NVDA Options History — April 2007

In April 2007, NVDA traded between $0.48 and $0.56. ATM implied volatility averaged 40.4%. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.0% (HV 20d: 38.4%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-04-17: Highest Volume — 2,646,600 contracts
  • 2007-04-12: Largest IV spike — 25.3% change
  • 2007-04-16: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.52$0.48$0.56$0.48$0.55
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV40.4%35.4%46.9%39.9%44.0%
Expected Move11.9%10.2%13.4%11.4%12.6%
HV 20d38.4%33.8%42.2%41.1%35.9%
HV 60d41.1%38.9%44.3%43.2%38.9%
Term Structure-1.3%-6.7%7.9%7.4%-6.7%
VWIV41.0%34.9%46.4%38.4%43.2%
Skew 25d3.7%0.7%5.4%0.7%4.0%
Skew 10d7.5%0.7%13.4%0.7%7.1%
Call IV 25d39.6%33.8%44.2%39.4%41.3%
Put IV 25d43.3%36.6%48.8%40.1%45.3%
Bid-Ask Spread %8.324.3314.978.487.24
Gamma HHI0.240.180.370.230.30
Net GEX827.6K-183.0K2.4M132.8K1.8M
Net DEX-100.9M-194.5M-4.9M-15.6M-166.3M
Net VEX-1.4M-1.5M-1.2M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.081.521.010.48
Total Volume995,616235,4802,646,600235,4801,091,640
Total OI16,489,57815,142,04018,309,84015,268,76017,474,920

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$0.48$0.5039.9%11.4%41.1%0.0%38.4%0.7%7.4%132.8K-15.6M-1.3M1.018.48N/AN/A117,440118,0407,944,6007,324,160
2007-04-03$0.48$0.5039.3%11.3%35.1%0.0%38.5%1.5%6.6%-183.0K-6.6M-1.2M0.154.99N/AN/A631,44097,5207,824,2007,317,840
2007-04-04$0.48$0.5038.8%11.1%33.8%0.0%36.3%2.8%6.8%-149.3K-4.9M-1.2M0.084.49N/AN/A471,84038,0008,083,4007,340,280
2007-04-05$0.51$0.5035.4%10.2%41.7%0.0%34.9%2.8%7.9%1.1M-108.9M-1.3M0.214.33N/AN/A1,902,440406,3208,128,1607,331,600
2007-04-09$0.51$0.5039.4%12.9%42.1%0.0%43.9%3.9%-2.7%554.2K-81.1M-1.3M0.6010.15N/AN/A583,200348,6808,111,5207,428,240
2007-04-10$0.50$0.5037.1%12.8%42.2%0.0%44.5%4.8%-1.9%329.1K-65.7M-1.2M0.838.40N/AN/A449,880371,8808,095,9207,456,200
2007-04-11$0.49$0.5036.2%13.1%39.7%0.0%44.5%4.4%-3.3%-96.7K-39.5M-1.3M0.5513.67N/AN/A592,160328,5608,325,1207,573,680
2007-04-12$0.51$0.5045.4%13.0%40.8%0.0%45.1%4.5%-2.8%677.4K-83.9M-1.3M0.5112.98N/AN/A286,200144,6008,675,8407,766,120
2007-04-13$0.51$0.5045.1%12.9%40.6%0.0%44.6%4.4%-3.4%911.5K-100.2M-1.3M1.378.35N/AN/A185,720254,5208,778,2407,821,600
2007-04-16$0.51$0.5046.9%13.4%40.4%0.0%46.4%4.6%-3.9%855.7K-89.2M-1.3M1.4914.97N/AN/A472,680703,5208,801,3607,951,440
2007-04-17$0.51$0.5044.5%12.7%40.5%0.0%44.3%4.0%-4.9%636.6K-92.2M-1.3M1.529.14N/AN/A1,050,6001,596,0008,835,5608,441,400
2007-04-18$0.52$0.5042.5%12.2%40.4%0.0%41.7%3.9%-4.1%457.9K-110.5M-1.4M0.726.81N/AN/A426,800308,1609,122,1609,134,160
2007-04-19$0.53$0.5040.9%11.7%35.9%0.0%41.3%5.4%-4.0%651.9K-130.8M-1.4M0.856.71N/AN/A391,520333,9209,093,1209,216,720
2007-04-20$0.53$0.5040.3%11.6%35.4%0.0%40.4%3.9%-3.0%562.5K-142.7M-1.4M0.608.05N/AN/A823,800494,0009,000,1209,237,720
2007-04-23$0.52$0.5038.9%11.1%35.7%0.0%40.6%3.5%-2.5%608.7K-86.7M-1.4M0.526.33N/AN/A563,480293,1607,924,8807,611,680
2007-04-24$0.54$0.5038.5%11.0%37.8%0.0%38.3%3.8%-3.2%1.5M-148.8M-1.4M0.756.60N/AN/A659,840493,1608,321,2407,788,800
2007-04-25$0.55$0.5037.0%10.6%37.1%0.0%36.6%3.5%-1.7%1.7M-173.4M-1.5M0.328.24N/AN/A587,280188,4808,552,2808,054,880
2007-04-26$0.56$0.5038.1%10.9%36.0%0.0%36.4%3.7%-3.5%2.1M-194.5M-1.5M0.337.73N/AN/A625,680204,1208,694,9208,088,080
2007-04-27$0.55$0.5040.3%11.5%35.7%0.0%40.9%4.1%-3.6%2.4M-177.3M-1.5M1.498.67N/AN/A512,840763,2008,991,8008,127,600
2007-04-30$0.55$0.5044.0%12.6%35.9%0.0%43.2%4.0%-6.7%1.8M-166.3M-1.5M0.487.24N/AN/A739,320352,3209,019,4008,455,520