NIO Options History — April 2021

In April 2021, NIO traded between $35.40 and $42.91. ATM implied volatility averaged 68.2%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 7.1% (HV 20d: 75.3%). Max pain ranged from $40.00 to $44.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-04-01: Highest Volume — 779,507 contracts
  • 2021-04-30: Largest IV drop — 19.1% change
  • 2021-04-19: Highest IV Rank — 9.5%
  • 2021-04-05: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.80$35.40$42.91$39.67$39.99
Max Pain$40.88$40.00$44.50$44.50$40.00
ATM IV68.2%55.3%76.4%68.2%55.3%
Expected Move19.9%15.4%22.1%19.0%15.4%
HV 20d75.3%54.1%102.0%102.0%56.8%
HV 60d82.0%80.2%85.1%85.1%82.0%
IV Rank3.6%0.0%9.5%0.6%0.0%
IV Percentile2.0%0.0%6.3%0.4%0.0%
Term Structure-0.1%-2.7%4.5%0.5%1.0%
VWIV71.2%56.1%78.8%68.4%56.1%
Skew 25d-1.1%-4.1%1.0%0.5%-1.0%
Skew 10d0.4%-4.9%4.4%3.1%-2.8%
Call IV 25d70.4%57.3%76.7%70.2%57.3%
Put IV 25d69.3%56.2%76.8%70.8%56.2%
Bid-Ask Spread %3.012.044.192.183.00
Gamma HHI0.080.050.360.110.36
Net GEX16.9M-6.8M64.0M16.7M64.0M
Net DEX-958.3M-2.21B-693.1K-975.3M-1.32B
Net VEX-16.8M-18.4M-15.6M-16.9M-17.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.290.560.410.49
Total Volume484,024.667207,857779,507779,507732,052
Total OI3,085,270.192,838,0973,348,4263,168,4813,242,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$39.67$44.5068.2%19.0%102.0%0.6%68.4%0.5%0.5%16.7M-975.3M-16.9M0.412.18553,985225,5221,632,7311,535,750
2021-04-05$39.36$42.0074.2%22.1%101.4%4.7%78.8%-0.9%2.2%8.3M-835.5M-16.5M0.563.11133,63974,2181,531,9341,420,286
2021-04-06$40.11$42.0069.7%20.9%97.6%1.6%74.7%1.0%-0.1%14.2M-1.02B-16.9M0.483.28210,905100,7031,579,8891,453,051
2021-04-07$37.25$42.0072.0%21.7%84.7%3.2%77.6%1.0%-1.2%-1.6M-290.4M-15.8M0.443.77347,189152,3241,605,3711,470,267
2021-04-08$38.75$41.0062.2%18.9%86.2%0.0%68.1%-1.6%1.3%14.0M-681.2M-16.4M0.513.35263,083134,9931,660,8291,498,572
2021-04-09$38.00$42.0064.6%19.3%76.2%1.6%69.5%-1.3%-0.1%-752.6K-407.8M-16.0M0.484.17322,176153,3271,659,5271,511,684
2021-04-12$37.15$42.0067.3%19.7%76.3%3.4%70.6%-1.6%1.1%-861.5K-261.6M-15.6M0.522.87193,81099,9371,563,8961,469,986
2021-04-13$38.39$41.0064.5%19.4%77.8%1.6%68.9%-0.9%3.1%9.2M-609.5M-16.2M0.403.64323,776130,5311,613,2001,498,202
2021-04-14$36.92$41.0069.3%20.3%78.4%4.8%72.0%-2.2%0.7%-458.8K-305.4M-15.7M0.354.19315,983111,2801,648,3531,511,587
2021-04-15$35.40$41.0069.6%20.9%78.8%4.9%75.3%-2.1%4.5%-6.8M-693.1K-15.6M0.473.97413,272194,6551,700,4811,534,317
2021-04-16$35.98$40.0068.9%19.4%76.9%4.5%68.5%-0.8%-1.3%6.1M-214.0M-15.8M0.462.92385,302178,2611,795,5041,552,922
2021-04-19$36.74$40.0076.4%21.7%76.3%9.5%76.8%0.1%-2.7%10.0M-739.2M-16.3M0.342.04357,772121,7311,446,3921,391,705
2021-04-20$37.01$40.0071.9%20.5%76.4%6.4%73.1%0.4%-1.5%13.1M-774.8M-16.5M0.422.29258,823107,4491,497,6851,429,735
2021-04-21$38.75$40.0069.9%20.0%77.0%5.1%71.4%0.0%-0.5%26.5M-1.26B-17.3M0.462.47331,027152,2541,528,8501,445,583
2021-04-22$39.64$40.0069.5%20.0%65.0%4.9%70.8%-0.8%-0.8%35.5M-1.52B-17.7M0.432.90482,756207,7111,560,7021,468,715
2021-04-23$40.97$40.0066.5%19.2%64.5%2.9%67.6%-2.1%-1.4%50.5M-1.97B-18.0M0.292.42485,217142,3131,590,3021,493,193
2021-04-26$42.91$40.0069.4%20.4%58.4%4.8%72.2%-2.7%-1.2%26.4M-2.21B-18.4M0.292.34473,295135,6401,513,9711,419,686
2021-04-27$41.31$40.0068.5%20.1%60.2%4.2%72.4%-2.2%-1.4%26.0M-1.79B-18.1M0.332.74296,51196,4461,601,8551,457,706
2021-04-28$41.40$40.0066.2%19.4%54.1%2.7%68.8%-1.9%-1.4%27.9M-1.79B-18.2M0.352.40177,15661,8741,630,6821,479,394
2021-04-29$39.15$40.0068.3%20.3%56.5%4.1%72.7%-4.1%-2.6%16.3M-1.15B-17.4M0.463.14360,345165,2751,652,5731,490,803
2021-04-30$39.99$40.0055.3%15.4%56.8%0.0%56.1%-1.0%1.0%64.0M-1.32B-17.2M0.493.00491,444240,6081,719,1701,523,633