-0.3%	3.4M	-11.6M	-2.0M	0.67	2.36	84,886	56,636	1,299,165	487,068
2023-01-06	$10.34	$12.50	83.3%	24.6%	65.1%	31.6%	85.5%	5.5%	1.0%	1.8M	43.7M	-1.9M	0.43	2.03	187,242	81,119	1,314,839	497,229
2023-01-09	$10.77	$12.50	80.7%	24.2%	63.6%	27.7%	82.2%	6.5%	4.1%	2.9M	82.5K	-2.0M	0.41	1.72	145,129	59,825	1,277,813	471,109
2023-01-10	$11.18	$12.50	79.2%	23.9%	63.9%	25.5%	81.1%	5.3%	4.1%	4.0M	-49.5M	-2.1M	0.49	1.80	89,592	44,224	1,326,319	474,749
2023-01-11	$11.54	$12.50	77.9%	22.2%	65.1%	23.7%	78.4%	6.4%	-0.9%	4.8M	-76.3M	-2.2M	0.93	2.17	101,755	95,125	1,346,734	485,595
2023-01-12	$11.73	$12.50	77.3%	22.0%	65.5%	22.7%	79.1%	4.9%	-0.6%	5.5M	-96.2M	-2.2M	0.76	2.35	102,231	77,210	1,365,039	498,332
2023-01-13	$11.75	$12.50	72.4%	20.5%	65.0%	15.5%	75.9%	5.0%	-0.8%	4.4M	-102.4M	-2.2M	0.31	1.82	124,038	38,623	1,391,731	507,920
2023-01-17	$11.36	$12.50	74.7%	21.4%	65.6%	17.6%	78.0%	3.3%	0.1%	3.8M	-32.4M	-2.1M	0.32	1.93	100,619	32,450	1,324,260	467,890
2023-01-18	$11.02	$12.50	77.4%	22.2%	66.3%	21.4%	76.2%	5.1%	-3.8%	3.4M	-9.5M	-2.0M	0.77	2.01	92,315	71,350	1,357,300	476,283
2023-01-19	$10.84	$10.00	77.7%	22.5%	63.4%	21.9%	78.2%	5.3%	-3.8%	2.4M	79.8K	-1.9M	0.66	1.90	84,201	55,594	1,372,654	479,803
2023-01-20	$11.04	$10.00	74.6%	21.8%	63.8%	17.2%	74.2%	5.3%	-4.5%	3.2M	-30.3M	-2.0M	0.40	1.48	134,670	54,034	1,390,772	484,415
2023-01-23	$12.07	$10.00	69.7%	20.5%	69.5%	9.9%	72.0%	4.5%	1.8%	4.7M	-131.8M	-2.2M	0.38	2.67	185,395	71,118	804,955	360,091
2023-01-24	$11.64	$10.00	70.8%	21.1%	69.4%	11.5%	76.9%	0.4%	2.7%	4.0M	-88.7M	-2.0M	0.39	3.58	93,807	36,151	849,207	385,730
2023-01-25	$11.68	$10.00	70.8%	21.2%	68.5%	11.6%	75.1%	2.8%	1.5%	4.8M	-98.8M	-2.0M	0.46	2.59	66,014	30,432	876,996	387,524
2023-01-26	$12.13	$10.00	69.5%	20.3%	62.6%	9.6%	72.1%	1.5%	1.4%	7.4M	-158.7M	-2.2M	0.35	2.59	126,230	44,364	895,532	392,599
2023-01-27	$12.80	$10.00	73.2%	21.6%	62.8%	15.1%	77.7%	2.1%	1.3%	5.2M	-249.6M	-2.3M	0.19	3.02	345,770	64,435	909,281	403,242
2023-01-30	$12.07	$10.00	76.9%	22.7%	67.8%	20.6%	81.6%	4.7%	1.1%	4.7M	-125.9M	-2.2M	0.33	2.38	131,969	43,083	880,798	373,226
2023-01-31	$12.05	$10.00	74.7%	21.4%	66.3%	17.4%	76.8%	4.3%	1.0%	5.6M	-138.7M	-2.2M	0.34	2.50	86,687	29,626	925,582	386,707