NIO Options History — June 2023

In June 2023, NIO traded between $7.51 and $9.77. ATM implied volatility averaged 68.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 3.8% (HV 20d: 64.3%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.36.

Notable Days

2023-06-15: Highest Volume — 488,206 contracts
2023-06-09: Largest IV drop — 20.0% change
2023-06-08: Highest IV Rank — 42.2%
2023-06-01: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.65	$7.51	$9.77	$7.51	$9.68
Max Pain	$6.57	$6.00	$8.00	$7.50	$7.00
ATM IV	68.1%	61.5%	83.2%	78.4%	61.9%
Expected Move	19.8%	17.4%	27.1%	27.1%	17.5%
HV 20d	64.3%	55.7%	71.1%	65.5%	62.7%
HV 60d	63.0%	60.5%	65.5%	61.3%	63.0%
IV Rank	11.4%	0.0%	42.2%	32.0%	0.9%
IV Percentile	17.3%	0.0%	74.2%	51.6%	0.8%
Term Structure	-0.4%	-2.1%	1.0%	-1.6%	0.6%
VWIV	72.1%	61.5%	97.2%	95.8%	62.8%
Skew 25d	-5.7%	-9.5%	-0.6%	-0.6%	-6.9%
Skew 10d	-7.5%	-18.5%	14.1%	0.1%	-13.0%
Call IV 25d	73.8%	66.4%	86.4%	82.2%	68.1%
Put IV 25d	68.1%	60.5%	85.3%	81.6%	61.1%
Bid-Ask Spread %	2.59	2.18	3.16	2.18	2.76
Gamma HHI	0.13	0.08	0.17	0.14	0.16
Net GEX	4.6M	1.9M	8.1M	2.5M	6.1M
Net DEX	-183.1M	-423.2M	-15.3M	-15.3M	-340.0M
Net VEX	-1.9M	-2.2M	-1.6M	-1.6M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.22	0.54	0.34	0.23
Total Volume	233,976.524	78,820	488,206	217,376	291,061
Total OI	1,766,258.857	1,529,052	2,040,092	1,736,842	1,719,483

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
2023-06-01	$7.51	$7.50	78.4%	27.1%	65.5%	32.0%	95.8%	-0.6%	-1.6%	2.5M	-15.3M	-1.6M	0.34	2.18	162,290	55,086	1,163,987	572,855
2023-06-02	$7.59	$7.50	75.7%	26.4%	62.7%	26.5%	97.2%	-3.8%	-1.3%	2.2M	-34.1M	-1.6M	0.38	2.41	169,189	64,318	1,200,006	579,378
2023-06-05	$7.70	$7.00	76.7%	21.4%	62.6%	28.6%	76.3%	-0.9%	-1.0%	1.9M	-44.1M	-1.7M	0.25	2.35	117,728	29,412	1,127,417	569,928
2023-06-06	$7.83	$7.00	76.6%	21.5%	62.8%	28.3%	77.6%	-1.7%	-1.5%	2.4M	-56.9M	-1.7M	0.32	2.97	155,189	49,195	1,179,036	584,056
2023-06-07	$7.79	$6.00	78.7%	22.0%	62.7%	32.7%	78.1%	-5.9%	-2.1%	2.6M	-71.9M	-1.8M	0.40	2.61	56,502	22,318	1,213,256	601,059
2023-06-08	$7.74	$7.00	83.2%	23.0%	62.7%	42.2%	82.9%	-1.2%	-1.5%	2.6M	-69.3M	-1.8M	0.54	2.32	62,823	34,104	1,247,716	614,598
2023-06-09	$7.71	$7.00	66.6%	19.8%	61.2%	7.3%	76.6%	-4.4%	0.2%	2.0M	-54.0M	-1.7M	0.44	2.50	239,772	104,894	1,313,836	664,418
2023-06-12	$8.43	$6.00	65.5%	18.6%	66.8%	5.1%	70.3%	-6.3%	-0.3%	4.5M	-157.6M	-1.8M	0.45	2.45	306,336	136,988	1,229,497	606,319
2023-06-13	$8.82	$6.00	64.5%	18.8%	67.7%	3.1%	67.5%	-9.5%	0.9%	6.1M	-237.7M	-1.8M	0.32	2.49	249,551	80,507	1,273,973	625,026
2023-06-14	$9.07	$6.00	65.3%	18.5%	66.0%	4.6%	70.3%	-5.0%	-0.1%	7.5M	-282.8M	-1.9M	0.46	2.78	171,919	79,853	1,305,507	629,350
2023-06-15	$9.77	$6.00	67.8%	19.4%	70.1%	10.0%	72.2%	-9.3%	-0.6%	8.1M	-423.2M	-2.1M	0.36	3.16	358,081	130,125	1,338,289	641,304
2023-06-16	$9.43	$7.00	63.4%	17.8%	71.1%	0.8%	65.8%	-8.1%	-1.8%	4.6M	-315.4M	-2.0M	0.26	2.42	339,360	88,658	1,354,659	685,433
2023-06-20	$9.30	$7.00	66.9%	19.2%	71.1%	8.0%	70.4%	-9.0%	-2.1%	5.5M	-233.2M	-2.1M	0.37	3.09	124,923	45,756	1,055,787	473,265
2023-06-21	$9.07	$8.00	63.5%	18.2%	65.6%	0.8%	64.9%	-7.2%	0.0%	5.4M	-202.5M	-2.0M	0.46	2.56	187,728	86,475	1,099,145	481,664
2023-06-22	$8.93	$6.00	62.2%	17.8%	65.8%	0.0%	66.5%	-6.1%	1.0%	4.6M	-193.1M	-2.0M	0.25	2.43	90,323	22,459	1,155,632	520,862
2023-06-23	$8.45	$6.00	61.8%	17.7%	59.1%	0.0%	64.1%	-6.3%	0.4%	3.5M	-120.2M	-1.9M	0.41	3.01	141,214	57,799	1,169,209	525,290
2023-06-26	$8.48	$6.00	63.1%	17.9%	55.7%	2.5%	66.3%	-6.3%	0.1%	4.2M	-143.7M	-1.9M	0.29	2.19	72,808	21,465	1,100,346	482,525
2023-06-27	$9.32	$6.00	63.6%	18.1%	63.9%	3.6%	63.4%	-8.0%	0.2%	6.5M	-267.4M	-2.1M	0.49	2.77	170,862	84,303	1,117,081	491,279
2023-06-28	$9.54	$6.00	62.7%	17.4%	61.9%	1.8%	61.5%	-7.0%	0.5%	7.5M	-303.6M	-2.1M	0.22	2.55	137,630	30,809	1,152,778	522,614
2023-06-29	$9.41	$6.00	61.5%	17.5%	62.4%	0.0%	62.6%	-5.9%	0.6%	7.4M	-279.8M	-2.1M	0.31	2.41	64,078	19,616	1,172,128	531,445
2023-06-30	$9.68	$7.00	61.9%	17.5%	62.7%	0.9%	62.8%	-6.9%	0.6%	6.1M	-340.0M	-2.2M	0.23	2.76	236,735	54,326	1,183,995	535,488