NIO Options History — June 2019

In June 2019, NIO traded between $2.40 and $3.03. ATM implied volatility averaged 97.5%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 28.2%. IV traded above realized volatility by 15.9% (HV 20d: 81.6%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2019-06-03: Highest Volume — 131,141 contracts
  • 2019-06-20: Largest IV drop — 8.7% change
  • 2019-06-10: Highest IV Rank — 41.2%
  • 2019-06-03: Largest Expected Move — 33.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.65$2.40$3.03$2.91$2.53
Max Pain$3.75$3.00$5.00$5.00$3.00
ATM IV97.5%88.3%106.5%105.1%89.5%
Expected Move28.2%24.4%33.1%33.1%24.4%
HV 20d81.6%71.0%92.0%74.4%71.0%
HV 60d64.4%61.4%67.4%61.4%66.3%
IV Rank33.5%25.6%41.2%40.0%26.6%
IV Percentile83.2%66.0%94.7%94.4%67.6%
Term Structure0.4%-4.0%6.1%-0.8%0.5%
VWIV99.7%87.2%116.5%116.5%87.2%
Skew 25d2.3%-4.8%9.4%0.8%8.9%
Skew 10d2.9%-24.5%41.1%6.0%22.3%
Call IV 25d100.0%89.2%113.7%106.2%90.0%
Put IV 25d102.3%95.4%108.9%107.1%98.9%
Bid-Ask Spread %2.461.463.823.771.48
Gamma HHI0.190.110.310.150.31
Net GEX71.6K-249.7K781.7K-207.1K781.7K
Net DEX67.9M42.9M85.9M85.9M47.5M
Net VEX-550.0K-628.7K-479.4K-557.6K-534.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.213.971.170.56
Total Volume66,874.525,200131,141131,14147,679
Total OI1,596,860.91,373,5721,834,3521,493,9111,460,818

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$2.91$5.00105.1%33.1%74.4%40.0%116.5%0.8%-0.8%-207.1K85.9M-557.6K1.173.7760,37370,768896,353597,558
2019-06-04$3.03$5.0098.5%29.0%78.2%34.3%106.7%0.4%-1.0%-74.3K78.4M-608.0K0.323.7143,98914,200932,235629,215
2019-06-05$2.84$5.0094.7%27.7%79.4%31.1%97.8%3.1%-2.2%-129.3K80.8M-584.8K0.323.8260,16119,157955,246636,016
2019-06-06$2.65$4.00102.8%29.1%80.7%38.0%103.3%5.5%-2.1%30.3K81.9M-523.3K1.203.4435,26842,4101,000,658643,957
2019-06-07$2.78$4.0099.9%28.5%84.4%35.5%100.2%2.6%-2.4%62.7K79.3M-573.9K1.102.3330,39433,4881,012,425654,908
2019-06-10$2.60$4.00106.5%31.0%85.3%41.2%109.5%-4.8%0.7%-55.4K77.2M-526.3K0.413.3226,92910,972971,557631,824
2019-06-11$2.61$4.00104.4%30.6%84.9%39.4%108.9%0.4%4.2%-42.2K75.5M-535.7K0.853.4419,71516,757983,074634,664
2019-06-12$2.53$4.00103.0%29.7%76.8%38.2%105.5%2.8%1.5%-94.2K77.9M-508.5K3.972.6219,84278,768988,260628,246
2019-06-13$2.52$4.00100.4%29.8%75.6%36.0%105.1%-1.9%4.4%-249.7K80.8M-508.9K0.372.1919,4817,163996,231693,852
2019-06-14$2.40$4.0096.8%28.7%75.4%32.9%100.0%4.3%3.9%-220.7K85.2M-479.4K0.532.8834,65118,3061,006,278692,768
2019-06-17$2.49$4.00101.0%29.4%79.1%36.5%101.3%0.1%-4.0%-116.5K79.1M-490.7K0.501.8731,76916,041973,865679,709
2019-06-18$2.56$4.0096.0%27.5%81.2%32.2%97.2%-0.1%0.6%27.7K70.5M-536.0K0.212.0489,49918,472993,522685,916
2019-06-19$2.74$3.0097.4%27.9%86.5%33.4%97.5%2.6%-3.6%86.0K61.3M-585.7K0.291.4784,69424,7901,046,831688,315
2019-06-20$2.84$3.0088.9%25.2%88.0%26.1%88.0%1.7%6.1%284.5K53.6M-628.7K0.321.4688,11328,2531,090,263700,106
2019-06-21$2.61$3.0096.5%27.8%91.1%32.6%98.0%1.1%-0.2%286.0K59.5M-580.0K0.341.8856,16219,3611,122,845711,507
2019-06-24$2.66$3.0093.9%26.3%92.0%30.4%91.6%4.0%2.7%186.0K42.9M-570.5K0.272.0834,8589,290769,623603,949
2019-06-25$2.58$3.0094.7%26.9%89.3%31.1%97.9%3.0%-0.0%355.1K46.9M-559.0K0.722.0114,65110,549785,995609,858
2019-06-26$2.56$3.0092.5%26.3%86.6%29.2%94.1%2.7%0.6%351.1K46.9M-557.4K0.501.8725,26112,512792,156614,038
2019-06-27$2.59$3.0088.3%25.4%71.8%25.6%88.6%9.4%0.0%170.9K46.3M-551.6K0.271.5749,33013,414803,074619,503
2019-06-28$2.53$3.0089.5%24.4%71.0%26.6%87.2%8.9%0.5%781.7K47.5M-534.5K0.561.4830,64217,037832,202628,616