NIO Options History — April 2020

In April 2020, NIO traded between $2.39 and $3.66. ATM implied volatility averaged 114.8%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 33.0%. IV traded below realized volatility by 2.1% (HV 20d: 117.0%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-04-29: Highest Volume — 214,423 contracts
  • 2020-04-09: Largest IV spike — 17.7% change
  • 2020-04-01: Highest IV Rank — 40.5%
  • 2020-04-03: Largest Expected Move — 36.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.98$2.39$3.66$2.65$3.43
Max Pain$3.52$3.50$4.00$4.00$3.50
ATM IV114.8%105.3%129.0%129.0%110.7%
Expected Move33.0%29.8%36.3%35.4%33.2%
HV 20d117.0%75.7%157.0%144.7%86.7%
HV 60d112.5%107.6%116.7%116.3%107.6%
IV Rank28.4%21.0%40.5%40.5%24.8%
IV Percentile58.6%42.5%84.5%84.5%48.8%
Term Structure-3.0%-15.8%15.5%-13.6%2.5%
VWIV121.6%110.0%137.6%137.6%118.9%
Skew 25d8.9%-8.1%39.9%21.9%-7.9%
Skew 10d15.6%-23.9%81.6%6.5%-15.0%
Call IV 25d115.7%90.0%132.0%113.2%122.4%
Put IV 25d124.5%105.7%148.6%135.1%114.5%
Bid-Ask Spread %4.052.737.373.153.32
Gamma HHI0.160.110.240.180.11
Net GEX-460.3K-1.0M361.1K-789.1K204.1K
Net DEX2.3M-67.5M55.5M37.4M-41.2M
Net VEX-946.7K-1.0M-844.3K-913.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.171.621.100.32
Total Volume59,832.14320,438214,42342,28682,518
Total OI2,028,088.191,867,8082,156,3482,078,8781,999,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$2.65$4.00129.0%35.4%144.7%40.5%137.6%21.9%-13.6%-789.1K37.4M-913.2K1.103.1520,09022,196792,5561,286,322
2020-04-02$2.39$3.50128.1%36.1%147.7%39.8%134.0%8.7%-8.9%-801.2K55.5M-844.3K1.627.3738,15661,812796,5371,296,445
2020-04-03$2.43$3.50123.8%36.3%147.6%37.0%128.9%19.0%-13.2%-836.8K51.2M-859.7K1.104.5517,74319,531808,9761,318,859
2020-04-06$2.43$3.50122.3%34.9%147.4%35.9%130.6%39.9%9.9%-922.2K51.4M-851.2K0.756.8126,90320,172772,1701,311,737
2020-04-07$2.71$3.50123.0%34.0%153.1%35.4%122.7%14.4%-4.5%-914.5K31.4M-922.7K0.494.2946,12322,601783,3041,313,440
2020-04-08$2.76$3.50105.5%32.1%153.0%22.0%121.5%26.3%6.1%-972.6K27.6M-934.9K0.833.1911,1909,248795,4171,318,531
2020-04-09$2.67$3.50124.2%33.6%152.6%34.3%124.4%12.5%-8.9%-1.0M33.8M-914.3K0.384.0022,8168,566798,6561,321,555
2020-04-13$2.94$3.50119.1%34.4%157.0%30.8%122.6%12.3%-2.6%-927.4K15.9M-942.8K0.373.5646,96817,485786,1891,313,104
2020-04-14$3.01$3.50106.7%30.5%156.3%22.0%111.6%4.4%1.5%-900.2K7.2M-972.8K0.573.4339,36422,288800,8181,319,496
2020-04-15$3.12$3.50114.1%32.7%156.7%27.3%119.8%-3.4%-0.3%-801.8K-3.8M-986.9K0.472.8230,28614,366805,1061,326,139
2020-04-16$3.22$3.50113.7%32.4%97.3%26.9%118.0%-3.0%2.4%-136.7K-17.8M-997.8K0.193.7478,49914,725813,5011,329,424
2020-04-17$3.22$3.50110.7%31.8%93.6%24.9%115.2%-2.1%-2.9%-130.1K-18.5M-1.0M0.264.1434,2649,023825,1831,331,165
2020-04-20$3.19$3.50112.3%31.0%94.0%26.0%115.6%33.8%-14.6%-89.6K-20.8M-976.7K0.464.0138,11417,705745,2321,122,576
2020-04-21$3.04$3.50110.7%33.0%92.9%24.8%120.9%2.8%-15.8%-208.7K-10.5M-943.8K0.834.6317,97814,916752,5911,131,588
2020-04-22$3.09$3.50105.3%31.0%78.8%21.0%115.6%-1.1%-7.6%-182.2K-13.4M-942.7K1.574.0314,23522,380757,2461,130,898
2020-04-23$3.06$3.50107.7%30.9%76.0%22.7%118.0%-3.4%-1.0%-215.2K-10.7M-933.5K0.743.6417,39312,785760,9051,140,009
2020-04-24$2.97$3.50114.0%32.2%75.7%27.2%120.8%-0.5%15.5%-308.2K-4.2M-920.7K0.943.7518,94617,860767,3981,148,215
2020-04-27$3.24$3.50108.5%31.4%80.8%23.3%110.9%6.1%-5.7%-144.9K-20.2M-961.2K0.492.7333,63416,598753,7631,145,666
2020-04-28$3.38$3.50105.3%29.8%80.5%21.0%110.0%13.1%-5.2%55.2K-35.1M-999.7K0.243.2150,57512,000769,8981,152,374
2020-04-29$3.66$3.50116.4%35.3%83.9%28.9%136.8%-8.1%3.3%361.1K-67.5M-1.0M0.174.67182,54031,883790,0641,156,929
2020-04-30$3.43$3.50110.7%33.2%86.7%24.8%118.9%-7.9%2.5%204.1K-41.2M-1.0M0.323.3262,30920,209831,3221,168,548