NIO Options History — December 2018

In December 2018, NIO traded between $5.98 and $7.79. ATM implied volatility averaged 79.4%. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 16.8% (HV 20d: 62.6%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-12-26: Highest Volume — 28,916 contracts
  • 2018-12-12: Largest IV drop — 18.5% change
  • 2018-12-10: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.91$5.98$7.79$7.56$6.23
Max Pain$7.05$6.00$8.00$7.00$6.00
ATM IV79.4%67.6%103.2%81.4%67.6%
Expected Move22.0%19.4%24.5%23.3%19.4%
HV 20d62.6%60.7%65.1%61.5%62.5%
Term Structure4.6%-2.8%9.2%-2.7%6.5%
VWIV77.8%69.1%87.6%81.9%72.8%
Skew 25d-8.1%-25.3%-0.9%-8.3%-25.3%
Skew 10d-11.5%-48.2%20.3%-7.7%-48.2%
Call IV 25d81.7%73.7%92.3%88.9%81.1%
Put IV 25d73.6%55.8%84.8%80.7%55.8%
Bid-Ask Spread %12.097.4318.718.6011.37
Gamma HHI0.340.210.440.390.24
Net GEX974.5K322.3K1.7M1.2M759.9K
Net DEX-23.7M-54.6M5.7M-44.5M-11.9M
Net VEX-183.6K-229.7K-136.8K-215.5K-149.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.090.710.300.24
Total Volume18,693.554,71028,91625,65610,366
Total OI255,333.25192,608296,032234,665237,591

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$7.56$7.0081.4%23.3%0.0%0.0%81.9%-8.3%-2.7%1.2M-44.5M-215.5K0.308.6019,7985,858178,20156,464
2018-12-04$7.09$7.0080.2%23.0%0.0%0.0%84.5%-12.0%-0.1%1.0M-29.1M-202.8K0.327.4318,7816,016185,12460,356
2018-12-05$7.09$7.0082.7%23.7%0.0%0.0%87.6%-14.2%-2.8%1.0M-29.6M-200.3K0.2114.3719,0284,001185,12460,356
2018-12-06$7.34$8.0087.9%22.9%0.0%0.0%79.7%-0.9%1.1%1.2M-36.8M-211.5K0.4911.419,5004,688187,74061,614
2018-12-07$7.04$8.0090.6%22.3%0.0%0.0%80.1%-5.0%5.3%1.0M-27.6M-199.6K0.4611.353,2321,478189,40363,331
2018-12-10$7.01$8.00103.2%24.5%0.0%0.0%85.8%-1.6%1.4%1.0M-28.2M-196.9K0.1118.7123,9502,578191,46764,165
2018-12-11$7.08$7.0096.6%22.6%0.0%0.0%81.4%-6.6%7.5%1.0M-27.9M-189.1K0.0911.8019,0811,646187,00164,404
2018-12-12$7.49$7.0078.8%22.6%0.0%0.0%80.7%-6.6%4.5%1.4M-42.1M-205.7K0.4910.3716,9368,374200,75465,136
2018-12-13$7.79$8.0077.8%22.3%0.0%0.0%77.9%-2.3%5.7%1.7M-54.6M-229.7K0.1410.7917,5002,506208,15070,766
2018-12-14$7.68$7.0077.1%22.1%0.0%0.0%76.7%-3.0%7.9%1.7M-50.8M-226.3K0.3013.2913,5223,995212,05969,300
2018-12-17$7.06$7.0080.0%22.9%0.0%0.0%80.8%-8.3%4.7%1.2M-22.9M-191.5K0.3311.869,3343,120214,99171,162
2018-12-18$7.07$7.0072.0%20.6%0.0%0.0%72.1%-1.8%6.9%1.1M-20.2M-184.0K0.1614.5019,4763,077216,92772,943
2018-12-19$6.82$7.0075.3%21.6%0.0%0.0%77.4%-13.4%6.7%766.9K-11.3M-172.0K0.3017.289,2592,800219,53273,099
2018-12-20$6.51$7.0074.3%21.3%61.5%0.0%70.2%-11.5%9.1%504.5K821.0K-152.2K0.7013.2615,58810,852221,08373,281
2018-12-21$6.12$7.0076.6%22.0%62.6%0.0%79.1%-5.0%1.2%375.0K5.7M-140.7K0.7115.3711,3548,042219,86676,166
2018-12-24$5.98$7.0071.9%20.6%60.7%0.0%73.1%-5.4%9.2%322.3K-2.5M-136.8K0.6810.687,8705,352141,51151,097
2018-12-26$6.34$7.0070.7%20.3%65.1%0.0%71.2%-4.7%9.1%445.7K-7.4M-145.4K0.169.1524,9183,998146,65951,686
2018-12-27$6.41$6.0074.6%21.4%63.8%0.0%74.4%-13.0%6.2%771.7K-17.1M-161.9K0.569.939,2815,220174,02352,429
2018-12-28$6.41$6.0068.7%19.7%62.2%0.0%69.1%-12.5%5.0%772.5K-15.8M-161.2K0.2910.328,9452,551175,70555,999
2018-12-31$6.23$6.0067.6%19.4%62.5%0.0%72.8%-25.3%6.5%759.9K-11.9M-149.5K0.2411.378,3302,036180,98556,606