NVDA Options History — January 2007

In January 2007, NVDA traded between $0.50 and $0.60. ATM implied volatility averaged 46.7%. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 5.4% (HV 20d: 52.1%). Max pain ranged from $0.54 to $0.62. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2007-01-18: Highest Volume — 4,339,680 contracts
  • 2007-01-11: Largest IV spike — 31.8% change
  • 2007-01-05: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.55$0.50$0.60$0.60$0.51
Max Pain$0.60$0.54$0.62$0.54$0.54
ATM IV46.7%36.8%52.6%43.8%49.4%
Expected Move13.9%12.5%15.2%12.6%14.2%
HV 20d52.1%50.4%54.0%54.0%50.4%
Term Structure-1.2%-4.0%9.6%9.5%-2.5%
VWIV48.3%41.6%53.2%41.6%48.0%
Skew 25d3.6%-0.1%5.7%5.7%2.3%
Skew 10d6.6%-2.1%13.3%13.3%-2.1%
Call IV 25d47.0%39.7%51.0%39.7%47.6%
Put IV 25d50.6%44.8%56.1%45.4%49.9%
Bid-Ask Spread %10.084.6814.184.689.64
Gamma HHI0.270.150.450.270.15
Net GEX-2.5M-5.7M191.8K-5.2M155.9K
Net DEX-105.6M-271.8M46.7M-258.0M5.0M
Net VEX-1.3M-1.5M-1.2M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.282.581.511.14
Total Volume1,579,628353,2804,339,6801,989,440747,400
Total OI23,523,29215,296,40028,845,12026,405,20017,460,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$0.60$0.5443.8%12.6%0.0%0.0%41.6%5.7%9.5%-5.2M-258.0M-1.5M1.514.68N/AN/A792,9601,196,48011,237,24015,167,960
2007-01-04$0.60$0.5443.5%12.5%0.0%0.0%41.9%3.7%9.6%-5.0M-257.4M-1.5M0.287.26N/AN/A564,320159,56011,475,84015,161,360
2007-01-05$0.56$0.6245.0%15.2%0.0%0.0%51.3%4.2%-2.4%-5.3M-111.1M-1.4M1.3210.09N/AN/A1,609,2802,117,00011,644,44015,039,200
2007-01-08$0.57$0.6244.6%15.1%0.0%0.0%53.2%5.2%-3.7%-5.7M-131.4M-1.4M1.179.70N/AN/A664,640775,40012,185,84015,770,840
2007-01-09$0.55$0.6242.1%15.0%0.0%0.0%51.3%4.4%-2.1%-5.7M-70.7M-1.4M0.637.81N/AN/A1,039,760650,04012,144,36015,917,960
2007-01-10$0.58$0.6236.8%14.2%0.0%0.0%49.6%4.8%-2.8%-3.4M-237.7M-1.4M0.6910.27N/AN/A679,160469,08012,950,04015,296,280
2007-01-11$0.58$0.6248.5%13.9%0.0%0.0%49.4%5.4%-2.1%-3.3M-228.1M-1.4M0.7013.79N/AN/A446,880310,88013,048,04015,325,080
2007-01-12$0.59$0.6247.0%13.5%0.0%0.0%47.0%5.2%-0.9%-3.5M-264.0M-1.4M0.9110.56N/AN/A330,000299,00013,161,80015,437,240
2007-01-16$0.59$0.6250.5%14.5%0.0%0.0%51.8%5.0%-3.6%-3.6M-271.8M-1.4M0.6914.18N/AN/A408,080279,72013,234,80015,514,800
2007-01-17$0.58$0.6249.4%14.2%0.0%0.0%50.1%4.9%-3.1%-4.4M-191.6M-1.3M2.5813.09N/AN/A392,3601,012,20013,270,08015,575,040
2007-01-18$0.53$0.6252.6%15.1%0.0%0.0%52.0%5.1%-4.0%-3.3M11.0M-1.2M2.129.46N/AN/A1,391,1602,948,52013,277,96015,477,920
2007-01-19$0.53$0.6248.7%14.0%0.0%0.0%49.5%2.9%-3.3%-1.6M-9.1M-1.2M0.4412.03N/AN/A2,205,320964,88013,316,36015,335,960
2007-01-22$0.53$0.5847.7%13.7%0.0%0.0%48.3%1.1%-3.3%-25.0K-28.1M-1.2M0.606.68N/AN/A719,600432,2407,995,9607,300,440
2007-01-23$0.53$0.5846.0%13.2%0.0%0.0%46.3%1.5%-0.4%191.8K-32.1M-1.3M2.0710.80N/AN/A809,7601,677,1208,383,9207,523,880
2007-01-24$0.55$0.5845.6%13.1%0.0%0.0%45.5%1.9%-0.4%-214.6K-68.4M-1.4M1.8810.69N/AN/A608,8401,143,4408,777,6008,209,560
2007-01-25$0.53$0.5845.8%13.1%54.0%0.0%45.8%1.7%-1.2%171.8K-23.0M-1.3M0.7110.53N/AN/A206,160147,1208,949,3608,014,680
2007-01-26$0.52$0.5846.3%13.3%52.2%0.0%46.4%-0.1%-1.5%97.3K-12.6M-1.3M1.7910.27N/AN/A290,960521,8408,902,0808,025,480
2007-01-29$0.50$0.5850.5%14.5%52.1%0.0%50.0%2.3%-2.5%-183.8K46.7M-1.2M0.9712.75N/AN/A859,280829,5608,997,5608,339,720
2007-01-30$0.51$0.5849.5%14.2%51.8%0.0%47.3%4.5%-2.9%77.8K20.8M-1.2M1.567.28N/AN/A348,600543,9609,165,2008,453,400
2007-01-31$0.51$0.5449.4%14.2%50.4%0.0%48.0%2.3%-2.5%155.9K5.0M-1.2M1.149.64N/AN/A349,280398,1209,219,3208,241,240