NIO Options History — February 2023

In February 2023, NIO traded between $9.27 and $12.20. ATM implied volatility averaged 80.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 26.6% (HV 20d: 53.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2023-02-02: Highest Volume — 192,607 contracts
2023-02-17: Largest IV drop — 4.9% change
2023-02-16: Highest IV Rank — 30.6%
2023-02-28: Largest Expected Move — 26.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.41	$9.27	$12.20	$12.20	$9.32
Max Pain	$11.21	$10.00	$12.50	$10.50	$10.00
ATM IV	80.1%	72.9%	83.5%	72.9%	82.7%
Expected Move	23.8%	21.1%	26.5%	21.1%	26.5%
HV 20d	53.5%	32.4%	66.1%	66.1%	32.4%
HV 60d	73.2%	57.5%	88.2%	88.2%	57.5%
IV Rank	25.5%	14.7%	30.6%	14.7%	29.4%
IV Percentile	37.8%	11.9%	51.2%	11.9%	48.4%
Term Structure	-0.6%	-4.7%	3.9%	2.1%	-1.5%
VWIV	84.9%	75.0%	94.3%	75.0%	94.3%
Skew 25d	3.3%	0.4%	5.9%	4.8%	0.8%
Skew 10d	4.4%	-5.3%	9.4%	9.4%	2.9%
Call IV 25d	81.8%	74.1%	88.7%	74.1%	85.4%
Put IV 25d	85.0%	78.4%	89.1%	78.9%	86.2%
Bid-Ask Spread %	2.87	1.63	6.70	6.70	2.35
Gamma HHI	0.10	0.07	0.16	0.12	0.07
Net GEX	2.3M	378.0K	6.0M	6.0M	1.6M
Net DEX	-23.2M	-142.1M	38.6M	-142.1M	5.0M
Net VEX	-1.9M	-2.3M	-1.7M	-2.2M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.22	0.68	0.32	0.58
Total Volume	126,310.316	83,026	192,607	167,016	167,250
Total OI	1,402,667	1,314,927	1,506,784	1,338,412	1,457,529

Daily Data (19 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
2023-02-01	$12.20	$10.50	72.9%	21.1%	66.1%	14.7%	75.0%	4.8%	2.1%	6.0M	-142.1M	-2.2M	0.32	6.70	126,154	40,862	941,532	396,880
2023-02-02	$11.93	$12.50	74.2%	22.0%	59.9%	16.7%	78.0%	3.6%	-0.1%	5.6M	-124.4M	-2.3M	0.25	2.68	154,286	38,321	962,845	404,606
2023-02-03	$11.20	$12.50	77.0%	23.4%	64.2%	20.8%	79.9%	5.0%	-0.6%	3.2M	-40.8M	-2.0M	0.48	3.03	124,584	60,313	992,330	412,388
2023-02-06	$10.89	$12.50	79.1%	24.0%	62.4%	24.0%	83.5%	3.4%	3.9%	2.8M	-33.7M	-2.0M	0.41	2.08	109,883	44,604	935,387	389,817
2023-02-07	$10.89	$12.50	79.0%	23.7%	60.7%	23.9%	83.0%	5.9%	3.2%	3.0M	-36.3M	-2.0M	0.30	2.38	87,519	26,171	969,632	411,884
2023-02-08	$10.68	$12.50	80.1%	23.6%	59.5%	25.5%	83.5%	3.2%	2.0%	2.6M	-20.0M	-2.0M	0.37	1.63	63,087	23,583	990,085	425,125
2023-02-09	$10.46	$12.50	80.4%	23.9%	58.4%	25.9%	84.8%	3.4%	3.7%	1.7M	-525.9K	-2.0M	0.46	2.80	77,771	35,575	1,005,644	435,234
2023-02-10	$10.30	$12.50	79.4%	23.2%	58.0%	24.5%	81.7%	3.7%	1.6%	1.7M	18.7M	-1.9M	0.68	2.34	59,479	40,519	1,018,913	444,661
2023-02-13	$10.32	$12.50	82.1%	23.8%	58.0%	28.5%	85.8%	3.2%	-4.2%	1.7M	-5.5M	-1.9M	0.41	2.77	63,776	26,180	949,740	419,490
2023-02-14	$10.29	$12.50	80.0%	23.0%	57.1%	25.4%	82.5%	4.3%	-2.3%	1.4M	-5.2M	-1.9M	0.24	3.59	99,697	23,900	970,933	428,948
2023-02-15	$10.43	$10.00	82.3%	23.6%	56.6%	28.8%	83.0%	5.1%	-4.7%	2.4M	-29.6M	-1.9M	0.36	2.34	64,282	22,986	999,990	436,776
2023-02-16	$10.21	$10.00	83.5%	24.0%	56.8%	30.6%	87.1%	0.4%	-1.8%	1.4M	-19.5M	-1.9M	0.43	2.75	99,168	43,103	1,016,693	443,988
2023-02-17	$10.11	$10.00	79.4%	22.8%	56.3%	24.5%	84.2%	2.4%	-1.1%	378.0K	-16.8M	-1.9M	0.60	2.51	71,213	42,925	1,045,383	461,401
2023-02-21	$10.04	$10.00	82.9%	24.9%	44.1%	29.7%	88.9%	1.3%	-2.0%	2.3M	-22.7M	-1.9M	0.46	3.19	56,910	26,116	908,702	406,225
2023-02-22	$10.09	$10.00	81.2%	24.9%	43.2%	27.1%	89.5%	2.1%	-2.3%	2.6M	-21.6M	-1.9M	0.22	3.34	74,986	16,673	935,767	421,832
2023-02-23	$9.80	$10.00	80.7%	24.0%	43.7%	26.4%	88.6%	2.5%	-2.2%	2.0M	-3.6M	-1.9M	0.41	2.57	80,022	32,450	967,008	425,897
2023-02-24	$9.27	$10.00	81.9%	24.5%	43.0%	28.2%	87.3%	4.7%	-1.9%	1.1M	38.6M	-1.7M	0.55	2.66	86,155	47,433	988,347	436,867
2023-02-27	$9.27	$10.00	83.1%	25.6%	35.5%	29.9%	91.8%	2.6%	-2.6%	1.2M	18.3M	-1.8M	0.33	2.81	107,090	34,870	951,336	440,858
2023-02-28	$9.32	$10.00	82.7%	26.5%	32.4%	29.4%	94.3%	0.8%	-1.5%	1.6M	5.0M	-1.8M	0.58	2.35	106,136	61,114	998,204	459,325