NIO Options History — November 2019

In November 2019, NIO traded between $1.54 and $2.43. ATM implied volatility averaged 120.3%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 34.2%. IV traded below realized volatility by 15.0% (HV 20d: 135.3%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2019-11-05: Highest Volume — 294,222 contracts
  • 2019-11-04: Largest IV spike — 28.5% change
  • 2019-11-04: Highest IV Rank — 53.7%
  • 2019-11-14: Largest Expected Move — 38.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.97$1.54$2.43$1.54$2.29
Max Pain$2.02$2.00$2.50$2.50$2.00
ATM IV120.3%105.7%143.8%111.9%119.0%
Expected Move34.2%30.9%38.9%31.3%33.8%
HV 20d135.3%104.6%144.2%104.6%138.7%
HV 60d133.9%118.1%138.3%118.1%137.3%
IV Rank39.0%29.8%53.7%33.7%38.2%
IV Percentile85.3%78.5%93.6%85.0%84.1%
Term Structure-2.2%-21.3%21.2%-8.0%5.3%
VWIV124.9%106.6%148.7%107.2%129.2%
Skew 25d26.0%4.5%40.6%31.9%22.6%
Skew 10d53.5%-14.9%121.3%27.7%84.8%
Call IV 25d117.3%97.4%130.0%104.7%114.3%
Put IV 25d143.2%129.0%163.3%136.7%136.9%
Bid-Ask Spread %7.603.5211.123.527.95
Gamma HHI0.220.160.300.260.16
Net GEX-171.1K-411.9K227.6K-351.8K-26.6K
Net DEX51.8M-7.1M91.4M91.4M6.3M
Net VEX-609.3K-683.4K-493.3K-493.3K-682.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.151.170.400.39
Total Volume91,806.226,232294,22226,23251,586
Total OI2,512,227.652,181,1102,817,7352,525,6512,384,542

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$1.54$2.50111.9%31.3%104.6%33.7%107.2%31.9%-8.0%-351.8K91.4M-493.3K0.403.5218,6967,5361,109,3061,416,345
2019-11-04$1.74$2.00143.8%37.9%112.1%53.7%120.0%40.6%0.2%-390.4K85.3M-542.6K0.386.5389,98234,1941,094,6601,411,311
2019-11-05$2.28$2.00125.2%33.7%140.5%42.1%127.5%29.5%-3.0%-411.9K34.4M-668.7K0.357.55217,43676,7861,141,6011,428,569
2019-11-06$2.05$2.00128.3%35.7%143.3%44.0%126.8%28.0%-21.3%-313.2K55.2M-667.3K0.434.64142,55561,4471,199,2621,475,809
2019-11-07$2.07$2.00125.1%36.6%140.5%42.0%133.0%21.1%10.8%-329.9K54.9M-662.8K0.676.3641,83728,0741,234,8321,505,288
2019-11-08$2.00$2.00123.9%36.1%141.1%41.3%131.9%18.4%4.5%-296.3K65.1M-636.7K0.906.5644,85740,1571,247,5631,511,103
2019-11-11$1.86$2.00127.4%35.5%142.9%43.5%126.9%24.7%-6.7%-294.4K77.2M-593.1K0.389.0054,22920,4901,238,2881,493,868
2019-11-12$1.96$2.00119.6%32.6%143.6%38.6%115.9%16.7%-10.7%7.8K72.0M-597.8K0.358.6646,70316,3291,262,6211,502,777
2019-11-13$1.89$2.00116.8%32.2%139.4%36.8%122.2%11.8%-4.2%-67.1K77.7M-598.8K0.259.4627,2056,6771,281,2301,509,471
2019-11-14$1.73$2.00132.2%38.9%143.6%46.4%148.7%26.3%-9.1%-254.4K91.2M-545.1K0.977.9054,68953,1931,274,7291,510,633
2019-11-15$1.81$2.00123.9%34.9%144.2%41.2%135.3%4.5%-4.7%-201.8K89.7M-567.8K1.1711.1229,42734,3731,292,6141,525,121
2019-11-18$1.77$2.00126.5%36.9%136.4%42.9%141.7%28.9%-3.1%-210.1K47.8M-575.7K0.487.0537,29717,940978,4781,202,632
2019-11-19$1.87$2.00118.5%34.1%130.9%37.9%122.6%30.8%-0.2%-192.2K43.7M-570.2K0.156.8557,3558,4041,000,9891,213,591
2019-11-20$1.84$2.00113.1%32.4%131.3%34.4%112.1%25.2%-3.3%-191.7K43.8M-573.1K0.509.4642,69621,5171,037,4331,216,516
2019-11-21$2.01$2.00114.7%33.1%133.9%35.4%122.7%39.9%-1.5%39.1K31.8M-627.4K0.298.5655,69916,2491,060,7631,232,783
2019-11-22$1.94$2.00107.5%30.9%134.9%30.9%118.4%20.8%-3.0%-114.9K37.6M-612.3K0.438.9828,26112,1211,078,3081,243,712
2019-11-25$2.07$2.00109.3%31.8%134.2%32.1%106.6%39.3%4.0%-32.5K26.6M-634.7K0.336.2250,55116,5611,055,8141,232,259
2019-11-26$2.23$2.00112.7%33.0%133.7%34.2%110.5%35.9%21.2%-16.4K11.5M-654.0K0.326.9969,56722,5711,066,4681,242,503
2019-11-27$2.43$2.00105.7%31.8%135.5%29.8%139.7%22.6%-10.4%227.6K-7.1M-683.4K0.808.71100,61880,2591,075,7081,255,053
2019-11-29$2.29$2.00119.0%33.8%138.7%38.2%129.2%22.6%5.3%-26.6K6.3M-682.1K0.397.9537,02014,5661,087,6321,296,910