NIO Options History — September 2024

In September 2024, NIO traded between $4.13 and $6.71. ATM implied volatility averaged 73.5%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 3.5% (HV 20d: 77.0%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2024-09-30: Highest Volume — 856,466 contracts
2024-09-30: Largest IV spike — 19.1% change
2024-09-30: Highest IV Rank — 100.0%
2024-09-30: Largest Expected Move — 32.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.41	$4.13	$6.71	$4.13	$6.71
Max Pain	$4.45	$4.00	$5.00	$5.00	$5.00
ATM IV	73.5%	65.6%	105.3%	72.5%	105.3%
Expected Move	21.5%	18.8%	32.5%	23.5%	32.5%
HV 20d	77.0%	54.7%	89.3%	54.9%	85.5%
HV 60d	68.9%	60.2%	72.4%	60.2%	71.8%
IV Rank	36.8%	22.5%	100.0%	37.6%	100.0%
IV Percentile	49.8%	17.5%	100.0%	59.9%	100.0%
Term Structure	0.4%	-1.8%	3.4%	3.4%	0.1%
VWIV	77.6%	67.4%	122.8%	85.4%	122.8%
Skew 25d	-4.8%	-19.2%	-0.4%	-4.4%	-19.2%
Skew 10d	-4.6%	-26.9%	4.6%	-8.0%	4.2%
Call IV 25d	79.7%	69.8%	121.8%	78.1%	121.8%
Put IV 25d	74.9%	67.1%	102.7%	73.7%	102.7%
Bid-Ask Spread %	15.22	3.19	37.75	20.89	4.02
Gamma HHI	0.15	0.10	0.29	0.12	0.10
Net GEX	3.2M	333.3K	8.8M	333.3K	4.6M
Net DEX	-165.1M	-415.6M	29.5M	29.5M	-415.6M
Net VEX	-2.2M	-2.9M	-1.6M	-1.6M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.19	0.75	0.57	0.34
Total Volume	298,383.35	102,635	856,466	150,874	856,466
Total OI	2,648,479.85	2,461,050	2,828,635	2,461,050	2,727,061

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
2024-09-03	$4.13	$5.00	72.5%	23.5%	54.9%	37.6%	85.4%	-4.4%	3.4%	333.3K	29.5M	-1.6M	0.57	20.89	96,311	54,563	1,477,498	983,552
2024-09-04	$4.25	$5.00	75.8%	24.2%	54.7%	44.8%	88.3%	-4.0%	-1.0%	653.3K	11.4M	-1.7M	0.75	4.66	120,599	91,002	1,519,103	1,015,149
2024-09-05	$4.80	$4.00	67.7%	19.6%	67.0%	27.2%	68.5%	-2.4%	-0.3%	2.4M	-80.2M	-1.9M	0.32	23.42	273,079	88,237	1,540,937	1,027,047
2024-09-06	$5.04	$5.00	65.6%	18.8%	67.7%	22.8%	69.3%	-3.6%	-0.5%	3.3M	-129.5M	-1.9M	0.30	37.75	312,447	95,215	1,573,672	1,055,867
2024-09-09	$5.58	$4.00	69.0%	19.9%	73.8%	30.2%	70.1%	-2.9%	1.1%	3.1M	-186.4M	-2.1M	0.31	33.97	302,422	92,944	1,522,194	1,025,364
2024-09-10	$5.50	$4.00	68.3%	19.5%	74.0%	28.7%	69.3%	-0.8%	0.3%	3.3M	-173.6M	-2.1M	0.33	20.67	138,843	45,906	1,596,471	1,067,520
2024-09-11	$5.64	$4.00	69.0%	19.6%	73.9%	30.2%	70.9%	-0.4%	-1.1%	4.0M	-205.5M	-2.2M	0.46	20.05	118,037	54,408	1,621,717	1,082,396
2024-09-12	$5.29	$4.00	68.4%	19.9%	76.9%	28.8%	71.0%	-2.4%	0.9%	2.5M	-127.4M	-2.1M	0.40	22.46	168,271	67,575	1,630,267	1,104,726
2024-09-13	$5.54	$4.00	67.1%	19.3%	77.5%	26.0%	67.4%	-0.5%	2.4%	4.1M	-187.7M	-2.2M	0.23	6.14	130,464	30,578	1,657,311	1,109,749
2024-09-16	$5.42	$4.00	68.4%	19.5%	78.7%	28.9%	69.3%	-0.4%	-0.0%	2.9M	-141.3M	-2.1M	0.57	3.19	65,455	37,180	1,592,892	1,067,119
2024-09-17	$5.42	$4.00	67.4%	19.2%	78.8%	25.7%	70.0%	-2.8%	2.4%	3.0M	-145.1M	-2.1M	0.43	3.30	92,008	40,018	1,617,227	1,079,680
2024-09-18	$5.04	$4.00	69.1%	19.8%	82.0%	28.7%	73.9%	-4.9%	-0.1%	1.6M	-68.7M	-2.0M	0.42	4.38	131,103	54,545	1,644,340	1,092,849
2024-09-19	$5.34	$4.00	69.6%	20.0%	83.3%	22.5%	70.6%	-2.0%	-0.4%	2.9M	-147.8M	-2.2M	0.29	18.31	177,076	51,049	1,674,790	1,103,641
2024-09-20	$5.26	$4.00	70.0%	19.8%	83.9%	23.4%	70.3%	-3.9%	1.8%	2.3M	-135.0M	-2.1M	0.25	4.98	170,757	42,219	1,717,025	1,111,610
2024-09-23	$5.37	$5.00	69.6%	20.1%	83.9%	22.6%	72.2%	-6.0%	-0.9%	2.7M	-136.6M	-2.2M	0.37	26.90	126,930	46,383	1,528,752	967,400
2024-09-24	$5.88	$5.00	77.7%	22.0%	87.6%	42.3%	81.3%	-3.1%	0.8%	4.1M	-240.4M	-2.4M	0.19	4.99	397,199	76,024	1,554,897	987,322
2024-09-25	$5.67	$5.00	77.5%	22.1%	89.3%	41.8%	80.8%	-7.4%	0.6%	3.6M	-198.0M	-2.3M	0.34	17.27	121,636	41,855	1,572,175	1,005,005
2024-09-26	$5.83	$5.00	83.3%	24.1%	81.9%	55.8%	86.3%	-9.8%	-1.8%	4.4M	-238.0M	-2.4M	0.40	23.74	272,653	108,516	1,592,029	1,009,632
2024-09-27	$6.45	$5.00	88.4%	26.3%	85.3%	68.3%	94.1%	-14.7%	-0.0%	8.8M	-386.5M	-2.8M	0.27	3.26	611,523	166,171	1,658,770	1,054,841
2024-09-30	$6.71	$5.00	105.3%	32.5%	85.5%	100.0%	122.8%	-19.2%	0.1%	4.6M	-415.6M	-2.9M	0.34	4.02	641,327	215,139	1,679,852	1,047,209