$NIO Options Intelligence

🎯 BUY NIO NOV 28 6/7 CALL CALENDAR SPREAD

I recommend a calendar spread because the term structure for NIO shows near-term options are underpriced relative to historical volatility, and the stock is trading at $6.08, just below the 20-day and 50-day moving averages, indicating potential for a short-term rebound ahead of earnings on November 25, 2025. The earnings event implies elevated implied volatility after the report, making a calendar spread (buy longer-dated call, sell shorter-dated call at same strike) an ideal way to capitalize on time decay and expected volatility increase.

Trade Details:
• Sell 1 NIO Nov 21 6 Call (near-term, expires before earnings)
• Buy 1 NIO Nov 28 6 Call (expires after earnings)
• Stock Price: $6.08
• Entry Price: Approximately $0.50 debit (based on typical bid-ask spreads for similar calendar spreads, exact pricing to be confirmed at order entry)

📊 Trade Metrics

• Max Risk: Approx. $50 per spread (debit paid)
• Max Reward: Potentially unlimited upside if stock rallies above $7 by Nov 28
• Breakeven: Stock price near $6.50–$7 at Nov 28 expiry, factoring time decay on short leg
• Days to Expiration: 4 days for short leg, 11 days for long leg
• Win Rate: Moderate, depends on stock moving up or holding steady post-earnings
• Theta: Positive on short leg, negative on long leg, net time decay benefit if stock remains near strike

📈 Term Structure & Volatility Analysis

• Baseline 90-day Historical Volatility: ~70.2%
• Near-term IV (Nov 21): ~62.6% (underpriced vs baseline) → Good to sell premium
• Longer-term IV (Nov 28): ~79.9% (elevated, reflecting earnings premium) → Good to buy premium
• Earnings Multiplier: 2.14x (moderate expected earnings move)
• Calendar spreads benefit from this IV differential, capturing premium decay in near-term while retaining exposure to post-earnings volatility

📈 Greeks & Volatility

• Delta: Near neutral at strike 6
• Vega: Positive on long leg, benefits from IV rise after earnings
• Theta: Positive net due to short near-term option decay
• IV Rank: 82% (high overall, favors selling near-term premium)
• Put/Call Volume Ratio: 0.24 (bullish sentiment, heavy call buying)

🎯 Why This Trade

The term structure reveals a clear calendar spread opportunity: near-term November 21 options are underpriced relative to historical norms, while November 28 options carry elevated IV due to the upcoming earnings on November 25. Selling the Nov 21 call captures time decay, while buying the Nov 28 call maintains upside exposure to a potential post-earnings rally or volatility spike. NIO is currently at $6.08, below its 20-day (6.86) and 50-day (6.98) moving averages but well above 200-day MA (4.96), suggesting potential technical support and room for a bounce. Recent news shows retail attention on NIO after the ES6 Milestone Edition launch and steady delivery growth, but some short-term caution due to dilution and sector headwinds. This trade balances risk and reward by limiting upfront cost and leveraging volatility differences around earnings.

📊 Pro Analysis

• Current IV (79.4%) > Historical (70.4%), favoring premium selling
• Expected daily move ±$0.30 (5%) supports strike selection near current price
• High put-call skew and bullish volume suggest upside potential
• Institutional selling and recent price weakness warrant defined risk

🔍 Earnings Date Check

• Earnings: November 25, 2025 (after market close)
• Recommended expiration: Nov 28 (after earnings) for long leg, Nov 21 for short leg (before earnings)
• Validation: ✅ Long leg expires AFTER earnings to capture move; short leg expires BEFORE earnings to collect premium decay

🔍 Market Overview

The broader market is cautious but stable ahead of major earnings, with tech and EV sectors showing mixed signals. NIO faces near-term dilution and competitive pressures but has strong delivery growth and product launches generating retail interest. Technical indicators show RSI near 34 (neutral), with price below short-term MAs but above long-term support. The Fed's current stance and moderate volatility environment encourage defined-risk strategies like calendar spreads. The upcoming earnings report is a key catalyst, with market pricing reflecting moderate expected volatility increase.

🔒 Pricing Validation

• Nov 21 6 Call intrinsic value: max(0, 6.08-6) = $0.08, option price > intrinsic, valid for selling
• Nov 28 6 Call price > intrinsic, valid for buying
• Spread debit expected around $0.50, consistent with bid-ask spreads and IV levels
• Put-call parity and spread pricing rules respected

💡 Trade Management

• Enter limit order to sell Nov 21 6 Call and buy Nov 28 6 Call at net debit ~$0.50
• Target 30-50% profit on debit spread within 1 week post-earnings
• Stop loss: Close if stock drops below $5.70 or IV collapses dramatically
• Monitor IV and price action closely around earnings

Confidence Level: Moderate to High — The trade leverages the clear IV term structure advantage and earnings catalyst while limiting risk to the debit paid. The technical setup and market sentiment support a potential short-term rebound or volatility spike.

Risk Assessment: Limited to debit paid (~$50 per spread). Risk of loss if stock declines sharply or volatility drops post-earnings. Defined risk and manageable capital outlay make this suitable for moderately bullish, event-driven traders.