NIO Options History — February 2020

In February 2020, NIO traded between $3.78 and $4.53. ATM implied volatility averaged 119.8%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 34.4%. IV traded above realized volatility by 16.5% (HV 20d: 103.3%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-02-25: Highest Volume — 396,174 contracts
  • 2020-02-25: Largest IV spike — 12.1% change
  • 2020-02-28: Highest IV Rank — 49.6%
  • 2020-02-04: Largest Expected Move — 40.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.07$3.78$4.53$4.04$4.03
Max Pain$3.92$3.50$4.00$3.50$4.00
ATM IV119.8%109.2%137.8%129.0%137.8%
Expected Move34.4%30.9%40.8%37.2%37.5%
HV 20d103.3%94.2%117.8%111.2%94.9%
HV 60d126.8%125.8%128.3%127.6%126.2%
IV Rank38.3%31.5%49.6%44.1%49.6%
IV Percentile74.8%61.1%92.1%88.9%92.1%
Term Structure1.0%-7.8%9.5%7.7%1.2%
VWIV123.9%109.6%150.6%138.0%133.8%
Skew 25d-6.3%-14.3%3.7%-0.6%-3.0%
Skew 10d-13.1%-46.9%5.8%1.7%-10.3%
Call IV 25d129.5%114.4%147.8%134.4%141.1%
Put IV 25d123.3%110.8%138.4%133.8%138.1%
Bid-Ask Spread %4.372.359.012.893.02
Gamma HHI0.130.110.150.120.12
Net GEX143.8K-653.7K1.1M-39.8K-653.7K
Net DEX-83.6M-145.4M-46.2M-75.4M-65.1M
Net VEX-1.3M-1.4M-1.2M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.351.420.570.63
Total Volume179,075105,247396,174175,753141,917
Total OI2,446,336.7372,197,0602,775,4882,296,2752,358,589

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$4.04$3.50129.0%37.2%111.2%44.1%138.0%-0.6%7.7%-39.8K-75.4M-1.2M0.572.89111,80863,945820,5821,475,693
2020-02-04$4.53$3.50136.0%40.8%117.8%48.5%150.6%-9.3%-0.6%663.6K-145.4M-1.2M0.352.78223,06879,015850,6421,491,435
2020-02-05$4.38$3.50122.9%35.8%105.3%40.2%130.8%-12.5%-1.2%707.3K-121.2M-1.3M0.592.7686,86451,518884,5251,505,909
2020-02-06$4.07$4.00114.5%34.0%109.3%34.9%121.3%-9.8%9.5%217.0K-82.6M-1.2M1.395.8778,911109,893883,1251,531,019
2020-02-07$3.80$4.00116.4%33.5%112.6%36.1%116.4%-6.0%0.7%-312.8K-49.9M-1.2M0.766.02109,93483,825909,4351,580,165
2020-02-10$3.85$4.00117.4%34.0%112.6%36.7%124.1%3.7%4.8%-136.1K-62.1M-1.2M0.499.0188,13743,585881,7901,528,850
2020-02-11$3.95$4.00110.2%31.4%111.3%32.1%112.1%-1.8%-2.0%205.6K-75.5M-1.2M1.026.3769,15170,287910,5091,544,647
2020-02-12$4.06$4.00111.6%31.7%111.4%33.1%111.6%0.0%-7.8%411.4K-92.0M-1.3M0.457.3577,62734,713930,6771,576,901
2020-02-13$4.02$4.00109.5%30.9%102.6%31.7%109.6%1.4%-5.6%384.9K-83.6M-1.3M1.425.5244,63363,351947,2961,590,042
2020-02-14$3.78$4.00110.2%30.9%104.1%32.2%110.2%2.5%-4.3%-262.4K-46.2M-1.2M1.325.3885,887113,756946,2411,629,980
2020-02-18$3.80$4.00109.2%31.2%100.8%31.5%112.8%-8.0%2.9%-180.9K-46.5M-1.3M0.385.8575,99629,251930,3441,651,555
2020-02-19$4.08$4.00112.6%32.3%97.6%33.7%115.7%-14.3%1.2%553.3K-85.9M-1.3M0.483.07146,40469,629950,2161,656,494
2020-02-20$4.22$4.00115.5%33.0%96.1%35.5%122.8%-13.1%1.0%1.1M-115.1M-1.3M0.402.74186,54374,0801,000,3261,686,394
2020-02-21$4.07$4.00113.5%32.1%95.7%34.2%116.5%-12.8%5.0%-14.4K-93.9M-1.3M0.453.2991,73841,2911,038,5601,736,928
2020-02-24$3.88$4.00119.4%33.1%94.6%38.0%120.4%-4.1%1.5%-296.9K-47.4M-1.3M0.682.8965,43444,451834,7491,362,311
2020-02-25$4.39$4.00133.9%39.9%94.8%47.2%142.8%-10.6%0.0%335.5K-117.5M-1.4M0.443.33275,085121,089848,3831,379,915
2020-02-26$4.34$4.00126.9%36.9%94.2%42.7%132.2%-12.4%0.4%328.5K-107.1M-1.4M0.662.56102,09166,967895,0851,406,569
2020-02-27$4.13$4.00130.2%37.1%95.8%44.9%132.3%-8.0%4.7%-245.5K-76.3M-1.4M0.802.35100,26680,285895,5951,428,922
2020-02-28$4.03$4.00137.8%37.5%94.9%49.6%133.8%-3.0%1.2%-653.7K-65.1M-1.4M0.633.0287,18954,728907,1251,451,464