NIO Options History — March 2024

In March 2024, NIO traded between $4.50 and $6.21. ATM implied volatility averaged 72.6%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 8.6% (HV 20d: 64.0%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2024-03-04: Highest Volume — 472,705 contracts
2024-03-05: Largest IV drop — 24.6% change
2024-03-04: Highest IV Rank — 100.0%
2024-03-01: Largest Expected Move — 28.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.40	$4.50	$6.21	$5.79	$4.50
Max Pain	$6.17	$5.00	$10.00	$5.00	$5.00
ATM IV	72.6%	67.0%	101.4%	85.1%	71.2%
Expected Move	20.9%	19.4%	28.7%	28.7%	20.0%
HV 20d	64.0%	57.0%	73.2%	68.7%	57.0%
HV 60d	65.6%	57.9%	69.3%	68.1%	57.9%
IV Rank	38.6%	25.8%	100.0%	80.0%	34.8%
IV Percentile	61.7%	35.3%	100.0%	99.6%	64.3%
Term Structure	0.0%	-6.0%	2.8%	-3.9%	-0.4%
VWIV	74.5%	69.2%	101.4%	101.4%	71.4%
Skew 25d	0.1%	-3.5%	3.4%	-3.5%	0.3%
Skew 10d	2.0%	-3.1%	7.4%	-2.7%	4.9%
Call IV 25d	74.9%	68.7%	104.2%	90.8%	72.3%
Put IV 25d	74.9%	69.6%	103.5%	87.3%	72.6%
Bid-Ask Spread %	3.93	2.63	9.39	3.21	3.65
Gamma HHI	0.11	0.08	0.19	0.08	0.12
Net GEX	700.0K	-581.5K	2.6M	1.3M	-312.5K
Net DEX	41.2M	-49.7M	100.2M	6.9M	100.2M
Net VEX	-2.1M	-2.3M	-1.8M	-2.2M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.15	0.84	0.50	0.52
Total Volume	176,879.25	77,787	472,705	180,248	107,322
Total OI	2,337,991.05	2,180,496	2,455,760	2,288,383	2,404,658

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
2024-03-01	$5.79	$5.00	85.1%	28.7%	68.7%	80.0%	101.4%	-3.5%	-3.9%	1.3M	6.9M	-2.2M	0.50	3.21	120,398	59,850	1,368,854	919,529
2024-03-04	$5.39	$10.00	101.4%	26.9%	73.2%	100.0%	95.6%	-0.7%	-6.0%	785.5K	51.1M	-2.1M	0.81	4.16	261,166	211,539	1,297,576	924,838
2024-03-05	$5.46	$10.00	76.4%	21.8%	72.1%	46.1%	77.8%	-0.5%	0.8%	796.1K	70.4M	-2.1M	0.59	5.25	224,485	133,006	1,394,612	1,035,278
2024-03-06	$5.75	$6.00	71.7%	20.7%	62.9%	35.8%	73.6%	0.6%	-0.8%	2.2M	11.4M	-2.2M	0.50	6.63	160,855	79,774	1,430,406	1,005,420
2024-03-07	$5.75	$6.00	70.6%	20.1%	62.5%	33.6%	71.9%	3.4%	1.6%	2.0M	27.3M	-2.2M	0.84	9.39	77,974	65,498	1,428,940	1,026,820
2024-03-08	$5.79	$6.00	69.1%	20.1%	62.5%	30.3%	71.0%	1.2%	-1.4%	1.1M	6.3M	-2.2M	0.35	3.02	87,136	30,469	1,433,585	1,002,836
2024-03-11	$6.11	$6.00	69.7%	20.0%	65.4%	31.6%	71.0%	-1.9%	-0.5%	2.0M	-30.8M	-2.3M	0.47	3.05	168,809	78,633	1,312,130	952,021
2024-03-12	$6.21	$6.00	68.3%	19.5%	64.3%	28.6%	69.2%	1.1%	-0.7%	2.6M	-49.7M	-2.3M	0.46	4.91	106,828	49,053	1,358,257	949,305
2024-03-13	$5.94	$6.00	67.0%	19.5%	61.3%	25.8%	69.2%	0.9%	1.0%	2.0M	-10.2M	-2.3M	0.48	3.50	70,641	33,763	1,379,718	962,869
2024-03-14	$5.55	$6.00	71.5%	20.5%	63.7%	35.5%	76.6%	2.5%	-0.2%	167.4K	40.5M	-2.1M	0.52	2.81	85,008	44,236	1,401,641	964,925
2024-03-15	$5.61	$6.00	68.2%	19.7%	63.3%	28.4%	69.5%	0.3%	1.0%	538.5K	24.9M	-2.2M	0.68	2.83	46,210	31,577	1,425,917	970,043
2024-03-18	$5.56	$6.00	69.7%	20.0%	63.3%	31.7%	70.7%	0.5%	1.5%	424.6K	33.7M	-2.1M	0.29	3.31	86,081	25,239	1,271,743	908,753
2024-03-19	$5.21	$6.00	71.0%	20.4%	66.3%	34.5%	72.9%	-1.3%	1.4%	-163.2K	70.7M	-2.0M	0.29	3.34	167,339	48,239	1,315,207	918,364
2024-03-20	$5.11	$6.00	70.4%	20.2%	66.2%	33.2%	72.8%	0.9%	0.0%	-255.0K	71.3M	-2.0M	0.56	3.99	128,856	71,673	1,338,494	929,943
2024-03-21	$5.00	$6.00	71.0%	20.3%	65.8%	34.4%	71.5%	-0.7%	0.9%	-581.5K	76.3M	-2.0M	0.28	2.63	81,151	22,642	1,392,630	959,102
2024-03-22	$4.89	$6.00	69.7%	19.9%	62.7%	31.6%	71.5%	1.7%	-0.3%	-253.2K	93.9M	-1.9M	0.59	2.83	75,278	44,468	1,424,338	967,672
2024-03-25	$4.91	$5.50	71.4%	20.6%	60.5%	35.4%	73.1%	-2.4%	1.1%	-277.5K	66.9M	-1.9M	0.15	4.37	114,466	17,046	1,348,834	938,345
2024-03-26	$4.86	$5.00	68.8%	19.4%	60.1%	29.7%	70.5%	-0.7%	2.4%	63.7K	74.0M	-1.9M	0.47	2.92	95,927	45,426	1,395,108	942,431
2024-03-27	$4.69	$5.00	69.7%	19.7%	58.6%	31.6%	69.5%	-0.6%	2.8%	-236.0K	89.5M	-1.9M	0.50	2.83	119,601	59,923	1,405,594	953,085
2024-03-28	$4.50	$5.00	71.2%	20.0%	57.0%	34.8%	71.4%	0.3%	-0.4%	-312.5K	100.2M	-1.8M	0.52	3.65	70,713	36,609	1,446,393	958,265