NIO Options History — May 2019

In May 2019, NIO traded between $3.03 and $5.01. ATM implied volatility averaged 92.1%. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 37.0% (HV 20d: 55.1%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2019-05-03: Highest Volume — 303,805 contracts
  • 2019-05-28: Largest IV drop — 19.9% change
  • 2019-05-24: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.31$3.03$5.01$4.73$3.03
Max Pain$5.73$5.00$6.00$6.00$5.00
ATM IV92.1%79.5%100.5%79.5%91.9%
Expected Move26.6%22.1%29.1%24.2%27.9%
HV 20d55.1%42.1%80.3%42.2%80.3%
HV 60d79.1%64.8%82.7%81.2%64.8%
Term Structure-1.7%-5.1%2.0%-0.6%-2.7%
VWIV95.8%79.5%105.9%85.2%99.3%
Skew 25d-3.2%-6.3%0.1%0.1%-1.6%
Skew 10d-8.9%-32.9%7.4%1.2%-32.9%
Call IV 25d96.4%81.7%106.3%81.8%97.3%
Put IV 25d93.3%80.0%103.8%81.8%95.8%
Bid-Ask Spread %3.002.383.913.332.64
Gamma HHI0.240.130.510.180.51
Net GEX840.5K-1.1M2.9M525.9K-1.1M
Net DEX43.6M10.3M91.8M51.3M91.8M
Net VEX-948.4K-1.1M-577.1K-991.3K-577.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.121.230.571.23
Total Volume80,310.36430,656303,80530,65683,584
Total OI1,467,640.51,306,6791,609,0771,311,2531,582,097

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$4.73$6.0079.5%24.2%42.2%0.0%85.2%0.1%-0.6%525.9K51.3M-991.3K0.573.3319,50511,151721,892589,361
2019-05-02$4.72$6.0079.8%23.4%42.1%0.0%84.5%-0.2%-2.6%258.0K53.0M-978.5K0.763.4717,65813,415728,675596,035
2019-05-03$5.01$6.0089.6%26.6%48.0%0.0%90.9%-1.1%0.3%2.9M19.4M-1.1M0.123.71271,78232,023733,820598,576
2019-05-06$4.87$6.0097.2%27.0%48.7%0.0%95.1%-4.4%-5.1%1.2M10.3M-1.1M0.132.5367,3818,908863,752611,519
2019-05-07$4.81$6.0097.4%27.6%48.6%0.0%96.7%-0.9%1.7%1.2M15.7M-1.1M0.232.6546,13810,552890,869615,140
2019-05-08$4.61$6.0095.5%28.6%49.2%0.0%100.1%-0.8%-0.8%879.7K29.4M-1.1M0.372.4455,97520,525906,881620,348
2019-05-09$4.62$6.0099.9%28.4%49.0%0.0%100.5%-5.2%1.6%952.8K24.4M-1.1M0.232.9944,58310,045929,180619,895
2019-05-10$4.60$6.0096.9%27.2%49.0%0.0%100.6%-2.7%-1.2%903.5K26.7M-1.1M0.343.2828,1309,692945,048621,722
2019-05-13$4.31$6.0098.6%27.7%53.6%0.0%103.0%-6.1%-2.7%320.8K52.6M-970.1K0.243.1358,04414,144905,758611,875
2019-05-14$4.63$6.0095.3%26.7%57.8%0.0%96.2%-5.6%-2.9%1.1M29.5M-1.1M0.313.9148,77815,173937,798620,427
2019-05-15$4.70$6.0093.3%26.7%53.8%0.0%98.3%-3.7%-0.2%1.5M22.3M-1.1M0.403.0130,96112,347959,995632,013
2019-05-16$4.66$6.0093.0%26.7%53.3%0.0%94.6%-6.3%-0.3%1.5M27.3M-1.1M0.672.9018,74512,604968,675632,509
2019-05-17$4.44$6.0089.8%26.1%53.1%0.0%95.7%-4.6%2.0%995.1K54.6M-988.6K0.532.4564,09634,072974,385634,692
2019-05-20$4.23$6.0092.3%26.5%55.4%0.0%100.1%-4.2%-2.0%900.5K38.1M-907.4K0.153.2750,1527,545806,861499,818
2019-05-21$4.30$6.0091.8%26.3%55.8%0.0%96.1%-4.3%-2.8%1.1M31.9M-934.3K0.252.4228,0306,943829,903503,569
2019-05-22$4.07$6.0094.5%27.1%56.2%0.0%100.7%-4.8%-3.7%839.9K48.7M-854.1K0.343.3452,05917,865842,190506,563
2019-05-23$3.96$5.0098.0%28.3%56.5%0.0%103.5%-4.9%-4.8%771.7K48.3M-853.7K0.332.3858,03519,004864,443519,075
2019-05-24$3.82$5.00100.5%29.1%56.8%0.0%105.9%-2.4%-3.7%675.4K55.5M-824.7K0.772.4566,16550,884885,082533,375
2019-05-28$3.98$5.0080.5%22.8%59.3%0.0%81.7%-0.0%-3.2%914.5K58.2M-814.6K0.312.8091,41027,941888,759556,198
2019-05-29$3.67$5.0079.5%22.1%64.1%0.0%79.5%-4.3%-3.0%265.9K80.7M-695.7K0.383.8455,87321,012924,913564,996
2019-05-30$3.16$5.0091.8%27.9%80.2%0.0%99.0%-1.6%-1.6%-109.1K88.7M-598.6K1.163.0371,18082,719938,043571,366
2019-05-31$3.03$5.0091.9%27.9%80.3%0.0%99.3%-1.6%-2.7%-1.1M91.8M-577.1K1.232.6437,45146,133963,552618,545