NIO max pain, gamma exposure (GEX) & options open interest
As of close · rank #39 by open interest · 1,394 sessions of history since Dec 1, 2020
NIO's nearest-expiration max pain is 3.50 for 2026-10-09, its GEX flip is 3.44, net GEX is -3,440,074, its put/call open-interest ratio is 0.74. These are whole-chain derived aggregates as of Oct 2, 2026 close.
Whole-chain analytics
Derived after the close from the same dated options chain. Signed gamma exposure uses calls positive and puts negative; it is a model convention, not observed dealer inventory.
Advanced options analysis
Complete derived analysis from the dated chain, normalized where possible for comparison across tickers. Catalyst intensity measures unusual pricing and activity; it does not identify an event, predict direction, or establish that an investment is attractive.
Strongest relative signals: IV rank 100 · front IV premium -0.6 pp
NIO closed 61.0% below its gamma max of 5.43. It is 10.0% below the delta neutral price of 3.71. Total open interest is 2,424,985, -1.8% versus the previous session. Its options catalyst-intensity score is 63.2 out of 100, led by IV rank 100, front IV premium -0.6 pp. What gamma max means · What delta neutral means
Call versus put open interest changes
Growth compares outstanding contracts on each side. A positive growth gap favors calls; a negative gap favors puts. Standardized surprises compare each measure with its own prior history. These describe the OI balance, not IV skew or buying direction.
| Measure | Value |
|---|---|
| Call OI change, 1 session | -42,478 contracts · -3.0% |
| Put OI change, 1 session | -926 contracts · -0.1% |
| Call minus put OI growth, 1 session | -2.9 pp |
| Call OI change, 5 sessions | +6,416 contracts · +0.5% |
| Put OI change, 5 sessions | +4,691 contracts · +0.5% |
| Call minus put OI growth, 5 sessions | +0.0 pp |
| Daily call OI change surprise | -0.41σ (252 prior changes) |
| Daily put OI change surprise | +0.05σ (252 prior changes) |
| Daily call-minus-put growth surprise | -1.55σ (252 prior changes) |
History
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Analysis visualizations
Derived from the 2026-10-02 options chain. Select an analysis to explore its chart.
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Gamma walls
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What followed prior gamma-max crosses?
Each historical path starts at 0% on the cross date and follows the close for ten subsequent trading sessions. Cohorts use the same direction as labelled and require gamma max to be within 10% of the close on both crossing sessions.
Crosses below gamma max 15 completed Day +10 paths · latest Sep 19, 2025
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 15 | -0.5% | -4.5% to +5.1% | 40% | -5.1% to +7.1% | 0.0% |
| Day +2 | 15 | -0.5% | -2.7% to +5.8% | 47% | -3.5% to +5.9% | 0.0% |
| Day +3 | 15 | -2.5% | -7.2% to +9.7% | 40% | -9.3% to +10.0% | 0.0% |
| Day +4 | 15 | +1.3% | -8.1% to +7.0% | 53% | -10.3% to +10.0% | 0.0% |
| Day +5 | 15 | -3.8% | -8.8% to +13.8% | 40% | -10.6% to +16.6% | 0.0% |
| Day +6 | 15 | -1.6% | -7.0% to +7.8% | 40% | -8.0% to +11.2% | 0.0% |
| Day +7 | 15 | +1.3% | -7.0% to +10.5% | 53% | -9.4% to +11.9% | 0.0% |
| Day +8 | 15 | -0.1% | -7.6% to +6.0% | 47% | -11.8% to +6.3% | 0.0% |
| Day +9 | 15 | +1.7% | -8.0% to +9.2% | 60% | -9.9% to +9.8% | 0.0% |
| Day +10 | 15 | +0.1% | -7.2% to +9.1% | 53% | -7.9% to +9.7% | 0.0% |
Crosses above gamma max 14 completed Day +10 paths · latest Sep 17, 2025
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 14 | +0.4% | -0.9% to +1.8% | 57% | -1.1% to +1.9% | 0.0% |
| Day +2 | 14 | -1.3% | -5.5% to +4.9% | 36% | -5.6% to +5.3% | 0.0% |
| Day +3 | 14 | -0.7% | -6.8% to +5.5% | 43% | -7.2% to +5.5% | 0.0% |
| Day +4 | 14 | +0.5% | -8.4% to +8.9% | 50% | -8.9% to +10.2% | 0.0% |
| Day +5 | 14 | -3.2% | -11.6% to +10.1% | 36% | -13.9% to +10.6% | 0.0% |
| Day +6 | 14 | -0.3% | -12.0% to +15.8% | 50% | -13.5% to +16.0% | 0.0% |
| Day +7 | 14 | -3.3% | -5.4% to +15.1% | 36% | -5.5% to +16.2% | 0.0% |
| Day +8 | 14 | -1.9% | -7.6% to +13.5% | 43% | -8.7% to +13.8% | 0.0% |
| Day +9 | 14 | +3.7% | -8.6% to +6.8% | 57% | -10.1% to +6.8% | 0.0% |
| Day +10 | 14 | +2.4% | -8.0% to +9.1% | 64% | -10.4% to +9.3% | 0.0% |
Returns are close-to-close after the labelled number of subsequent trading sessions. The confidence floor is the closest-to-zero bound of the order-statistic median interval; it is zero when that interval spans zero. Its coverage is nominally at least 90% under independent observations. Historical paths can overlap, so the interval and floor are descriptive uncertainty guides rather than formal coverage guarantees. Historical, not a forecast.
Last 252 sessions
| Sessions closed above gamma max | 0% |
| Gamma max crosses | 0 |
| Delta neutral crosses | 1 |
| Prior-year sessions closer to gamma max | 100.0% of 252 |
| Prior-year sessions closer to delta neutral | 45.2% of 252 |
| Open interest percentile (1y) | 24th |
| Daily open interest change versus prior year | -0.27σ (-43,404 contracts; 252 prior changes) |
| Open interest change, 5 sessions | +0.5% |
| Open interest change, 21 sessions | -0.8% |
| History available | Dec 1, 2020 → Oct 2, 2026 |
Recent crosses
- closed below delta neutral at 4.05 vs 4.10 (-1.1%)
- closed below gamma max at 7.37 vs 7.72 (-4.8%)
- closed above gamma max at 7.45 vs 7.40 (+0.6%)
- closed below gamma max at 6.34 vs 6.93 (-9.3%)
- closed above gamma max at 5.54 vs 5.52 (+0.3%)
- closed below gamma max at 4.11 vs 4.46 (-8.4%)
- closed above gamma max at 4.17 vs 4.09 (+2.0%)
- closed above delta neutral at 3.69 vs 3.51 (+4.8%)
- closed below delta neutral at 3.62 vs 3.71 (-2.5%)
- closed above delta neutral at 3.74 vs 3.73 (+0.2%)
In today's screens
Neighbours by open interest
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Canonical source: https://halfonadouble.com/stock/NIO
Questions people ask about NIO
Where is NIO's gamma max today?
As of Oct 2, 2026, the gamma max for NIO is 5.43, +61.0% from the 3.37 close. Gamma max is the underlying price at which the summed gamma of every open contract is largest; how it is computed and why it matters.
Is NIO above or below its delta neutral price?
NIO closed below delta neutral: 3.37 against a delta neutral price of 3.71. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does NIO have?
2,424,985 contracts of open interest across 240 listed contracts on Oct 2, 2026, -1.8% versus the previous session. What open interest measures.
Levels are recomputed after every trading day from licensed end-of-day options data; only derived aggregates are published. Methodology · Data and licence · Not investment advice.