NIO Options History — August 2019

In August 2019, NIO traded between $2.81 and $3.26. ATM implied volatility averaged 83.9%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded above realized volatility by 8.5% (HV 20d: 75.4%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2019-08-13: Highest Volume — 82,046 contracts
  • 2019-08-26: Largest IV spike — 10.5% change
  • 2019-08-05: Highest IV Rank — 29.3%
  • 2019-08-28: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.02$2.81$3.26$3.23$2.88
Max Pain$3.59$3.00$4.00$4.00$3.50
ATM IV83.9%76.3%92.7%86.0%87.9%
Expected Move24.0%21.6%27.1%23.8%26.2%
HV 20d75.4%62.6%83.7%63.3%77.0%
HV 60d79.3%72.5%83.4%77.6%72.5%
IV Rank21.8%15.3%29.3%23.6%25.2%
IV Percentile57.1%35.6%74.7%63.7%66.7%
Term Structure-1.4%-4.9%6.0%-3.7%-2.9%
VWIV85.5%70.2%97.3%90.3%90.8%
Skew 25d2.8%-7.8%14.1%-6.4%9.6%
Skew 10d3.2%-39.3%35.6%-8.5%15.0%
Call IV 25d85.1%75.5%93.5%92.6%86.2%
Put IV 25d87.9%79.4%95.9%86.1%95.9%
Bid-Ask Spread %5.213.0411.113.414.22
Gamma HHI0.240.170.710.180.23
Net GEX386.0K-578.5K3.8M815.7K-578.5K
Net DEX68.4M30.2M109.3M63.1M70.0M
Net VEX-731.6K-802.4K-667.8K-791.7K-733.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.282.750.491.73
Total Volume49,236.95525,45382,04639,33138,432
Total OI1,644,224.0911,359,3631,876,1461,758,6391,559,917

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$3.23$4.0086.0%23.8%63.3%23.6%90.3%-6.4%-3.7%815.7K63.1M-791.7K0.493.4126,34812,983949,862808,777
2019-08-02$3.26$4.0087.2%25.4%62.6%24.7%88.9%-2.2%-4.6%725.9K59.8M-802.4K0.343.0421,7337,456953,352813,402
2019-08-05$2.91$3.5092.7%26.0%70.1%29.3%92.2%-0.3%3.6%404.4K84.7M-710.2K0.286.6244,07512,323920,515808,032
2019-08-06$3.11$3.0085.1%23.0%71.1%22.9%81.2%14.1%-4.9%685.0K73.2M-748.7K0.474.0633,06615,555935,096811,632
2019-08-07$3.06$3.0080.3%22.9%71.0%18.7%81.5%4.6%-0.4%854.5K77.1M-738.7K1.104.3829,28332,088956,010821,821
2019-08-08$3.17$3.5080.2%22.3%68.9%18.7%80.5%3.8%-2.0%905.6K69.9M-762.0K0.464.8022,06910,111970,797848,357
2019-08-09$3.16$3.5076.3%21.6%68.5%15.3%80.1%-1.1%5.1%974.8K71.4M-758.9K0.933.0626,13924,313977,632854,767
2019-08-12$3.02$4.0080.9%23.0%69.8%19.3%81.3%3.1%1.6%894.6K85.0M-714.7K0.496.0417,1208,333948,076847,533
2019-08-13$3.19$4.0081.3%23.6%72.1%19.6%81.6%6.5%6.0%201.5K65.3M-740.3K0.943.7342,18339,863952,568851,290
2019-08-14$2.90$4.0085.0%23.9%77.1%22.8%84.6%0.4%-1.8%686.2K97.1M-688.4K0.644.8533,36421,505971,298879,067
2019-08-15$2.81$3.5087.2%24.1%77.6%24.6%85.9%-7.8%-4.0%-110.8K109.3M-667.8K0.965.0026,19325,099977,608883,505
2019-08-16$2.97$3.5082.9%23.3%80.9%21.0%86.2%1.1%-3.4%3.8M97.1M-709.9K1.225.3836,33644,270987,521888,625
2019-08-19$3.02$4.0078.0%22.2%81.3%16.8%78.5%2.4%-4.8%117.7K42.2M-729.8K0.466.5929,03713,244663,987695,376
2019-08-20$3.20$3.5077.3%22.0%83.7%16.2%70.2%4.0%-4.0%-256.7K30.2M-724.8K0.615.9041,80125,464677,338703,174
2019-08-21$3.04$3.5078.1%22.4%81.9%16.9%81.6%2.0%-2.1%110.1K43.3M-740.1K0.5111.1127,41213,953699,308724,299
2019-08-22$3.02$3.5077.6%22.2%80.8%16.5%81.1%-1.8%2.0%243.2K46.4M-742.5K0.884.1722,84420,202712,374736,920
2019-08-23$2.91$3.5081.1%23.4%81.3%19.4%83.7%3.0%-0.5%-363.9K61.5M-714.3K0.644.2417,88311,463729,570754,437
2019-08-26$2.85$3.5089.6%26.7%81.3%26.7%96.1%9.2%-1.4%-322.8K59.9M-703.3K1.615.2128,02745,039657,534746,702
2019-08-27$2.88$3.5088.7%27.1%81.2%26.0%97.3%5.1%-3.1%-386.8K64.9M-716.0K2.756.6414,68340,308678,953786,638
2019-08-28$2.89$3.5091.4%27.1%80.2%28.3%94.8%3.4%-2.8%-373.6K64.4M-722.1K2.216.8014,32831,611685,439812,254
2019-08-29$2.86$3.5090.4%25.8%77.0%27.4%91.8%9.8%-2.2%-554.6K69.1M-734.6K1.355.3515,15920,515693,997837,570
2019-08-30$2.88$3.5087.9%26.2%77.0%25.2%90.8%9.6%-2.9%-578.5K70.0M-733.0K1.734.2214,07524,357704,584855,333