NIO Options History — February 2024

In February 2024, NIO traded between $5.37 and $6.12. ATM implied volatility averaged 81.0%, placing in the 69.0% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 20.0% (HV 20d: 60.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.42.

Notable Days

2024-02-23: Highest Volume — 225,124 contracts
2024-02-05: Largest IV spike — 4.3% change
2024-02-28: Highest IV Rank — 80.0%
2024-02-29: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.79	$5.37	$6.12	$5.67	$5.66
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	81.0%	78.4%	85.1%	78.4%	83.9%
Expected Move	23.7%	22.0%	26.8%	22.5%	26.8%
HV 20d	60.9%	43.9%	68.3%	43.9%	68.3%
HV 60d	65.8%	62.8%	68.0%	63.2%	68.0%
IV Rank	69.0%	62.2%	80.0%	62.2%	76.9%
IV Percentile	93.9%	88.1%	99.6%	89.3%	99.2%
Term Structure	-1.3%	-5.1%	9.8%	-0.2%	-4.1%
VWIV	84.9%	78.0%	95.6%	81.8%	95.0%
Skew 25d	-0.8%	-3.0%	1.6%	-1.4%	0.2%
Skew 10d	-0.5%	-5.0%	3.5%	-4.0%	-0.2%
Call IV 25d	84.2%	81.5%	88.1%	82.6%	86.7%
Put IV 25d	83.4%	80.6%	86.9%	81.3%	86.9%
Bid-Ask Spread %	3.41	2.67	4.36	4.05	2.71
Gamma HHI	0.08	0.07	0.15	0.08	0.09
Net GEX	1.4M	109.6K	2.7M	1.1M	1.1M
Net DEX	45.0M	-6.9M	112.6M	93.3M	22.0M
Net VEX	-2.2M	-2.3M	-1.9M	-2.1M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.25	0.87	0.26	0.43
Total Volume	128,280.75	91,490	225,124	130,834	122,578
Total OI	2,295,796.6	2,077,536	2,429,376	2,368,392	2,256,195

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
2024-02-01	$5.67	$5.00	78.4%	22.5%	43.9%	62.2%	81.8%	-1.4%	-0.2%	1.1M	93.3M	-2.1M	0.26	4.05	104,139	26,695	1,472,732	895,660
2024-02-02	$5.58	$5.00	78.7%	22.5%	44.0%	62.9%	80.9%	-1.1%	-2.7%	762.7K	96.2M	-2.1M	0.45	3.85	94,393	42,703	1,497,882	893,288
2024-02-05	$5.37	$5.00	82.1%	23.8%	44.4%	72.0%	85.9%	-0.4%	0.9%	551.6K	112.6M	-1.9M	0.54	2.89	81,698	44,366	1,409,696	883,330
2024-02-06	$5.99	$5.00	79.4%	22.9%	64.0%	65.0%	81.3%	-0.7%	0.0%	1.8M	42.8M	-2.3M	0.26	3.15	143,802	37,016	1,446,561	904,194
2024-02-07	$5.86	$5.00	79.5%	22.7%	62.5%	65.3%	80.9%	-1.8%	-0.6%	2.4M	52.4M	-2.2M	0.73	3.14	62,548	45,404	1,486,216	913,162
2024-02-08	$5.84	$5.00	79.5%	22.0%	62.6%	65.3%	78.0%	0.2%	-3.6%	2.7M	60.2M	-2.2M	0.55	3.03	80,262	43,960	1,493,494	918,120
2024-02-09	$5.89	$5.00	78.6%	22.0%	62.8%	62.7%	78.9%	1.0%	-3.3%	1.0M	60.1M	-2.2M	0.28	4.15	73,494	20,525	1,498,689	930,687
2024-02-12	$6.11	$5.00	79.5%	22.7%	64.6%	65.1%	80.9%	-1.2%	-0.6%	1.7M	23.4M	-2.3M	0.30	3.68	112,887	33,504	1,429,984	910,066
2024-02-13	$5.70	$5.00	82.5%	23.6%	60.6%	73.2%	84.7%	-3.0%	9.8%	733.2K	79.0M	-2.1M	0.87	3.57	69,853	60,516	1,462,217	920,859
2024-02-14	$5.97	$5.00	79.8%	22.9%	62.6%	66.0%	82.3%	-1.5%	-0.6%	2.0M	27.9M	-2.3M	0.56	3.17	72,464	40,839	1,486,612	914,589
2024-02-15	$6.09	$5.00	79.9%	22.9%	63.0%	66.2%	82.6%	-0.8%	-0.5%	2.7M	4.1M	-2.3M	0.25	4.36	91,659	23,038	1,503,615	904,768
2024-02-16	$6.12	$5.00	78.6%	22.5%	61.6%	62.7%	81.1%	-2.1%	-1.0%	1.7M	-6.9M	-2.3M	0.34	3.59	80,692	27,550	1,517,493	907,301
2024-02-20	$5.94	$5.00	81.4%	23.6%	62.6%	70.2%	83.5%	1.6%	-1.6%	1.3M	16.6M	-2.2M	0.32	3.69	74,825	23,645	1,234,413	843,123
2024-02-21	$5.99	$5.00	81.2%	23.0%	61.3%	69.6%	82.6%	0.5%	-2.1%	1.6M	9.0M	-2.2M	0.26	3.66	72,336	19,154	1,257,513	853,227
2024-02-22	$5.81	$5.00	82.1%	24.5%	61.8%	72.0%	86.7%	-1.0%	-3.6%	1.2M	31.3M	-2.1M	0.34	3.10	95,976	32,208	1,283,494	855,496
2024-02-23	$5.45	$5.00	82.2%	24.9%	65.6%	72.4%	90.3%	-1.4%	-1.9%	109.6K	71.6M	-2.0M	0.58	2.67	142,615	82,509	1,311,649	864,242
2024-02-26	$5.67	$5.00	83.5%	25.7%	67.3%	75.7%	92.3%	-1.0%	-1.9%	1.1M	34.1M	-2.1M	0.40	3.16	113,966	45,733	1,277,586	867,582
2024-02-27	$5.74	$5.00	83.4%	26.0%	67.5%	75.5%	92.5%	-0.6%	-5.1%	1.5M	20.3M	-2.2M	0.27	3.66	89,223	24,197	1,303,068	890,675
2024-02-28	$5.44	$5.00	85.1%	26.7%	67.5%	80.0%	95.6%	-1.7%	-4.0%	795.1K	49.9M	-2.1M	0.49	3.01	75,508	37,135	1,328,189	888,265
2024-02-29	$5.66	$5.00	83.9%	26.8%	68.3%	76.9%	95.0%	0.2%	-4.1%	1.1M	22.0M	-2.1M	0.43	2.71	85,627	36,951	1,353,244	902,951