NIO Options History — November 2024

In November 2024, NIO traded between $4.31 and $5.30. ATM implied volatility averaged 78.9%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 9.0% (HV 20d: 69.8%). 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 10 of 20 days. Put/call ratio averaged 0.37.

Notable Days

2024-11-20: Highest Volume — 370,299 contracts
2024-11-20: Largest IV drop — 15.2% change
2024-11-19: Highest IV Rank — 56.9%
2024-11-19: Largest Expected Move — 25.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.78	$4.31	$5.30	$5.08	$4.47
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	78.9%	65.5%	88.5%	83.0%	65.5%
Expected Move	22.5%	18.6%	25.3%	23.1%	18.6%
HV 20d	69.8%	59.1%	75.1%	69.5%	63.3%
HV 60d	77.3%	74.5%	79.2%	75.5%	74.5%
IV Rank	37.4%	10.3%	56.9%	45.7%	10.3%
IV Percentile	63.5%	7.9%	93.3%	83.7%	7.9%
Term Structure	-0.1%	-4.6%	4.8%	4.8%	-0.7%
VWIV	83.8%	72.0%	95.2%	82.4%	72.3%
Skew 25d	-9.0%	-13.5%	-2.7%	-10.1%	-9.1%
Skew 10d	-19.7%	-30.4%	-8.6%	-27.2%	-18.4%
Call IV 25d	87.0%	73.8%	96.5%	91.5%	74.4%
Put IV 25d	78.0%	65.3%	86.7%	81.4%	65.3%
Bid-Ask Spread %	9.82	2.14	34.87	34.87	10.27
Gamma HHI	0.11	0.10	0.15	0.11	0.13
Net GEX	1.3M	297.6K	2.7M	1.1M	1.2M
Net DEX	-50.1M	-133.6M	15.3M	-81.0M	-2.7M
Net VEX	-2.3M	-2.5M	-2.2M	-2.5M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.20	0.59	0.38	0.37
Total Volume	175,346.05	85,490	370,299	103,420	103,089
Total OI	3,155,087.75	2,915,252	3,366,456	3,158,201	3,366,456

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
2024-11-01	$5.08	$5.00	83.0%	23.1%	69.5%	45.7%	82.4%	-10.1%	4.8%	1.1M	-81.0M	-2.5M	0.38	34.87	74,842	28,578	1,979,978	1,178,223
2024-11-04	$5.17	$5.00	85.0%	24.3%	70.2%	49.8%	93.5%	-8.7%	-1.3%	1.7M	-96.2M	-2.5M	0.20	3.03	70,954	14,536	1,856,736	1,142,506
2024-11-05	$5.29	$5.00	85.9%	24.0%	65.8%	51.6%	89.5%	-7.4%	-0.3%	2.3M	-116.0M	-2.5M	0.41	2.89	64,425	26,641	1,885,045	1,148,886
2024-11-06	$5.03	$5.00	80.4%	23.0%	67.2%	40.5%	85.7%	-10.8%	0.9%	1.3M	-65.1M	-2.4M	0.33	2.76	120,493	39,246	1,901,624	1,157,824
2024-11-07	$5.30	$5.00	87.7%	24.2%	70.9%	55.2%	91.3%	-9.9%	-0.4%	2.7M	-133.6M	-2.5M	0.23	3.43	145,260	33,536	1,936,568	1,161,826
2024-11-08	$5.08	$5.00	83.3%	23.0%	71.8%	46.4%	88.3%	-7.8%	-2.9%	1.5M	-85.5M	-2.4M	0.36	3.25	99,019	35,768	1,980,929	1,170,119
2024-11-11	$5.06	$5.00	81.5%	23.0%	68.1%	42.8%	86.2%	-10.8%	-1.3%	1.7M	-86.0M	-2.4M	0.38	2.83	104,237	40,100	1,891,362	1,138,321
2024-11-12	$4.59	$5.00	82.5%	24.3%	75.1%	44.8%	87.6%	-13.1%	3.1%	339.3K	-6.0M	-2.2M	0.31	2.28	209,245	65,410	1,921,131	1,150,058
2024-11-13	$4.58	$5.00	83.0%	24.4%	75.1%	45.8%	89.7%	-10.9%	1.6%	561.2K	-16.9M	-2.2M	0.27	2.36	97,955	26,089	1,993,403	1,173,051
2024-11-14	$4.45	$5.00	83.3%	22.8%	72.3%	46.3%	87.9%	-13.5%	-4.6%	297.6K	4.5M	-2.2M	0.50	2.14	82,654	41,277	2,030,186	1,184,243
2024-11-15	$4.49	$5.00	82.2%	23.5%	72.4%	44.2%	91.1%	-7.6%	-0.9%	498.4K	-4.7M	-2.2M	0.59	2.41	97,669	57,740	2,055,934	1,184,981
2024-11-18	$4.67	$5.00	85.7%	24.5%	74.1%	51.1%	95.2%	-12.3%	-1.0%	1.1M	-50.4M	-2.3M	0.25	17.29	167,737	41,168	1,826,009	1,089,243
2024-11-19	$4.61	$5.00	88.5%	25.3%	73.7%	56.9%	93.3%	-10.8%	0.1%	1.3M	-44.4M	-2.3M	0.40	18.64	199,892	79,773	1,915,739	1,104,331
2024-11-20	$4.70	$5.00	75.1%	21.5%	74.3%	29.7%	77.3%	-5.3%	0.3%	1.5M	-47.6M	-2.3M	0.42	21.70	260,868	109,431	2,015,374	1,148,652
2024-11-21	$4.72	$5.00	70.8%	20.4%	72.9%	21.1%	73.0%	-2.7%	-3.6%	1.9M	-56.0M	-2.4M	0.54	18.13	112,922	61,070	2,100,298	1,182,583
2024-11-22	$4.87	$5.00	71.6%	20.5%	71.6%	22.7%	74.8%	-8.2%	0.6%	2.2M	-83.0M	-2.5M	0.31	18.07	195,746	60,192	2,129,509	1,186,112
2024-11-25	$4.71	$5.00	67.9%	19.7%	59.1%	15.3%	72.2%	-6.6%	0.1%	2.1M	-60.1M	-2.4M	0.30	10.37	150,343	45,634	2,067,503	1,138,192
2024-11-26	$4.31	$5.00	67.3%	19.9%	64.8%	14.1%	72.0%	-8.0%	2.4%	795.5K	15.3M	-2.2M	0.38	9.88	152,539	58,341	2,121,330	1,161,690
2024-11-27	$4.38	$5.00	67.0%	20.0%	64.5%	13.4%	72.7%	-7.0%	1.9%	704.2K	13.4M	-2.2M	0.41	9.77	94,163	38,339	2,137,274	1,188,526
2024-11-29	$4.47	$5.00	65.5%	18.6%	63.3%	10.3%	72.3%	-9.1%	-0.7%	1.2M	-2.7M	-2.3M	0.37	10.27	75,199	27,890	2,156,553	1,209,903