NIO Options History — March 2019

In March 2019, NIO traded between $4.99 and $10.28. ATM implied volatility averaged 85.4%. The 30-day expected move averaged 25.1%. IV traded below realized volatility by 25.8% (HV 20d: 111.2%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2019-03-06: Highest Volume — 485,376 contracts
  • 2019-03-06: Largest IV drop — 36.1% change
  • 2019-03-05: Largest Expected Move — 50.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.58$4.99$10.28$10.02$5.11
Max Pain$7.86$7.00$10.00$9.00$7.00
ATM IV85.4%59.5%175.2%158.8%70.1%
Expected Move25.1%18.5%50.2%45.5%20.8%
HV 20d111.2%67.9%126.0%67.9%104.5%
HV 60d79.0%58.8%84.1%60.2%82.4%
Term Structure-1.1%-31.1%23.7%-31.1%1.7%
VWIV86.4%62.6%171.7%155.3%75.2%
Skew 25d-1.6%-11.8%51.9%-9.4%0.3%
Skew 10d-2.3%-26.5%61.3%-22.5%21.0%
Call IV 25d80.0%59.8%165.8%165.8%70.5%
Put IV 25d78.4%58.0%156.4%156.4%70.9%
Bid-Ask Spread %10.256.2824.8314.969.17
Gamma HHI0.210.180.290.200.20
Net GEX726.5K-637.2K1.4M1.1M1.1M
Net DEX108.0M-141.9M248.7M-120.2M88.4M
Net VEX-935.0K-1.0M-823.9K-939.6K-896.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.240.860.460.24
Total Volume148,531.38126,362485,376164,81028,169
Total OI1,334,228877,1501,781,357877,1501,360,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$10.02$9.00158.8%45.5%67.9%0.0%155.3%-9.4%-31.1%1.1M-120.2M-939.6K0.4614.96112,87651,934449,748427,402
2019-03-04$9.78$9.00172.9%49.6%69.0%0.0%165.9%-10.3%-14.6%1.0M-91.2M-925.0K0.629.06124,27576,714481,813464,202
2019-03-05$10.28$9.00175.2%50.2%69.9%0.0%171.7%-5.9%-17.7%899.7K-141.9M-1.0M0.4416.64163,41872,153509,086510,447
2019-03-06$8.01$10.00111.9%32.1%116.8%0.0%90.8%51.9%23.7%-408.1K130.2M-893.4K0.346.28363,208122,168562,630549,284
2019-03-07$7.11$9.0096.2%27.6%121.3%0.0%97.1%-11.8%-0.4%-637.2K217.8M-823.9K0.396.29311,685120,767682,854607,249
2019-03-08$7.08$9.0075.0%21.5%120.2%0.0%74.7%-4.2%-1.0%-84.5K213.7M-869.3K0.376.75199,29773,302806,428665,301
2019-03-11$6.60$8.0087.6%19.5%121.5%0.0%69.8%15.7%1.3%69.4K227.8M-924.4K0.7224.83144,686103,683871,541693,193
2019-03-12$6.40$8.0061.6%18.5%121.5%0.0%62.6%-7.6%-0.0%572.0K235.4M-952.9K0.478.7970,69333,331930,619713,309
2019-03-13$6.55$8.0062.1%18.9%122.0%0.0%64.5%-5.2%5.3%848.1K218.3M-1.0M0.459.8493,27341,801957,363723,946
2019-03-14$6.04$8.0067.2%19.4%124.7%0.0%68.8%-3.2%-1.3%118.4K243.8M-935.9K0.638.1976,36347,979998,066732,431
2019-03-15$5.79$8.0068.7%20.5%125.1%0.0%72.5%-7.0%3.7%934.3K248.7M-953.4K0.866.9180,98169,3651,029,368751,989
2019-03-18$5.77$7.0068.2%20.3%125.1%0.0%73.2%-2.8%2.8%1.0M91.8M-978.6K0.4015.1370,88028,647714,114503,867
2019-03-19$5.95$7.0062.2%20.3%126.0%0.0%68.6%-1.1%9.0%1.4M72.1M-1.0M0.6511.8146,03530,087743,510504,453
2019-03-20$5.87$7.0059.5%19.4%124.5%0.0%68.8%-9.4%8.7%1.3M79.1M-1.0M0.2611.8332,7168,366757,935521,436
2019-03-21$5.85$7.0060.4%19.2%124.3%0.0%68.6%-1.4%-2.2%1.4M82.1M-1.0M0.318.5720,1116,251765,702523,158
2019-03-22$5.62$7.0059.5%19.4%122.0%0.0%68.5%-2.8%-2.5%1.2M77.3M-982.6K0.448.1030,22913,292771,622498,612
2019-03-25$5.35$7.0068.1%20.2%111.6%0.0%71.4%-0.7%-6.3%956.7K93.9M-899.6K0.407.7639,69315,701777,806502,548
2019-03-26$4.99$7.0069.1%21.0%105.5%0.0%74.6%-7.7%0.3%662.6K104.0M-825.9K0.657.7761,00739,869791,531501,397
2019-03-27$5.01$7.0072.2%21.2%105.8%0.0%78.1%-4.1%-4.0%823.5K97.9M-849.7K0.308.0536,46411,056817,060503,772
2019-03-28$4.99$7.0067.4%21.5%106.2%0.0%74.7%-6.6%2.2%946.8K99.2M-846.4K0.508.4931,14815,486835,586505,778
2019-03-29$5.11$7.0070.1%20.8%104.5%0.0%75.2%0.3%1.7%1.1M88.4M-896.7K0.249.1722,6285,541850,084510,548