NIO Options History — August 2023

In August 2023, NIO traded between $10.34 and $15.41. ATM implied volatility averaged 74.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 2.8% (HV 20d: 72.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.46.

Notable Days

2023-08-29: Highest Volume — 528,386 contracts
2023-08-29: Largest IV drop — 8.5% change
2023-08-03: Highest IV Rank — 45.4%
2023-08-02: Largest Expected Move — 24.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.30	$10.34	$15.41	$14.68	$10.34
Max Pain	$11.80	$10.00	$12.00	$10.00	$11.50
ATM IV	74.8%	63.6%	83.9%	82.0%	63.6%
Expected Move	21.6%	17.7%	24.1%	23.1%	17.7%
HV 20d	72.0%	42.8%	87.1%	78.3%	42.8%
HV 60d	69.6%	68.0%	72.0%	68.9%	68.7%
IV Rank	27.0%	4.3%	45.4%	41.7%	4.3%
IV Percentile	48.8%	4.4%	81.3%	75.0%	4.4%
Term Structure	-1.1%	-2.9%	0.8%	-0.2%	-0.3%
VWIV	79.4%	64.9%	86.3%	85.1%	66.0%
Skew 25d	-10.1%	-18.2%	-4.2%	-17.7%	-7.9%
Skew 10d	-20.1%	-33.4%	-11.1%	-32.2%	-15.4%
Call IV 25d	83.9%	71.1%	98.5%	97.1%	71.1%
Put IV 25d	73.8%	63.2%	80.5%	79.4%	63.2%
Bid-Ask Spread %	2.47	1.80	2.93	2.65	2.37
Gamma HHI	0.08	0.07	0.11	0.09	0.08
Net GEX	6.5M	3.2M	13.6M	10.5M	5.2M
Net DEX	-483.8M	-1.08B	-210.8M	-922.2M	-218.0M
Net VEX	-3.4M	-4.0M	-3.0M	-3.9M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.26	0.74	0.43	0.39
Total Volume	205,459.652	84,826	528,386	309,425	160,515
Total OI	1,951,287.478	1,713,830	2,096,914	2,022,736	1,981,530

Daily Data (23 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
2023-08-01	$14.68	$10.00	82.0%	23.1%	78.3%	41.7%	85.1%	-17.7%	-0.2%	10.5M	-922.2M	-3.9M	0.43	2.65	215,923	93,502	1,360,461	662,275
2023-08-02	$14.57	$10.00	82.4%	24.1%	78.8%	42.4%	86.3%	-14.6%	-0.5%	10.3M	-886.2M	-3.9M	0.57	2.23	175,431	99,274	1,380,297	676,937
2023-08-03	$15.41	$12.00	83.9%	22.9%	73.5%	45.4%	84.6%	-18.2%	-1.0%	13.6M	-1.08B	-4.0M	0.45	2.26	280,513	125,656	1,391,131	680,765
2023-08-04	$14.73	$12.00	80.7%	23.0%	77.2%	39.0%	84.0%	-17.3%	0.3%	8.9M	-898.0M	-3.9M	0.37	1.80	276,304	101,044	1,403,140	693,774
2023-08-07	$14.73	$12.00	79.5%	23.0%	74.4%	36.6%	81.9%	-13.1%	0.8%	10.1M	-877.3M	-4.0M	0.54	2.14	125,689	67,643	1,333,841	623,608
2023-08-08	$14.09	$12.00	79.2%	22.6%	77.3%	36.0%	86.1%	-13.5%	-0.5%	8.6M	-755.1M	-3.9M	0.58	2.33	123,282	71,154	1,368,757	647,179
2023-08-09	$13.52	$12.00	75.7%	21.7%	79.3%	28.8%	78.4%	-12.0%	-0.1%	7.3M	-659.6M	-3.7M	0.34	2.32	136,866	47,128	1,398,876	645,765
2023-08-10	$13.34	$12.00	75.2%	21.3%	77.9%	27.8%	77.9%	-11.2%	-0.9%	7.0M	-627.1M	-3.7M	0.41	2.54	92,129	38,042	1,400,275	651,769
2023-08-11	$12.98	$12.00	73.6%	21.1%	78.4%	24.6%	78.8%	-11.3%	-0.1%	6.6M	-545.8M	-3.6M	0.58	2.67	116,095	66,806	1,415,434	655,866
2023-08-14	$12.52	$12.00	73.5%	21.1%	80.1%	24.4%	81.0%	-9.9%	-2.4%	6.1M	-490.3M	-3.4M	0.47	2.77	114,976	53,622	1,318,134	617,045
2023-08-15	$11.84	$12.00	74.2%	21.2%	82.9%	25.8%	79.6%	-7.9%	-1.2%	5.1M	-382.4M	-3.3M	0.46	2.51	134,546	61,660	1,348,880	634,025
2023-08-16	$11.43	$12.00	72.3%	20.7%	83.9%	21.9%	78.3%	-8.8%	-0.5%	5.0M	-328.7M	-3.2M	0.74	2.21	79,515	58,826	1,376,414	639,122
2023-08-17	$11.52	$12.00	76.3%	22.0%	82.9%	30.0%	79.5%	-9.0%	-2.9%	4.8M	-350.2M	-3.2M	0.37	2.93	134,212	49,739	1,391,868	655,388
2023-08-18	$10.71	$12.00	76.7%	22.3%	87.1%	30.8%	81.5%	-6.8%	-2.9%	3.2M	-215.5M	-3.0M	0.64	2.70	134,292	85,676	1,419,044	659,657
2023-08-21	$11.00	$12.00	75.5%	22.1%	78.8%	28.5%	81.4%	-6.4%	-2.0%	3.8M	-240.7M	-3.1M	0.34	2.74	121,205	40,811	1,191,370	522,460
2023-08-22	$10.73	$12.00	75.9%	22.7%	78.9%	29.2%	83.0%	-5.9%	-2.3%	3.6M	-210.8M	-3.0M	0.39	2.54	75,472	29,074	1,227,343	536,255
2023-08-23	$10.91	$12.00	74.9%	22.4%	68.4%	27.2%	81.5%	-5.9%	-1.8%	4.7M	-242.7M	-3.1M	0.26	2.64	71,962	18,805	1,254,693	540,172
2023-08-24	$10.66	$12.00	72.2%	21.6%	68.5%	21.8%	80.1%	-7.8%	-1.3%	3.9M	-210.9M	-3.0M	0.48	2.66	57,285	27,541	1,275,159	541,941
2023-08-25	$10.80	$12.00	69.7%	20.4%	54.4%	16.6%	75.3%	-6.9%	-0.7%	4.3M	-224.5M	-3.0M	0.44	2.54	76,633	33,566	1,285,443	547,657
2023-08-28	$11.00	$12.00	72.6%	22.7%	51.2%	22.6%	82.3%	-4.2%	-1.5%	4.8M	-261.1M	-3.1M	0.45	2.86	119,562	53,843	1,217,111	520,912
2023-08-29	$10.82	$12.00	66.5%	19.1%	50.4%	10.1%	69.5%	-7.9%	-0.6%	5.3M	-245.8M	-3.1M	0.42	2.18	372,894	155,492	1,280,702	546,801
2023-08-30	$10.66	$12.00	63.9%	17.7%	50.3%	4.9%	64.9%	-7.1%	-1.9%	6.0M	-259.8M	-3.1M	0.40	2.32	107,940	43,427	1,389,365	570,971
2023-08-31	$10.34	$11.50	63.6%	17.7%	42.8%	4.3%	66.0%	-7.9%	-0.3%	5.2M	-218.0M	-3.0M	0.39	2.37	115,542	44,973	1,411,119	570,411