NIO Options History — July 2023

In July 2023, NIO traded between $9.59 and $15.30. ATM implied volatility averaged 70.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 2.5% (HV 20d: 67.8%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.33.

Notable Days

2023-07-26: Highest Volume — 625,525 contracts
2023-07-28: Largest IV spike — 12.4% change
2023-07-31: Highest IV Rank — 63.1%
2023-07-31: Largest Expected Move — 28.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.31	$9.59	$15.30	$9.96	$15.30
Max Pain	$8.95	$7.00	$10.00	$7.00	$10.00
ATM IV	70.3%	63.2%	92.6%	63.7%	92.6%
Expected Move	20.3%	17.4%	28.0%	17.4%	28.0%
HV 20d	67.8%	62.9%	74.9%	62.9%	74.9%
HV 60d	64.4%	61.1%	68.5%	63.0%	68.5%
IV Rank	17.9%	3.6%	63.1%	4.5%	63.1%
IV Percentile	29.7%	2.8%	93.3%	4.4%	93.3%
Term Structure	0.4%	-3.4%	3.3%	0.1%	-3.4%
VWIV	74.3%	63.1%	100.6%	63.1%	100.6%
Skew 25d	-11.1%	-21.7%	-6.4%	-8.5%	-21.7%
Skew 10d	-17.4%	-34.0%	-9.2%	-12.6%	-34.0%
Call IV 25d	80.2%	70.9%	109.3%	71.4%	109.3%
Put IV 25d	69.0%	62.7%	87.6%	62.9%	87.6%
Bid-Ask Spread %	2.46	2.02	2.91	2.54	2.14
Gamma HHI	0.14	0.09	0.45	0.17	0.09
Net GEX	9.7M	6.9M	15.8M	7.7M	10.2M
Net DEX	-536.3M	-1.07B	-285.5M	-351.1M	-1.04B
Net VEX	-2.8M	-3.9M	-2.3M	-2.3M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.18	0.51	0.32	0.51
Total Volume	316,882.3	158,862	625,525	245,595	507,249
Total OI	1,823,023.65	1,644,642	1,992,422	1,644,642	1,871,065

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
2023-07-03	$9.96	$7.00	63.7%	17.4%	62.9%	4.5%	63.1%	-8.5%	0.1%	7.7M	-351.1M	-2.3M	0.32	2.54	186,231	59,364	1,142,308	502,334
2023-07-05	$10.23	$7.00	63.2%	18.3%	63.1%	3.6%	66.1%	-8.4%	0.6%	9.0M	-401.8M	-2.4M	0.18	2.86	259,118	45,848	1,192,769	516,925
2023-07-06	$9.59	$9.00	64.2%	19.0%	69.0%	5.5%	70.8%	-6.4%	0.4%	6.9M	-285.5M	-2.3M	0.31	2.02	161,681	50,545	1,243,177	532,810
2023-07-07	$9.98	$9.00	65.3%	19.2%	69.5%	7.8%	69.2%	-10.9%	0.1%	15.8M	-361.5M	-2.4M	0.26	2.33	209,317	54,089	1,265,679	537,776
2023-07-10	$10.77	$9.00	71.4%	20.7%	72.7%	20.1%	74.5%	-9.9%	1.1%	8.9M	-482.7M	-2.6M	0.26	2.52	295,011	75,382	1,201,277	504,814
2023-07-11	$10.80	$9.00	68.3%	19.5%	72.5%	13.7%	69.8%	-9.5%	-0.2%	9.9M	-487.6M	-2.6M	0.31	2.26	197,555	61,646	1,256,805	538,320
2023-07-12	$11.16	$9.00	67.2%	19.6%	67.6%	11.7%	69.9%	-7.9%	1.6%	10.6M	-558.1M	-2.6M	0.20	2.38	272,972	54,603	1,270,053	553,437
2023-07-13	$10.75	$9.00	67.4%	20.1%	68.9%	12.1%	75.5%	-7.7%	3.3%	10.4M	-479.4M	-2.7M	0.40	2.59	184,508	73,596	1,305,019	559,659
2023-07-14	$10.55	$9.00	67.6%	19.9%	69.2%	12.4%	71.1%	-8.5%	3.1%	10.3M	-436.6M	-2.6M	0.29	2.39	150,057	43,483	1,340,372	567,902
2023-07-17	$10.59	$9.00	71.7%	20.8%	64.6%	20.8%	75.9%	-9.2%	-2.2%	8.6M	-422.0M	-2.6M	0.35	2.22	123,110	43,596	1,248,821	524,148
2023-07-18	$10.43	$9.00	68.1%	19.5%	63.3%	13.5%	73.3%	-11.4%	2.7%	9.0M	-411.1M	-2.7M	0.36	2.46	117,181	41,681	1,293,720	534,496
2023-07-19	$10.66	$9.00	69.3%	19.9%	63.2%	15.8%	72.0%	-11.1%	-1.3%	9.6M	-456.0M	-2.7M	0.29	2.38	156,101	44,873	1,317,544	552,406
2023-07-20	$10.32	$9.00	65.6%	18.7%	63.7%	8.3%	71.8%	-11.3%	2.6%	6.9M	-372.9M	-2.6M	0.37	2.17	129,016	47,299	1,335,746	568,850
2023-07-21	$10.55	$9.00	67.6%	19.5%	63.4%	12.5%	71.7%	-12.2%	-1.1%	6.9M	-442.8M	-2.7M	0.37	2.36	139,258	51,160	1,365,056	570,945
2023-07-24	$11.71	$9.00	70.8%	20.3%	67.4%	18.8%	73.9%	-12.8%	-0.7%	8.7M	-524.8M	-2.8M	0.29	2.67	362,693	106,382	1,181,372	485,917
2023-07-25	$11.89	$9.00	72.2%	20.6%	67.2%	21.7%	75.3%	-13.6%	0.4%	10.2M	-556.2M	-2.9M	0.32	2.84	310,522	97,813	1,251,644	530,324
2023-07-26	$13.18	$9.00	73.1%	20.9%	68.6%	23.5%	76.6%	-12.4%	1.5%	12.0M	-808.3M	-3.3M	0.40	2.91	447,451	178,074	1,299,404	557,562
2023-07-27	$13.18	$10.00	73.6%	21.1%	68.8%	24.6%	78.4%	-13.6%	0.5%	11.0M	-775.2M	-3.4M	0.37	2.64	282,577	104,612	1,324,726	622,869
2023-07-28	$14.63	$10.00	82.7%	24.0%	74.5%	43.1%	86.9%	-15.8%	-0.8%	11.8M	-1.07B	-3.6M	0.40	2.48	438,271	173,721	1,349,837	642,585
2023-07-31	$15.30	$10.00	92.6%	28.0%	74.9%	63.1%	100.6%	-21.7%	-3.4%	10.2M	-1.04B	-3.9M	0.51	2.14	336,406	170,843	1,273,930	597,135