NIO Options History — September 2023

In September 2023, NIO traded between $8.36 and $10.98. ATM implied volatility averaged 61.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 1.3% (HV 20d: 62.6%). Max pain ranged from $9.50 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.47.

Notable Days

2023-09-19: Highest Volume — 534,856 contracts
2023-09-19: Largest IV spike — 17.0% change
2023-09-26: Highest IV Rank — 23.6%
2023-09-25: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.60	$8.36	$10.98	$10.98	$9.02
Max Pain	$10.00	$9.50	$11.00	$11.00	$9.50
ATM IV	61.4%	55.0%	68.2%	63.2%	64.1%
Expected Move	17.7%	15.9%	19.5%	17.5%	18.8%
HV 20d	62.6%	43.3%	81.2%	50.2%	81.1%
HV 60d	70.6%	66.2%	76.2%	69.6%	72.8%
IV Rank	8.7%	0.0%	23.6%	3.6%	16.2%
IV Percentile	6.7%	0.0%	27.4%	2.8%	11.5%
Term Structure	0.4%	-1.1%	1.6%	-0.1%	-0.2%
VWIV	65.9%	57.4%	74.5%	65.3%	69.6%
Skew 25d	-3.2%	-7.8%	0.3%	-7.8%	0.3%
Skew 10d	-8.0%	-21.3%	1.2%	-16.7%	1.2%
Call IV 25d	65.9%	59.1%	71.0%	70.6%	67.4%
Put IV 25d	62.7%	54.3%	70.5%	62.7%	67.7%
Bid-Ask Spread %	2.52	2.24	2.89	2.29	2.57
Gamma HHI	0.12	0.07	0.44	0.44	0.32
Net GEX	5.1M	1.3M	19.7M	19.7M	10.3M
Net DEX	-147.5M	-340.8M	-2.9M	-340.8M	-138.3M
Net VEX	-2.7M	-3.2M	-2.3M	-3.2M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.22	0.90	0.41	0.32
Total Volume	161,928.75	78,373	534,856	345,561	164,200
Total OI	1,970,894	1,746,322	2,152,047	2,025,447	2,152,047

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
2023-09-01	$10.98	$11.00	63.2%	17.5%	50.2%	3.6%	65.3%	-7.8%	-0.1%	19.7M	-340.8M	-3.2M	0.41	2.29	245,951	99,610	1,445,083	580,364
2023-09-05	$10.77	$10.00	61.9%	18.3%	49.9%	0.9%	67.8%	-5.7%	0.5%	6.3M	-279.9M	-3.1M	0.31	2.58	91,629	28,605	1,335,499	538,096
2023-09-06	$10.59	$10.00	59.1%	17.6%	48.8%	0.0%	66.9%	-5.5%	0.9%	6.1M	-253.3M	-3.0M	0.30	2.76	74,504	22,571	1,372,111	544,998
2023-09-07	$10.11	$10.00	61.7%	17.9%	49.2%	5.0%	70.8%	-5.7%	-0.3%	4.0M	-170.8M	-2.8M	0.28	2.48	160,531	45,591	1,388,860	550,389
2023-09-08	$10.07	$10.00	59.8%	17.6%	49.3%	1.3%	64.8%	-3.8%	1.1%	4.4M	-175.4M	-2.8M	0.44	2.49	64,624	28,456	1,393,046	552,813
2023-09-11	$10.29	$10.00	58.5%	16.9%	50.6%	0.0%	62.0%	-2.6%	0.1%	4.8M	-206.9M	-2.8M	0.22	2.81	72,494	16,280	1,311,603	528,195
2023-09-12	$10.57	$10.00	56.0%	16.4%	51.5%	0.0%	58.9%	-4.5%	1.6%	6.4M	-260.2M	-2.9M	0.40	2.35	97,168	38,768	1,334,442	532,083
2023-09-13	$10.11	$10.00	55.8%	16.2%	50.3%	0.0%	61.4%	-3.5%	0.9%	3.8M	-181.1M	-2.8M	0.49	2.39	72,310	35,290	1,354,833	544,254
2023-09-14	$10.34	$10.00	55.0%	15.9%	50.3%	0.0%	57.4%	-3.2%	0.6%	5.5M	-219.9M	-2.8M	0.43	2.42	57,059	24,582	1,369,495	542,526
2023-09-15	$10.32	$10.00	55.7%	16.0%	50.1%	1.2%	59.3%	-6.8%	0.5%	5.3M	-212.9M	-2.8M	0.49	2.59	70,089	34,174	1,380,089	553,478
2023-09-18	$10.34	$10.00	56.1%	16.0%	43.3%	2.0%	60.0%	-3.7%	1.0%	5.5M	-224.9M	-2.8M	0.89	2.89	54,486	48,733	1,246,101	500,221
2023-09-19	$8.57	$10.00	65.7%	18.8%	77.8%	19.1%	70.1%	-5.1%	-1.1%	1.9M	-21.3M	-2.3M	0.74	2.24	307,294	227,562	1,274,086	519,570
2023-09-20	$8.79	$10.00	62.8%	18.0%	78.8%	14.0%	65.4%	-3.6%	0.3%	3.0M	-53.3M	-2.5M	0.90	2.38	146,670	131,426	1,389,723	600,912
2023-09-21	$8.50	$10.00	64.9%	18.6%	78.5%	17.7%	68.7%	-2.2%	-0.3%	1.7M	-2.9M	-2.5M	0.67	2.50	116,775	78,033	1,418,221	665,117
2023-09-22	$8.52	$10.00	63.3%	18.1%	78.6%	14.8%	69.4%	0.1%	-0.1%	1.3M	-13.2M	-2.6M	0.62	2.58	81,853	50,371	1,450,418	692,253
2023-09-25	$8.36	$10.00	66.8%	19.5%	78.1%	21.2%	71.2%	-0.1%	0.3%	2.0M	-17.7M	-2.5M	0.37	2.25	101,514	37,488	1,370,641	661,558
2023-09-26	$8.39	$10.00	68.2%	19.5%	77.5%	23.6%	74.5%	-0.2%	-0.8%	2.5M	-29.6M	-2.5M	0.46	2.43	65,277	29,751	1,414,624	669,721
2023-09-27	$8.45	$10.00	65.3%	18.9%	77.8%	18.4%	69.1%	0.2%	1.0%	2.6M	-36.2M	-2.6M	0.44	2.52	54,393	23,980	1,431,535	681,006
2023-09-28	$8.91	$9.50	63.5%	18.1%	81.2%	15.2%	65.6%	-0.4%	1.4%	4.9M	-110.7M	-2.7M	0.30	2.86	106,618	31,865	1,445,661	682,208
2023-09-29	$9.02	$9.50	64.1%	18.8%	81.1%	16.2%	69.6%	0.3%	-0.2%	10.3M	-138.3M	-2.8M	0.32	2.57	124,631	39,569	1,467,364	684,683