NIO Options History — January 2021

In January 2021, NIO traded between $50.78 and $63.04. ATM implied volatility averaged 99.4%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 28.2%. IV traded above realized volatility by 27.7% (HV 20d: 71.7%). Max pain ranged from $32.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2021-01-11: Highest Volume — 1,495,192 contracts
  • 2021-01-27: Largest IV spike — 11.1% change
  • 2021-01-04: Highest IV Rank — 23.1%
  • 2021-01-04: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.12$50.78$63.04$53.34$57.21
Max Pain$40.63$32.00$47.00$32.00$47.00
ATM IV99.4%86.6%112.0%112.0%105.3%
Expected Move28.2%24.8%31.3%31.3%29.9%
HV 20d71.7%65.1%75.9%71.3%74.0%
HV 60d90.9%84.2%96.9%94.9%84.2%
IV Rank13.4%3.6%23.1%23.1%17.9%
IV Percentile15.5%2.0%38.1%38.1%24.6%
Term Structure0.7%-2.3%5.1%-1.1%3.0%
VWIV99.9%87.7%108.9%108.8%106.5%
Skew 25d-6.9%-15.7%-2.6%-9.8%-2.7%
Skew 10d-6.9%-19.6%-0.8%-11.5%-0.8%
Call IV 25d105.2%91.8%118.3%116.7%108.8%
Put IV 25d98.3%84.9%106.9%106.9%106.1%
Bid-Ask Spread %2.671.825.822.901.82
Gamma HHI0.090.060.240.080.07
Net GEX47.6M11.7M78.3M51.6M18.9M
Net DEX-5.57B-8.37B-3.56B-6.36B-3.56B
Net VEX-13.5M-15.7M-11.4M-12.0M-15.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.290.540.320.34
Total Volume765,253.737328,5721,495,1921,173,092725,511
Total OI3,113,516.3682,357,2783,788,4803,355,1202,780,574

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$53.34$32.00112.0%31.3%71.3%23.1%108.8%-9.8%-1.1%51.6M-6.36B-12.0M0.322.90889,275283,8171,750,8281,604,292
2021-01-05$52.91$32.00107.1%30.5%67.5%19.4%105.5%-15.2%-0.9%55.9M-6.19B-11.5M0.352.79493,323170,7571,816,0571,644,999
2021-01-06$50.78$33.00108.7%29.9%68.2%20.6%106.7%-12.5%-1.9%47.7M-5.41B-12.1M0.362.98671,722244,3071,859,4251,684,240
2021-01-07$54.10$33.00101.7%28.3%70.7%15.2%99.6%-11.0%-0.4%72.9M-6.57B-11.8M0.322.29490,539158,5871,918,5341,729,768
2021-01-08$58.89$34.00106.7%29.6%71.6%19.0%103.4%-15.7%-0.1%75.4M-8.21B-11.5M0.345.821,087,580373,2961,913,6291,752,732
2021-01-11$63.04$34.00107.7%30.0%74.1%19.8%104.1%-9.9%-2.3%59.7M-8.37B-11.4M0.343.831,113,882381,3101,732,0421,653,652
2021-01-12$62.91$38.0097.1%27.6%66.3%11.7%100.6%-4.9%-0.9%65.9M-8.07B-12.5M0.542.89564,428305,6421,841,3211,753,316
2021-01-13$62.44$41.0095.5%27.1%65.1%10.4%96.9%-2.6%-0.9%63.2M-7.69B-13.3M0.382.44382,385146,6411,866,7901,882,088
2021-01-14$60.99$42.0095.5%26.9%65.2%10.4%96.8%-3.5%-1.4%52.2M-7.04B-13.4M0.362.68428,792152,3231,870,5741,906,824
2021-01-15$56.24$42.00100.2%28.7%73.8%14.0%102.6%-3.7%-0.5%11.7M-5.37B-13.3M0.441.90651,100285,6391,860,5721,927,908
2021-01-19$58.01$44.0092.8%26.6%74.1%8.4%94.6%-3.5%0.7%27.6M-3.81B-13.7M0.371.87375,359140,6931,255,6981,101,580
2021-01-20$57.64$45.0088.7%25.4%74.3%5.2%91.4%-5.5%1.0%32.0M-3.81B-14.1M0.391.91353,159136,6231,328,9181,138,193
2021-01-21$58.39$45.0086.6%24.8%73.1%3.6%87.7%-6.3%1.5%45.8M-4.06B-14.4M0.442.14344,022152,0031,384,5791,173,251
2021-01-22$61.92$45.0087.4%25.0%74.3%4.2%88.3%-7.1%1.1%78.3M-5.20B-14.6M0.291.87883,404253,5251,411,0891,197,987
2021-01-25$59.82$45.0094.2%27.0%75.9%9.4%96.1%-4.6%4.5%39.7M-4.26B-14.8M0.422.18476,530201,8821,314,9461,122,671
2021-01-26$60.02$46.0095.5%27.3%74.2%10.5%97.7%-6.1%4.5%42.1M-4.32B-15.3M0.362.16241,08087,4921,394,6031,185,833
2021-01-27$57.21$47.00106.2%30.8%75.1%18.6%108.9%-2.9%2.6%29.0M-3.65B-15.5M0.413.45264,571108,9541,452,3731,219,254
2021-01-28$58.33$47.00100.2%28.7%74.0%14.0%101.9%-3.8%5.1%35.0M-3.90B-15.5M0.322.89393,469126,1991,479,7041,245,967
2021-01-29$57.21$47.00105.3%29.9%74.0%17.9%106.5%-2.7%3.0%18.9M-3.56B-15.7M0.341.82542,588182,9231,519,2841,261,290