NVDA Options History — February 2007

In February 2007, NVDA traded between $0.52 and $0.58. ATM implied volatility averaged 43.5%. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 1.3% (HV 20d: 44.8%). Max pain ranged from $0.54 to $0.54. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.30.

Notable Days

  • 2007-02-13: Highest Volume — 4,168,760 contracts
  • 2007-02-08: Largest IV drop — 18.4% change
  • 2007-02-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.55$0.52$0.58$0.52$0.52
Max Pain$0.54$0.54$0.54$0.54$0.54
ATM IV43.5%35.8%57.9%49.4%38.7%
Expected Move12.0%10.3%14.2%14.2%11.1%
HV 20d44.8%36.7%51.1%49.6%36.7%
Term Structure-0.0%-4.4%4.2%-2.5%2.7%
VWIV41.7%35.9%48.3%48.3%39.2%
Skew 25d3.0%-1.8%5.8%3.4%0.6%
Skew 10d5.9%-3.2%11.5%6.7%1.5%
Call IV 25d41.0%35.8%46.7%46.7%40.0%
Put IV 25d44.0%37.5%50.8%50.1%40.6%
Bid-Ask Spread %7.854.1213.479.387.29
Gamma HHI0.210.140.670.140.16
Net GEX146.4K-7.3M1.3M262.1K-27.5K
Net DEX-91.3M-192.2M-9.9M-9.9M-17.7M
Net VEX-1.3M-1.3M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.302.910.902.73
Total Volume1,405,456.842414,4004,168,760519,2801,077,440
Total OI17,504,532.63214,212,44020,915,76017,573,24015,782,480

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$0.52$0.5449.4%14.2%49.6%0.0%48.3%3.4%-2.5%262.1K-9.9M-1.3M0.909.38N/AN/A273,800245,4809,224,8808,348,360
2007-02-02$0.53$0.5446.1%12.6%51.0%0.0%44.7%2.9%-1.4%108.5K-41.6M-1.3M0.307.04N/AN/A483,920142,8809,189,6808,475,080
2007-02-05$0.54$0.5451.5%13.1%46.5%0.0%45.0%3.4%-2.5%172.0K-67.4M-1.3M0.566.54N/AN/A630,480352,0409,206,4808,529,920
2007-02-06$0.56$0.5457.9%13.1%48.2%0.0%45.2%2.8%-2.1%563.3K-122.7M-1.3M0.7113.47N/AN/A1,185,920844,4409,253,1608,602,880
2007-02-07$0.58$0.5455.7%12.7%49.6%0.0%45.7%4.9%-2.1%1.3M-192.2M-1.3M0.876.52N/AN/A701,720612,8009,502,6808,898,960
2007-02-08$0.57$0.5445.5%13.0%46.7%0.0%45.3%5.8%-3.0%656.2K-160.7M-1.3M1.396.92N/AN/A473,760659,4009,514,4409,124,680
2007-02-09$0.54$0.5448.4%13.9%50.1%0.0%48.1%4.6%-4.4%-694.8K-59.3M-1.3M1.956.85N/AN/A589,7601,148,7609,595,6409,322,440
2007-02-12$0.56$0.5447.4%13.6%50.6%0.0%47.8%5.5%-2.9%578.0K-112.7M-1.3M1.2310.66N/AN/A1,155,2001,417,5609,641,3609,010,920
2007-02-13$0.57$0.5444.9%12.9%51.1%0.0%45.5%5.0%-2.2%1.2M-151.7M-1.3M0.946.88N/AN/A2,146,0402,022,7209,940,7609,289,320
2007-02-14$0.56$0.5439.5%11.3%50.8%0.0%38.7%4.7%4.0%564.5K-123.5M-1.3M0.6511.40N/AN/A1,471,200963,36010,828,20010,087,560
2007-02-15$0.56$0.5440.9%11.7%39.7%0.0%37.6%5.0%2.2%1.1M-151.5M-1.3M1.297.31N/AN/A474,240614,04010,855,3209,774,480
2007-02-16$0.55$0.5438.2%11.0%41.5%0.0%38.6%1.3%4.2%-7.3M-105.4M-1.2M0.775.94N/AN/A910,200703,16010,679,6009,627,960
2007-02-20$0.55$0.5436.9%10.6%41.6%0.0%37.6%2.5%1.8%1.1M-98.2M-1.2M1.695.07N/AN/A309,360522,1207,315,4406,897,000
2007-02-21$0.54$0.5436.8%10.6%42.0%0.0%36.8%2.1%1.8%734.9K-76.3M-1.3M2.2010.12N/AN/A244,160536,9607,464,8007,189,880
2007-02-22$0.55$0.5436.1%10.3%40.6%0.0%35.9%2.4%2.3%1.0M-84.3M-1.3M1.206.87N/AN/A441,800528,4807,635,8007,317,840
2007-02-23$0.54$0.5435.8%10.3%38.4%0.0%36.0%1.3%1.8%841.1K-78.7M-1.3M2.919.52N/AN/A167,480487,6407,861,8007,570,160
2007-02-26$0.54$0.5436.3%10.4%38.7%0.0%37.1%0.7%1.4%566.0K-58.0M-1.3M0.544.12N/AN/A268,400146,0007,803,0007,642,320
2007-02-27$0.52$0.5440.8%11.7%37.2%0.0%40.0%-1.8%-0.0%5.6K-22.1M-1.2M1.887.26N/AN/A608,0001,142,9607,843,4007,737,440
2007-02-28$0.52$0.5438.7%11.1%36.7%0.0%39.2%0.6%2.7%-27.5K-17.7M-1.2M2.737.29N/AN/A288,600788,8408,030,9607,751,520