NIO Options History — June 2024

In June 2024, NIO traded between $4.17 and $5.33. ATM implied volatility averaged 70.0%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 7.8% (HV 20d: 62.3%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2024-06-06: Highest Volume — 243,279 contracts
2024-06-26: Largest IV spike — 29.7% change
2024-06-03: Highest IV Rank — 73.5%
2024-06-05: Largest Expected Move — 29.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.60	$4.17	$5.33	$5.33	$4.17
Max Pain	$4.32	$4.00	$6.00	$6.00	$4.00
ATM IV	70.0%	60.3%	89.1%	89.1%	61.8%
Expected Move	20.4%	17.2%	29.4%	28.2%	19.0%
HV 20d	62.3%	50.9%	71.7%	70.9%	50.9%
HV 60d	67.4%	66.5%	68.7%	68.0%	68.7%
IV Rank	32.3%	11.5%	73.5%	73.5%	14.7%
IV Percentile	38.8%	3.2%	98.0%	98.0%	4.8%
Term Structure	1.8%	-5.9%	22.1%	-2.5%	9.0%
VWIV	73.4%	61.2%	104.2%	99.5%	68.4%
Skew 25d	-1.9%	-9.2%	25.5%	-5.7%	-3.8%
Skew 10d	-3.1%	-20.5%	12.0%	-7.4%	-6.3%
Call IV 25d	72.9%	54.3%	96.6%	93.2%	70.7%
Put IV 25d	71.0%	62.1%	87.9%	87.5%	66.9%
Bid-Ask Spread %	9.65	2.97	34.75	3.26	34.75
Gamma HHI	0.13	0.08	0.17	0.08	0.16
Net GEX	302.1K	-531.9K	1.3M	1.2M	-2.7K
Net DEX	23.0M	-73.8M	76.5M	-73.8M	39.9M
Net VEX	-2.0M	-2.4M	-1.7M	-2.4M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.29	0.66	0.31	0.41
Total Volume	113,403.947	50,911	243,279	177,670	103,057
Total OI	2,677,395.895	2,269,129	2,941,862	2,684,669	2,391,857

Daily Data (19 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
2024-06-03	$5.33	$6.00	89.1%	28.2%	70.9%	73.5%	99.5%	-5.7%	-2.5%	1.2M	-73.8M	-2.4M	0.31	3.26	135,554	42,116	1,632,185	1,052,484
2024-06-04	$5.22	$6.00	87.4%	27.0%	70.2%	69.8%	100.6%	-9.2%	-2.6%	1.2M	-61.7M	-2.4M	0.33	3.17	72,495	23,756	1,686,358	1,075,933
2024-06-05	$5.28	$6.00	88.5%	29.4%	69.6%	72.1%	104.2%	-4.4%	-2.5%	1.3M	-67.9M	-2.4M	0.51	3.74	136,228	69,607	1,713,213	1,087,366
2024-06-06	$4.91	$4.00	70.9%	21.2%	71.7%	34.2%	77.9%	-4.8%	2.7%	-199.9K	13.0M	-2.2M	0.36	3.46	178,433	64,846	1,775,507	1,115,974
2024-06-07	$4.83	$4.00	67.9%	19.6%	71.2%	27.7%	70.6%	-2.9%	1.9%	826	33.3M	-2.1M	0.47	4.16	88,296	41,176	1,823,338	1,118,524
2024-06-10	$4.74	$4.00	66.4%	19.8%	69.3%	24.5%	71.1%	-3.4%	2.0%	-228.5K	32.6M	-2.0M	0.40	3.15	73,063	28,972	1,678,718	1,065,124
2024-06-11	$4.47	$4.00	69.6%	20.5%	67.5%	31.4%	72.4%	-5.0%	2.0%	-531.9K	65.8M	-1.9M	0.49	3.18	92,998	45,640	1,702,436	1,073,164
2024-06-12	$4.45	$4.00	68.9%	19.8%	62.5%	29.9%	72.1%	-3.9%	0.5%	-387.9K	61.9M	-2.0M	0.35	3.76	84,981	29,668	1,739,090	1,074,736
2024-06-13	$4.42	$4.00	68.3%	19.0%	58.1%	28.6%	72.0%	-4.0%	-5.9%	-225.2K	63.5M	-1.9M	0.50	3.74	58,000	29,022	1,772,738	1,077,115
2024-06-14	$4.31	$4.00	67.8%	19.6%	58.4%	27.5%	70.2%	-4.0%	1.4%	-343.4K	76.5M	-1.8M	0.35	3.53	58,212	20,364	1,786,271	1,067,990
2024-06-17	$4.44	$4.00	66.8%	19.3%	59.8%	25.3%	70.5%	-4.4%	-0.2%	-52.6K	52.6M	-1.9M	0.32	2.97	73,719	23,574	1,708,574	1,038,597
2024-06-18	$4.42	$4.00	64.4%	18.5%	59.8%	20.2%	66.5%	-4.4%	0.9%	496.8K	48.6M	-1.9M	0.38	4.42	44,477	16,894	1,732,251	1,038,961
2024-06-20	$4.31	$4.00	64.5%	18.4%	59.8%	20.3%	64.7%	0.4%	0.9%	284.8K	67.2M	-1.8M	0.39	5.14	65,050	25,586	1,745,997	1,037,283
2024-06-21	$4.29	$4.00	62.4%	17.9%	59.8%	15.9%	64.4%	-0.1%	1.1%	40.6K	53.8M	-1.8M	0.66	3.87	46,760	31,011	1,765,115	1,005,200
2024-06-24	$4.45	$4.00	60.3%	17.2%	53.5%	11.5%	62.5%	-2.8%	3.4%	353.7K	12.3M	-1.8M	0.52	5.41	64,386	33,446	1,352,178	916,951
2024-06-25	$4.38	$4.00	61.8%	17.3%	53.4%	14.6%	61.2%	2.0%	-1.6%	494.1K	24.6M	-1.8M	0.33	31.15	38,389	12,522	1,384,126	932,995
2024-06-26	$4.63	$4.00	80.1%	17.4%	57.3%	54.1%	61.6%	25.5%	22.1%	1.2M	-16.7M	-1.9M	0.29	30.84	94,990	27,923	1,396,101	936,426
2024-06-27	$4.42	$4.00	63.8%	18.1%	59.2%	19.0%	64.4%	-1.1%	1.0%	1.1M	11.6M	-1.8M	0.34	29.57	59,372	20,092	1,432,559	937,087
2024-06-28	$4.17	$4.00	61.8%	19.0%	50.9%	14.7%	68.4%	-3.8%	9.0%	-2.7K	39.9M	-1.7M	0.41	34.75	73,241	29,816	1,454,729	937,128