NIO Options History — December 2023

In December 2023, NIO traded between $7.17 and $9.43. ATM implied volatility averaged 67.1%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 7.2% (HV 20d: 59.9%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2023-12-26: Highest Volume — 600,156 contracts
2023-12-05: Largest IV drop — 13.1% change
2023-12-04: Highest IV Rank — 47.1%
2023-12-01: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.09	$7.17	$9.43	$7.17	$9.07
Max Pain	$8.47	$7.00	$9.00	$7.00	$9.00
ATM IV	67.1%	61.9%	72.7%	68.5%	68.3%
Expected Move	19.1%	17.3%	23.1%	23.1%	19.1%
HV 20d	59.9%	50.8%	75.2%	56.3%	75.2%
HV 60d	62.2%	54.6%	66.3%	64.5%	65.1%
IV Rank	32.3%	18.2%	47.1%	35.9%	35.3%
IV Percentile	34.4%	4.4%	61.5%	41.7%	44.4%
Term Structure	-0.5%	-2.8%	2.0%	-2.8%	1.4%
VWIV	70.2%	63.6%	84.3%	84.3%	70.8%
Skew 25d	-3.9%	-10.0%	0.6%	-1.2%	-10.0%
Skew 10d	-5.4%	-17.7%	1.4%	1.3%	-17.7%
Call IV 25d	72.1%	64.4%	79.3%	73.7%	77.2%
Put IV 25d	68.2%	63.4%	75.0%	72.5%	67.2%
Bid-Ask Spread %	2.25	1.36	3.23	2.57	2.46
Gamma HHI	0.13	0.09	0.27	0.09	0.15
Net GEX	5.9M	1.4M	13.6M	1.6M	8.7M
Net DEX	-188.3M	-512.2M	-13.6M	-13.6M	-406.4M
Net VEX	-2.6M	-3.2M	-2.1M	-2.1M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.17	0.42	0.31	0.31
Total Volume	278,652.25	120,990	600,156	120,990	316,666
Total OI	2,438,512.3	2,121,944	2,753,880	2,185,699	2,753,880

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
2023-12-01	$7.17	$7.00	68.5%	23.1%	56.3%	35.9%	84.3%	-1.2%	-2.8%	1.6M	-13.6M	-2.1M	0.31	2.57	92,060	28,930	1,508,805	676,894
2023-12-04	$7.31	$9.00	72.7%	19.1%	53.0%	47.1%	70.5%	0.6%	-2.4%	2.1M	-36.8M	-2.2M	0.42	1.69	135,732	56,586	1,466,746	655,198
2023-12-05	$7.46	$9.00	63.2%	17.3%	52.3%	21.7%	65.6%	0.3%	-0.2%	2.9M	-54.5M	-2.2M	0.37	1.73	228,424	84,475	1,529,815	694,751
2023-12-06	$7.83	$9.00	65.2%	18.2%	55.4%	27.2%	67.2%	-1.3%	0.2%	5.0M	-115.3M	-2.4M	0.41	1.78	334,348	135,826	1,569,943	721,061
2023-12-07	$7.49	$9.00	65.9%	18.0%	57.5%	29.0%	67.7%	-2.3%	-1.6%	1.7M	-35.9M	-2.2M	0.25	2.44	172,865	43,701	1,596,961	766,760
2023-12-08	$7.39	$9.00	63.2%	17.6%	54.4%	21.8%	63.6%	0.4%	-0.9%	1.4M	-24.0M	-2.3M	0.28	1.96	124,413	34,736	1,647,558	763,304
2023-12-11	$7.66	$9.00	62.0%	17.5%	54.4%	18.6%	64.6%	-1.4%	-1.0%	2.6M	-80.1M	-2.4M	0.17	2.11	110,399	19,315	1,597,642	726,079
2023-12-12	$7.26	$9.00	65.1%	18.1%	57.9%	26.8%	67.2%	-1.8%	-2.2%	1.4M	-20.2M	-2.2M	0.32	1.36	126,344	40,311	1,634,742	732,890
2023-12-13	$7.39	$9.00	61.9%	17.5%	55.8%	18.2%	65.2%	-0.1%	-0.5%	2.3M	-42.9M	-2.3M	0.22	2.00	129,890	28,031	1,676,728	748,735
2023-12-14	$7.86	$7.50	63.9%	18.1%	58.3%	23.7%	66.1%	-2.6%	-1.1%	5.9M	-152.8M	-2.5M	0.25	1.71	205,124	51,287	1,701,077	753,684
2023-12-15	$7.92	$7.50	68.7%	19.3%	50.8%	36.3%	72.2%	-4.8%	-2.4%	8.8M	-156.1M	-2.5M	0.17	1.83	229,545	39,595	1,710,820	762,886
2023-12-18	$8.38	$7.50	68.4%	19.4%	54.2%	35.5%	72.1%	-5.0%	0.1%	6.2M	-237.9M	-2.7M	0.23	3.10	350,833	80,877	1,633,250	697,881
2023-12-19	$8.86	$7.50	69.8%	19.9%	53.7%	39.5%	71.6%	-4.8%	-1.0%	8.9M	-348.6M	-2.9M	0.21	2.29	283,324	59,037	1,729,240	733,810
2023-12-20	$8.02	$8.50	69.9%	20.0%	63.6%	39.6%	74.4%	-6.6%	0.2%	4.8M	-160.5M	-2.7M	0.26	2.40	240,778	62,085	1,750,883	751,441
2023-12-21	$8.23	$8.50	67.6%	19.3%	63.9%	33.4%	70.4%	-5.2%	2.0%	6.1M	-212.1M	-2.8M	0.22	2.71	154,226	33,850	1,800,059	770,334
2023-12-22	$8.46	$8.00	68.0%	19.4%	64.3%	34.5%	70.9%	-6.0%	0.6%	13.6M	-271.5M	-2.9M	0.20	2.63	181,777	35,685	1,851,832	778,341
2023-12-26	$9.39	$8.50	70.1%	19.9%	71.9%	40.0%	72.1%	-8.8%	0.3%	10.2M	-468.6M	-3.1M	0.19	2.24	502,718	97,438	1,765,728	744,910
2023-12-27	$9.14	$9.00	70.1%	20.3%	73.1%	40.2%	74.5%	-9.5%	1.3%	10.0M	-416.0M	-3.1M	0.32	3.23	278,321	89,371	1,855,968	798,573
2023-12-28	$9.43	$9.00	70.3%	20.2%	72.9%	40.8%	72.4%	-8.2%	0.5%	13.2M	-512.2M	-3.2M	0.26	2.74	280,428	73,694	1,905,488	805,549
2023-12-29	$9.07	$9.00	68.3%	19.1%	75.2%	35.3%	70.8%	-10.0%	1.4%	8.7M	-406.4M	-3.1M	0.31	2.46	240,871	75,795	1,923,869	830,011