NIO Options History — July 2021

In July 2021, NIO traded between $39.50 and $50.90. ATM implied volatility averaged 68.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 5.0% (HV 20d: 63.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2021-07-01: Highest Volume — 1,067,055 contracts
  • 2021-07-27: Largest IV spike — 18.2% change
  • 2021-07-27: Highest IV Rank — 30.8%
  • 2021-07-27: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.04$39.50$50.90$50.90$44.55
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV68.4%62.4%85.3%64.5%67.8%
Expected Move19.6%17.9%25.4%18.6%20.0%
HV 20d63.4%57.6%67.0%58.4%64.6%
HV 60d60.6%58.5%63.6%59.1%63.4%
IV Rank12.3%6.9%30.8%6.9%13.8%
IV Percentile21.8%13.1%37.7%15.9%23.4%
Term Structure-0.4%-2.8%2.0%2.0%0.0%
VWIV70.6%63.5%90.5%68.2%71.6%
Skew 25d0.5%-7.0%8.6%-6.7%2.6%
Skew 10d1.6%-11.9%16.3%-11.9%7.4%
Call IV 25d70.5%64.2%83.3%70.5%69.1%
Put IV 25d70.9%63.5%91.9%63.8%71.8%
Bid-Ask Spread %2.511.983.193.162.59
Gamma HHI0.060.040.090.090.06
Net GEX16.7M-5.7M45.8M45.8M16.7M
Net DEX-1.87B-3.58B-610.5M-3.58B-1.99B
Net VEX-18.1M-19.6M-16.6M-19.6M-18.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.310.780.430.49
Total Volume461,688.571225,9501,067,0551,067,055549,528
Total OI3,034,525.0482,850,9743,180,3493,029,7243,150,909

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$50.90$45.0064.5%18.6%58.4%6.9%68.2%-6.7%2.0%45.8M-3.58B-19.6M0.433.16747,360319,6951,579,6941,450,030
2021-07-02$50.60$45.0065.7%19.4%58.6%7.6%69.3%-7.0%1.8%43.3M-3.49B-19.6M0.452.63480,841218,6571,651,0551,488,314
2021-07-06$50.30$45.0068.0%19.2%57.6%9.0%69.1%-5.8%-2.0%36.5M-3.26B-19.4M0.421.98313,676130,9301,530,5021,415,404
2021-07-07$46.27$45.0072.6%20.2%66.0%11.9%73.1%-2.8%0.4%14.2M-2.07B-18.5M0.532.74391,931205,8341,580,8151,434,068
2021-07-08$45.44$45.0072.1%20.3%66.0%11.6%74.0%0.4%0.1%12.4M-1.86B-18.7M0.432.89382,638164,8491,647,3711,462,273
2021-07-09$45.62$45.0070.4%19.9%66.0%11.4%71.2%0.1%-2.8%21.5M-1.91B-18.7M0.332.28341,325113,5161,681,2751,488,762
2021-07-12$46.11$45.0067.4%19.3%61.9%9.4%69.3%-0.1%0.0%19.5M-2.14B-18.4M0.312.10275,22485,3181,543,0691,429,121
2021-07-13$45.09$45.0065.7%18.7%62.0%8.9%69.0%-0.2%-0.8%14.5M-1.79B-18.3M0.422.23180,93375,3821,583,9261,456,436
2021-07-14$42.81$45.0067.7%19.3%64.0%12.7%69.6%1.3%-0.5%142.1K-1.09B-17.4M0.612.25247,564150,8891,605,0891,470,244
2021-07-15$43.74$45.0066.7%18.9%64.6%12.0%68.1%2.3%-1.0%6.8M-1.32B-17.7M0.532.35260,443138,8041,629,2161,504,886
2021-07-16$42.61$45.0064.3%18.3%62.1%9.7%66.2%1.4%-0.9%-5.7M-1.01B-17.7M0.582.61265,624154,8321,656,3391,524,010
2021-07-19$43.16$45.0068.5%19.5%62.4%13.6%69.9%1.1%-0.6%7.0M-1.38B-17.7M0.742.17208,132153,0311,453,0341,409,524
2021-07-20$44.33$45.0064.9%18.6%63.3%10.3%66.2%1.9%-0.7%14.0M-1.67B-18.0M0.442.53156,68669,2641,491,6401,439,435
2021-07-21$46.91$45.0062.4%17.9%64.1%8.0%63.5%-0.8%0.2%36.5M-2.54B-18.5M0.392.03361,705139,5781,529,1001,445,387
2021-07-22$46.25$45.0063.3%18.2%63.5%8.8%64.5%-1.3%-0.3%34.0M-2.26B-18.5M0.562.51172,74096,0891,564,8431,473,537
2021-07-23$44.00$45.0068.0%19.6%66.0%13.9%69.7%2.5%-0.7%10.3M-1.53B-17.8M0.512.49324,136166,3711,586,8221,485,006
2021-07-26$43.20$45.0072.2%21.1%66.2%18.0%74.9%3.9%-0.1%5.6M-1.39B-17.3M0.472.46226,493106,9571,445,9851,404,989
2021-07-27$39.50$45.0085.3%25.4%63.4%30.8%90.5%8.6%-0.4%-2.2M-610.5M-16.6M0.783.16356,370277,0761,497,7031,426,533
2021-07-28$41.78$45.0070.7%20.5%67.0%16.6%73.3%4.9%-0.4%2.7M-998.2M-16.9M0.493.19256,197125,3521,544,5411,448,234
2021-07-29$42.73$45.0067.5%19.7%63.4%13.5%70.5%3.5%-0.9%17.3M-1.38B-17.6M0.402.33217,13486,3561,605,9561,509,949
2021-07-30$44.55$45.0067.8%20.0%64.6%13.8%71.6%2.6%0.0%16.7M-1.99B-18.0M0.492.59369,969179,5591,625,3521,525,557