NIO Options History — November 2020

In November 2020, NIO traded between $33.15 and $55.17. ATM implied volatility averaged 120.5%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 34.9%. IV traded above realized volatility by 18.3% (HV 20d: 102.2%). Max pain ranged from $21.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2020-11-13: Highest Volume — 3,385,084 contracts
  • 2020-11-13: Largest IV spike — 20.8% change
  • 2020-11-13: Highest IV Rank — 57.1%
  • 2020-11-13: Largest Expected Move — 43.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.62$33.15$55.17$33.15$51.15
Max Pain$34.05$21.00$41.00$21.00$41.00
ATM IV120.5%105.4%156.4%107.6%114.3%
Expected Move34.9%30.8%43.7%33.0%35.0%
HV 20d102.2%91.5%111.2%104.0%94.9%
HV 60d90.2%86.8%95.4%89.6%87.7%
IV Rank29.6%18.0%57.1%19.7%24.8%
IV Percentile54.6%19.8%96.0%25.8%42.9%
Term Structure-3.1%-7.0%1.5%-2.6%1.5%
VWIV122.9%108.4%153.7%115.7%123.8%
Skew 25d-11.9%-26.3%5.5%5.5%-7.2%
Skew 10d-12.3%-29.1%9.2%9.2%-12.5%
Call IV 25d129.4%103.7%177.8%103.7%117.5%
Put IV 25d117.5%102.8%151.6%109.2%110.3%
Bid-Ask Spread %3.301.4311.201.433.35
Gamma HHI0.110.070.270.090.08
Net GEX30.9M16.7M59.1M18.0M22.5M
Net DEX-5.38B-6.54B-3.42B-3.42B-5.06B
Net VEX-8.3M-10.5M-5.5M-5.6M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.330.740.340.56
Total Volume1,178,185.1570,6933,385,0841,086,955621,577
Total OI3,284,845.652,725,6283,875,2302,725,6282,981,216

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$33.15$21.00107.6%33.0%104.0%19.7%115.7%5.5%-2.6%18.0M-3.42B-5.6M0.341.43808,318278,6371,345,9311,379,697
2020-11-03$35.40$21.00105.4%32.4%102.3%18.0%114.0%0.5%-1.8%19.4M-3.87B-5.5M0.332.48626,795205,4511,345,9311,379,697
2020-11-04$37.61$21.00110.5%34.6%102.9%21.9%121.7%-2.5%-3.7%25.9M-4.42B-6.1M0.403.091,082,699436,6651,493,5031,496,672
2020-11-05$41.75$29.00112.3%30.8%105.4%23.3%108.4%-9.0%-3.2%32.8M-5.40B-6.4M0.384.52973,029365,8961,586,5721,569,740
2020-11-06$41.74$30.00115.4%32.7%105.7%25.7%114.4%-16.1%-3.5%33.8M-5.33B-6.7M0.5211.20871,787454,5791,636,0651,659,822
2020-11-09$44.42$33.00116.2%32.4%106.0%26.3%114.0%-13.8%-2.1%24.3M-5.44B-7.0M0.392.53651,308256,5791,528,7841,557,635
2020-11-10$41.32$35.00124.9%34.7%111.2%32.9%123.9%-19.8%-3.7%18.3M-4.67B-7.3M0.683.25582,939397,6001,602,7551,624,408
2020-11-11$42.85$35.00115.0%32.2%91.5%25.4%112.9%-17.1%-3.4%26.8M-5.09B-7.8M0.512.44503,041257,0871,667,2621,676,359
2020-11-12$48.14$35.00129.4%36.0%96.4%36.4%126.8%-10.2%-5.1%40.5M-6.54B-8.0M0.434.191,327,552571,6921,724,2521,694,215
2020-11-13$44.60$35.00156.4%43.7%103.1%57.1%153.7%-26.3%-7.0%16.7M-5.24B-8.7M0.742.511,944,9011,440,1831,775,5051,815,731
2020-11-16$45.19$36.00141.4%40.2%101.7%45.6%142.3%-20.4%-5.0%20.2M-5.27B-9.3M0.611.75554,228335,9741,705,7721,711,447
2020-11-17$46.28$37.00141.9%40.5%101.5%46.0%144.7%-14.7%-4.8%26.5M-5.65B-9.6M0.573.89647,181370,8021,826,6271,773,082
2020-11-18$44.85$37.00117.3%33.6%103.1%27.1%119.6%-10.1%-3.1%26.6M-5.18B-9.1M0.622.43766,260472,7891,900,6181,856,579
2020-11-19$48.64$37.00117.0%33.7%104.0%26.9%119.6%-16.2%-2.1%48.9M-6.41B-9.3M0.413.61739,372302,7011,946,3671,873,642
2020-11-20$49.19$38.00107.3%30.9%103.0%19.5%110.7%-18.1%-0.7%59.1M-6.46B-9.3M0.522.96700,997367,5601,979,0641,896,166
2020-11-23$55.17$39.00115.6%34.0%103.8%25.8%119.3%-14.9%-1.9%34.6M-6.30B-9.5M0.462.40821,696375,8361,483,3031,462,451
2020-11-24$53.48$40.00124.1%36.6%105.0%32.3%128.1%-11.0%-3.9%31.7M-5.84B-10.4M0.532.55675,091357,1771,571,2601,553,308
2020-11-25$53.52$40.00120.5%35.2%103.3%29.6%121.7%-8.0%-3.2%40.9M-5.92B-10.3M0.542.84550,557296,4731,655,9321,611,291
2020-11-27$54.03$41.00117.8%34.8%94.1%27.5%123.0%-8.6%-2.6%50.4M-6.04B-10.5M0.492.51382,967187,7261,685,9081,662,344
2020-11-30$51.15$41.00114.3%35.0%94.9%24.8%123.8%-7.2%1.5%22.5M-5.06B-10.0M0.563.35397,269224,3081,481,9161,499,300