NIO Options Surge Ahead of Earnings

The stock hasn't fared too well after earnings in the past two years

Deputy Editor
Aug 9, 2021 at 1:55 PM
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The shares of Nio Inc (NYSE:NIO) have been middling since the start of the month, though the 60-day moving average has swooped in as support over the last two sessions. NIO was last seen up 2.7% to trade at $45.03, and the company is gearing up for its second-quarter earnings report, due out after the close on Wednesday, August 11. Ahead of the event, the stock is seeing a surge in options activity.

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Nio stock has maintained its nearly constant presence on Schaeffer's Senior Quantitative Analyst Rocky White's list of stocks that have attracted the highest weekly options volume within the past two weeks, with new names added to the list highlighted in yellow. Specifically, 1,040,880 weekly calls and 464,834 weekly puts have been exchanged during this time. The most popular contract during that two-week period was the weekly 7/30 45-strike call.  

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A look back at NIO's post-earnings history during the past two years shows a fairly dismal response, with only two of the last eight next-day sessions ending higher, though one of those includes the most recent first-quarter report in April. Nio stock has averaged a large post-earnings swing of 15.7%, regardless of direction. This time around, the options market is pricing in a smaller move of 10.4%. 

Now could be a good time to weigh in on the security's next move with options. The stock is seeing attractively priced premiums at the moment, per NIO's Schaeffer's Volatility Index (SVI) of 71%, which sits in the 18th percentile of its annual range. Furthermore, the security's Schaeffer's Volatility Scorecard (SVS) sits at a high 95 out of 100, meaning SYF has exceeded option traders' volatility expectations during the past year.


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