NIO Options History — January 2024

In January 2024, NIO traded between $5.63 and $8.48. ATM implied volatility averaged 70.2%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 0.6% (HV 20d: 70.8%). 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 12 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2024-01-16: Highest Volume — 345,603 contracts
  • 2024-01-16: Largest IV spike — 11.4% change
  • 2024-01-31: Highest IV Rank — 63.6%
  • 2024-01-24: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.85$5.63$8.48$8.39$5.63
Max Pain$8.29$7.00$9.00$9.00$7.00
ATM IV70.2%61.9%78.9%71.2%78.9%
Expected Move20.0%17.7%22.2%19.8%21.3%
HV 20d70.8%44.3%82.2%81.6%44.3%
HV 60d65.5%64.2%67.0%67.0%64.2%
IV Rank40.3%18.2%63.6%42.9%63.6%
IV Percentile53.8%4.4%90.1%61.5%90.1%
Term Structure0.3%-2.6%2.4%-0.2%0.6%
VWIV73.7%66.8%80.4%73.8%78.8%
Skew 25d-4.3%-8.7%0.3%-7.1%-5.3%
Skew 10d-8.1%-17.4%1.8%-17.4%-10.0%
Call IV 25d75.4%68.1%84.6%79.2%84.6%
Put IV 25d71.1%60.7%79.3%72.1%79.3%
Bid-Ask Spread %2.561.953.423.422.54
Gamma HHI0.110.080.140.140.09
Net GEX2.0M131.3K6.3M5.8M881.1K
Net DEX4.7M-224.7M117.0M-224.7M81.7M
Net VEX-2.4M-3.0M-2.0M-2.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.241.010.600.92
Total Volume192,125.476107,206345,603295,726250,313
Total OI2,581,7212,083,3662,954,4462,605,2962,239,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$8.39$9.0071.2%19.8%81.6%42.9%73.8%-7.1%-0.2%5.8M-224.7M-2.9M0.603.42185,157110,5691,850,727754,569
2024-01-03$8.48$9.0070.4%19.7%81.5%40.8%75.2%-8.7%1.0%6.3M-224.0M-3.0M0.402.88122,56448,5991,908,009820,259
2024-01-04$8.29$9.0068.1%19.3%82.0%34.7%72.1%-8.2%-0.0%5.1M-174.1M-2.9M0.292.4389,52825,5271,933,619834,171
2024-01-05$8.07$8.0064.2%18.5%81.1%24.5%75.0%-7.5%-0.8%3.5M-116.6M-2.8M0.502.73126,20462,9671,948,088846,554
2024-01-08$7.95$9.0064.9%18.6%79.6%26.4%69.4%-6.2%0.1%3.3M-86.6M-2.7M0.242.29108,66126,6091,874,571850,360
2024-01-09$7.55$9.0063.3%18.3%81.7%22.0%67.1%-4.8%0.6%1.5M-11.1M-2.6M0.341.97130,54644,0961,911,935859,840
2024-01-10$7.41$9.0064.2%17.8%80.9%24.4%66.8%-6.1%-1.7%1.3M11.5M-2.5M0.802.36104,37083,9521,949,256882,713
2024-01-11$7.42$9.0061.9%17.7%78.6%18.2%66.8%-6.5%-0.2%1.3M3.4M-2.5M0.462.9392,35542,3911,981,558885,146
2024-01-12$7.19$9.0061.9%17.7%79.1%18.2%68.1%-7.8%0.4%769.2K46.9M-2.4M0.362.1087,68131,8222,005,394901,280
2024-01-16$6.54$9.0068.9%19.7%82.0%36.9%69.6%-3.2%-1.3%131.3K115.9M-2.1M0.402.26246,67298,9311,924,337865,004
2024-01-17$6.33$8.0070.8%20.3%82.2%41.9%72.9%-1.1%-1.3%794.4K113.8M-2.1M1.012.56105,098105,7162,007,183882,888
2024-01-18$6.25$8.0072.0%20.7%78.2%45.1%74.2%-1.4%-2.6%1.0M106.1M-2.1M0.532.09125,99467,2452,034,723887,386
2024-01-19$6.03$8.0073.3%21.2%73.9%48.6%75.4%-1.4%-0.5%285.1K117.0M-2.0M0.801.95166,497132,6502,071,367883,079
2024-01-22$6.00$8.0073.3%21.4%67.6%48.6%79.4%0.3%0.6%1.1M68.4M-2.1M0.362.69135,21149,0291,321,331762,035
2024-01-23$6.21$8.0072.5%21.5%68.4%46.7%79.9%-4.3%2.4%1.8M29.1M-2.2M0.322.77230,11172,8801,373,974785,029
2024-01-24$6.08$8.0075.8%22.2%66.6%55.4%80.4%-4.2%2.0%1.3M54.5M-2.2M0.483.19115,96755,2761,414,769818,221
2024-01-25$6.05$8.0076.1%21.3%49.4%56.1%76.2%-2.4%0.9%1.2M60.0M-2.2M0.442.65135,56359,1601,452,718827,620
2024-01-26$6.11$8.0072.9%20.7%50.6%47.5%74.6%-2.0%2.1%1.4M46.3M-2.2M0.593.2875,37944,4481,490,045855,117
2024-01-29$6.13$7.0073.6%20.7%47.7%49.4%74.0%-0.4%2.2%1.5M25.2M-2.2M0.302.5882,62424,5821,346,551796,405
2024-01-30$5.81$7.0075.5%21.7%48.7%54.5%78.2%-2.1%1.2%938.6K56.5M-2.1M0.322.0499,53132,1601,375,428803,403
2024-01-31$5.63$7.0078.9%21.3%44.3%63.6%78.8%-5.3%0.6%881.1K81.7M-2.0M0.922.54130,688119,6251,416,318823,161