NVDA Options History — March 2007

In March 2007, NVDA traded between $0.47 and $0.51. ATM implied volatility averaged 38.1%. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 2.9% (HV 20d: 41.0%). Max pain ranged from $0.50 to $0.54. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2007-03-15: Highest Volume — 2,197,400 contracts
  • 2007-03-29: Largest IV spike — 12.9% change
  • 2007-03-05: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.49$0.47$0.51$0.51$0.48
Max Pain$0.51$0.50$0.54$0.54$0.50
ATM IV38.1%32.6%45.0%41.5%39.4%
Expected Move11.1%9.4%12.6%11.9%11.3%
HV 20d41.0%37.0%44.2%37.0%42.9%
HV 60d44.7%43.2%46.1%46.1%43.2%
Term Structure5.6%0.9%9.2%0.9%5.5%
VWIV38.4%32.6%44.1%42.1%39.7%
Skew 25d3.0%0.3%4.8%1.4%0.3%
Skew 10d4.1%-9.9%11.0%-1.8%5.4%
Call IV 25d37.7%31.9%43.3%42.2%40.1%
Put IV 25d40.7%34.7%47.0%43.6%40.4%
Bid-Ask Spread %9.054.6814.606.6612.78
Gamma HHI0.220.180.320.200.32
Net GEX-948.3K-1.4M-418.0K-876.8K-764.3K
Net DEX651.0K-68.9M63.4M4.5M-12.0M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.242.662.040.24
Total Volume1,121,358.182395,2002,197,4001,895,520855,920
Total OI16,067,521.81813,104,48018,738,24016,202,88015,256,520

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$0.51$0.5441.5%11.9%37.0%0.0%42.1%1.4%0.9%-876.8K4.5M-1.2M2.046.66N/AN/A623,8801,271,6408,088,7208,114,160
2007-03-02$0.50$0.5441.7%12.0%38.0%0.0%42.1%2.4%1.6%-1.4M36.2M-1.2M1.014.68N/AN/A537,680544,1608,282,6408,491,520
2007-03-05$0.48$0.5445.0%12.6%38.1%0.0%44.1%3.7%2.7%-1.3M63.4M-1.2M1.5913.04N/AN/A624,600990,2408,461,8008,525,720
2007-03-06$0.51$0.5040.6%11.8%43.6%0.0%40.9%3.7%4.6%-794.2K-11.8M-1.3M1.4810.44N/AN/A567,840838,8808,609,4008,442,440
2007-03-07$0.49$0.5440.5%11.8%42.1%0.0%41.0%3.5%4.1%-1.3M19.6M-1.2M0.5512.72N/AN/A408,320226,5208,676,5608,282,880
2007-03-08$0.51$0.5439.8%11.9%42.4%0.0%40.8%4.4%4.0%-525.3K-34.4M-1.3M0.6611.47N/AN/A525,800348,9208,834,4008,292,120
2007-03-09$0.51$0.5036.1%11.3%42.3%0.0%38.7%4.4%4.8%-1.2M-20.9M-1.2M0.549.45N/AN/A701,720379,5608,915,2408,376,720
2007-03-12$0.51$0.5039.8%11.5%38.7%0.0%40.1%3.9%4.4%-853.4K-14.0M-1.3M1.607.33N/AN/A162,800259,8809,401,2808,403,120
2007-03-13$0.48$0.5040.3%12.0%39.9%0.0%41.8%3.1%3.4%-1.1M44.6M-1.2M1.8411.60N/AN/A350,760644,0009,236,2408,450,600
2007-03-14$0.48$0.5039.3%12.2%38.8%0.0%43.5%3.0%3.5%-891.2K47.6M-1.2M0.8314.60N/AN/A758,760631,5609,386,8408,406,920
2007-03-15$0.48$0.5041.1%11.8%38.7%0.0%38.9%4.8%4.5%-736.3K48.2M-1.2M2.258.57N/AN/A675,5601,521,8409,706,6408,350,800
2007-03-16$0.47$0.5039.5%11.3%38.4%0.0%37.8%4.6%5.6%-1.0M58.3M-1.2M2.215.44N/AN/A397,920880,2809,956,1608,782,080
2007-03-19$0.47$0.5037.7%10.8%37.7%0.0%36.5%3.4%7.7%-963.6K15.0M-1.2M1.047.11N/AN/A371,840387,0806,331,2006,773,280
2007-03-20$0.47$0.5036.3%10.4%37.3%0.0%35.1%3.2%7.4%-1.2M19.9M-1.2M1.236.63N/AN/A669,240822,0806,490,3206,976,160
2007-03-21$0.50$0.5035.5%10.2%43.3%0.0%35.9%2.8%6.9%-679.9K-39.0M-1.3M0.805.27N/AN/A817,760656,8406,929,4007,143,840
2007-03-22$0.51$0.5032.6%9.4%44.2%0.0%32.6%1.8%8.8%-418.0K-68.9M-1.3M0.547.95N/AN/A740,360400,5207,097,0407,264,760
2007-03-23$0.50$0.5032.8%9.4%44.2%0.0%32.8%2.8%9.1%-907.9K-51.0M-1.3M0.5313.28N/AN/A315,320166,3207,140,9207,463,720
2007-03-26$0.51$0.5033.4%9.6%44.1%0.0%34.1%2.9%8.8%-818.3K-53.9M-1.3M0.566.90N/AN/A389,360217,0807,245,2007,494,840
2007-03-27$0.50$0.5033.1%9.5%43.3%0.0%33.3%2.6%9.2%-931.1K-34.1M-1.3M1.066.05N/AN/A192,200203,0007,410,3607,548,080
2007-03-28$0.49$0.5034.2%9.8%43.7%0.0%35.3%1.0%8.5%-848.9K-13.2M-1.3M2.665.81N/AN/A195,960520,4007,537,8807,558,800
2007-03-29$0.48$0.5038.6%11.1%43.9%0.0%37.9%1.6%7.9%-1.4M10.4M-1.3M1.9311.31N/AN/A640,3201,235,1607,510,6407,837,520
2007-03-30$0.48$0.5039.4%11.3%42.9%0.0%39.7%0.3%5.5%-764.3K-12.0M-1.3M0.2412.78N/AN/A688,760167,1607,650,7207,605,800