NIO Options History — May 2020

In May 2020, NIO traded between $3.20 and $4.16. ATM implied volatility averaged 110.0%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 32.6%. IV traded above realized volatility by 28.3% (HV 20d: 81.7%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2020-05-27: Highest Volume — 190,714 contracts
  • 2020-05-28: Largest IV drop — 20.6% change
  • 2020-05-22: Highest IV Rank — 38.8%
  • 2020-05-22: Largest Expected Move — 38.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.57$3.20$4.16$3.20$3.97
Max Pain$3.23$3.00$3.50$3.50$3.50
ATM IV110.0%93.8%130.5%109.9%98.1%
Expected Move32.6%27.8%38.3%32.2%27.8%
HV 20d81.7%71.4%101.0%81.3%99.6%
HV 60d108.1%104.8%113.3%108.3%113.3%
IV Rank24.3%12.9%38.8%24.3%15.9%
IV Percentile48.6%27.0%85.7%47.2%28.6%
Term Structure-1.8%-18.3%16.0%1.3%-0.6%
VWIV116.1%101.1%134.5%116.1%101.1%
Skew 25d5.8%-9.2%14.1%3.7%3.3%
Skew 10d16.6%-51.8%110.0%3.0%6.9%
Call IV 25d110.7%99.2%132.3%115.1%100.5%
Put IV 25d116.5%100.7%142.5%118.8%103.8%
Bid-Ask Spread %4.773.166.263.253.90
Gamma HHI0.120.090.330.130.33
Net GEX446.0K-129.7K2.0M-129.7K2.0M
Net DEX-49.2M-95.1M-20.3M-20.3M-67.3M
Net VEX-998.3K-1.1M-937.3K-955.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.181.270.430.33
Total Volume74,841.723,841190,71471,42875,210
Total OI1,805,839.051,429,5542,041,6272,008,6021,658,799

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$3.20$3.50109.9%32.2%81.3%24.3%116.1%3.7%1.3%-129.7K-20.3M-955.4K0.433.2549,87021,558837,6291,170,973
2020-05-04$3.29$3.50104.5%31.4%81.4%20.4%110.3%13.8%-18.3%12.3K-28.7M-962.3K0.295.5939,93711,726812,6571,158,272
2020-05-05$3.29$3.50108.5%32.8%81.4%23.3%119.9%-6.6%-11.0%66.1K-32.9M-972.3K0.296.2638,79311,343825,1361,163,730
2020-05-06$3.59$3.00104.6%32.5%78.4%20.5%114.1%1.5%0.3%642.4K-62.5M-1.0M0.216.0892,03119,648841,2731,168,365
2020-05-07$3.61$3.00104.6%32.1%78.5%20.5%116.7%6.7%-4.4%550.5K-62.4M-1.0M0.445.2946,25320,217847,5991,176,097
2020-05-08$3.76$3.0093.8%31.4%77.0%12.9%112.6%4.7%-1.3%502.0K-77.2M-1.0M0.185.8072,67112,770855,6591,185,968
2020-05-11$3.74$3.00109.8%33.2%71.4%24.2%116.0%9.2%8.3%376.7K-66.0M-1.1M0.295.7430,2318,897838,8411,178,557
2020-05-12$3.65$3.00103.7%31.5%72.4%19.9%110.3%8.7%16.0%473.0K-59.8M-1.0M0.396.2119,7297,664844,1761,184,003
2020-05-13$3.44$3.00107.2%32.8%75.6%22.4%114.2%-9.2%7.3%241.1K-38.1M-982.3K0.485.4030,70814,810848,4841,186,872
2020-05-14$3.46$3.00107.4%32.4%75.0%22.5%115.5%4.6%7.0%465.7K-39.6M-974.7K0.514.8923,17311,904849,3921,188,949
2020-05-15$3.39$3.00106.9%31.5%75.4%22.2%113.9%6.6%5.1%242.5K-27.3M-940.8K0.314.0318,2405,601848,4021,188,866
2020-05-18$3.60$3.00106.7%30.8%78.0%22.0%110.2%0.3%0.3%402.2K-47.0M-977.9K0.183.9650,0508,930685,898743,656
2020-05-19$3.70$3.00111.2%31.8%75.6%25.2%110.0%10.4%-2.8%552.0K-55.6M-1.0M1.073.8139,55142,146709,452746,958
2020-05-20$3.49$3.00114.4%32.8%79.3%27.4%115.4%10.1%-4.7%343.4K-38.6M-968.8K0.896.0756,92550,757721,685782,065
2020-05-21$3.29$3.50117.1%33.9%82.5%29.3%123.5%12.1%-9.3%173.9K-23.7M-939.9K0.464.4639,00817,990738,947803,178
2020-05-22$3.26$3.50130.5%38.3%81.7%38.8%134.5%10.2%-9.8%203.2K-25.2M-937.3K1.273.1631,95040,627749,621804,301
2020-05-26$3.78$3.50130.4%36.5%92.0%38.8%133.9%11.8%-14.2%457.0K-62.4M-1.0M0.364.0282,70729,729732,155810,920
2020-05-27$4.16$3.50128.1%37.8%96.6%37.1%130.6%14.1%-5.0%755.2K-95.1M-1.1M0.363.68140,60050,114760,428826,770
2020-05-28$3.75$3.50101.7%28.8%101.0%18.5%104.1%0.2%0.6%585.9K-54.8M-1.0M0.413.8693,83438,932785,729856,319
2020-05-29$3.97$3.5098.1%27.8%99.6%15.9%101.1%3.3%-0.6%2.0M-67.3M-1.1M0.333.9056,49518,715789,918868,881