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NIO Inc. American depositary shares, each representing one Class A ordinary share NIO

CONSUMER CYCLICAL · AUTO MANUFACTURERS
i

Market dataready · fetched 2026-11-10T22:18:32.869Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-10T22:16:24.429831882Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-10T22:16:42.749698+00:00

Share price$3.28
1D-2.9%
AH$3.22$3.27$3.31$3.36$3.405:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNIO
Sold putSold callAH

NIO Inc. American depositary shares, each representing one Class A ordinary share options

Live interpolated NIO call and put midpoint premiums by absolute delta.NIO Inc. American depositary shares, each representing one Class A ordinary share$0.03$0.07$0.12$0.16$0.20$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICENIO PRICE$0.04$0.05$0.06$0.07$0.09$0.10$0.11$0.12$0.13$0.15$0.16$0.17$0.18
PutsExpensive1.29×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.0861.3%7.4%
25Δ3.1159.9%6.9%
30Δ3.1358.4%6.4%
35Δ3.1657.0%5.9%
40Δ3.1955.6%5.4%
45Δ3.2254.2%4.9%
50Δ3.2452.8%4.5%
55Δ3.2751.4%4.0%
60Δ3.3050.0%3.5%
65Δ3.3348.6%3.0%
70Δ3.3647.2%2.5%
75Δ3.3845.8%2.1%
80Δ3.4144.3%1.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.08
IV
61.3%
B/E move
7.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.11
IV
59.9%
B/E move
6.9%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.13
IV
58.4%
B/E move
6.4%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.16
IV
57.0%
B/E move
5.9%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.19
IV
55.6%
B/E move
5.4%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.22
IV
54.2%
B/E move
4.9%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.24
IV
52.8%
B/E move
4.5%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.27
IV
51.4%
B/E move
4.0%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.30
IV
50.0%
B/E move
3.5%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.33
IV
48.6%
B/E move
3.0%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.36
IV
47.2%
B/E move
2.5%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.38
IV
45.8%
B/E move
2.1%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.41
IV
44.3%
B/E move
1.6%

Options history

IV · four-Friday blend346.99%
Daily close
NIO43.2%206.4%369.5%2026-08-14: 79.46%2026-08-28: 65.73%2026-08-31: 114.48%2026-09-11: 346.99%Aug 14Aug 28Sep 11
4 observations2026-08-14 — 2026-09-11
Table
DateIV (%)
79.46%
65.73%
114.48%
346.99%