NIO Options History — November 2023

In November 2023, NIO traded between $7.14 and $8.23. ATM implied volatility averaged 67.2%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 5.8% (HV 20d: 61.3%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2023-11-20: Highest Volume — 209,748 contracts
2023-11-16: Largest IV spike — 4.9% change
2023-11-16: Highest IV Rank — 44.6%
2023-11-30: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.55	$7.14	$8.23	$7.39	$7.19
Max Pain	$7.10	$7.00	$9.00	$9.00	$7.00
ATM IV	67.2%	65.2%	72.5%	68.0%	67.3%
Expected Move	19.9%	18.8%	22.2%	19.7%	22.2%
HV 20d	61.3%	57.7%	67.0%	57.7%	60.1%
HV 60d	64.5%	61.7%	66.6%	61.7%	65.0%
IV Rank	29.4%	21.4%	44.6%	27.2%	32.6%
IV Percentile	29.6%	17.1%	56.7%	32.5%	32.9%
Term Structure	-1.5%	-4.5%	0.5%	0.4%	-1.2%
VWIV	71.8%	68.0%	82.1%	70.5%	82.1%
Skew 25d	1.0%	-1.1%	3.5%	3.5%	-0.3%
Skew 10d	6.0%	0.5%	12.0%	12.0%	3.4%
Call IV 25d	69.0%	66.3%	75.0%	69.1%	69.6%
Put IV 25d	70.0%	66.7%	77.0%	72.7%	69.3%
Bid-Ask Spread %	2.95	2.37	5.21	5.21	2.52
Gamma HHI	0.11	0.09	0.15	0.09	0.09
Net GEX	1.8M	98.0K	3.6M	1.1M	1.7M
Net DEX	-19.2M	-106.3M	48.8M	21.3M	-8.1M
Net VEX	-2.1M	-2.4M	-2.0M	-2.1M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.18	0.60	0.32	0.37
Total Volume	112,733.571	72,387	209,748	74,699	74,343
Total OI	2,118,002.19	1,995,148	2,267,969	2,005,853	2,157,878

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
2023-11-01	$7.39	$9.00	68.0%	19.7%	57.7%	27.2%	70.5%	3.5%	0.4%	1.1M	21.3M	-2.1M	0.32	5.21	56,429	18,270	1,367,849	638,004
2023-11-02	$7.81	$7.00	65.6%	19.0%	62.0%	22.2%	68.0%	2.5%	-0.1%	2.7M	-32.7M	-2.2M	0.21	2.37	104,999	21,600	1,390,540	640,721
2023-11-03	$8.23	$7.00	65.2%	19.1%	65.2%	21.4%	69.1%	1.4%	0.5%	2.7M	-106.3M	-2.4M	0.21	3.24	143,263	30,501	1,430,307	646,804
2023-11-06	$7.92	$7.00	67.0%	19.1%	64.4%	25.0%	70.6%	2.5%	-0.0%	2.3M	-48.6M	-2.3M	0.32	3.15	101,403	32,490	1,420,785	642,205
2023-11-07	$7.89	$7.00	65.8%	18.8%	59.9%	22.5%	69.1%	3.5%	0.1%	2.4M	-40.9M	-2.3M	0.40	3.57	55,922	22,561	1,473,067	655,954
2023-11-08	$7.92	$7.00	66.4%	19.0%	59.4%	23.9%	69.0%	0.9%	-0.4%	2.7M	-47.5M	-2.3M	0.45	2.52	49,807	22,580	1,489,863	665,037
2023-11-09	$7.50	$7.00	67.9%	19.4%	58.0%	27.0%	68.9%	0.7%	-0.3%	501.3K	16.4M	-2.1M	0.38	3.52	53,189	20,228	1,505,498	676,262
2023-11-10	$7.25	$7.00	67.3%	19.3%	58.8%	25.8%	68.8%	1.5%	-0.4%	426.7K	48.8M	-2.0M	0.48	2.88	85,957	41,054	1,519,826	677,332
2023-11-13	$7.29	$7.00	68.8%	19.8%	58.7%	35.1%	69.1%	3.5%	-2.8%	472.7K	27.5M	-2.0M	0.37	2.99	56,336	20,597	1,482,922	658,223
2023-11-14	$7.63	$7.00	67.9%	19.4%	61.7%	32.8%	70.2%	1.1%	-1.7%	1.6M	-19.6M	-2.2M	0.18	2.95	97,687	17,685	1,501,916	663,299
2023-11-15	$7.95	$7.00	69.1%	19.8%	58.1%	35.9%	72.6%	-0.4%	-2.4%	3.6M	-75.2M	-2.3M	0.25	2.91	149,268	36,777	1,529,627	671,148
2023-11-16	$7.36	$7.00	72.5%	21.0%	63.5%	44.6%	74.6%	2.0%	-4.5%	98.0K	15.7M	-2.0M	0.50	2.41	103,700	51,445	1,546,329	677,109
2023-11-17	$7.38	$7.00	69.8%	20.3%	63.4%	37.8%	72.1%	0.9%	-3.5%	1.8M	5.5M	-2.1M	0.60	2.37	73,004	43,586	1,587,166	680,803
2023-11-20	$7.83	$7.00	67.1%	19.9%	67.0%	31.5%	71.2%	-0.4%	-3.0%	3.2M	-86.6M	-2.2M	0.53	2.52	137,400	72,348	1,381,592	613,556
2023-11-21	$7.51	$7.00	66.3%	19.8%	64.8%	30.0%	71.6%	-0.3%	-2.3%	1.6M	-31.3M	-2.1M	0.45	2.98	62,132	28,097	1,415,203	644,478
2023-11-22	$7.44	$7.00	65.3%	19.6%	61.3%	27.2%	69.7%	-0.5%	-1.2%	1.6M	-20.2M	-2.1M	0.48	3.22	52,189	25,115	1,435,818	651,408
2023-11-24	$7.42	$7.00	65.9%	20.0%	61.3%	28.9%	72.9%	-1.1%	-2.9%	2.1M	-19.0M	-2.1M	0.31	3.03	57,210	17,918	1,454,467	663,457
2023-11-27	$7.24	$7.00	65.3%	20.2%	61.4%	27.4%	72.5%	-0.4%	-2.0%	1.3M	853.1K	-2.0M	0.37	2.48	62,980	23,468	1,397,845	632,934
2023-11-28	$7.22	$7.00	65.8%	20.7%	61.2%	28.7%	75.1%	-0.1%	-2.0%	1.5M	-3.2M	-2.0M	0.43	2.57	93,903	40,193	1,423,804	642,780
2023-11-29	$7.14	$7.00	66.3%	21.5%	60.3%	30.0%	79.3%	0.1%	-1.7%	1.6M	-1.1M	-2.0M	0.25	2.51	87,973	21,798	1,469,195	655,035
2023-11-30	$7.19	$7.00	67.3%	22.2%	60.1%	32.6%	82.1%	-0.3%	-1.2%	1.7M	-8.1M	-2.1M	0.37	2.52	54,084	20,259	1,489,971	667,907