NVDA Options History — May 2007

In May 2007, NVDA traded between $0.55 and $0.59. ATM implied volatility averaged 37.0%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.8% (HV 20d: 32.2%). Max pain ranged from $0.50 to $0.54. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-05-10: Highest Volume — 5,044,640 contracts
  • 2007-05-10: Largest IV drop — 23.0% change
  • 2007-05-03: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.57$0.55$0.59$0.55$0.58
Max Pain$0.54$0.50$0.54$0.50$0.54
ATM IV37.0%29.6%51.6%44.1%31.9%
Expected Move10.0%8.5%13.2%12.6%9.1%
HV 20d32.2%23.3%36.3%35.8%35.5%
HV 60d37.6%35.6%38.6%38.6%35.6%
Term Structure1.4%-8.7%5.5%-6.9%2.3%
VWIV34.9%30.0%46.3%44.7%32.2%
Skew 25d1.1%-1.3%5.5%4.5%-0.1%
Skew 10d1.1%-11.5%10.1%10.1%-1.7%
Call IV 25d34.5%30.4%43.2%41.3%33.2%
Put IV 25d35.6%30.6%47.3%45.8%33.1%
Bid-Ask Spread %9.305.5115.408.157.04
Gamma HHI0.300.180.950.280.24
Net GEX11.6M960.9K179.9M2.0M3.4M
Net DEX-223.3M-376.8M-125.1M-178.4M-214.3M
Net VEX-1.6M-1.6M-1.5M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.121.270.761.24
Total Volume1,227,229.091213,5605,044,6401,395,680498,320
Total OI19,806,681.81817,502,92023,176,04017,799,44019,041,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$0.55$0.5044.1%12.6%35.8%0.0%44.7%4.5%-6.9%2.0M-178.4M-1.5M0.768.15N/AN/A795,000600,6809,215,8808,583,560
2007-05-02$0.55$0.5045.0%12.9%36.3%0.0%44.8%3.6%-8.1%1.6M-158.8M-1.6M0.477.58N/AN/A425,840200,6009,669,0008,839,440
2007-05-03$0.56$0.5046.2%13.2%36.3%0.0%46.3%5.5%-8.7%2.0M-191.7M-1.6M1.277.91N/AN/A439,520560,1209,610,1608,816,880
2007-05-04$0.56$0.5445.0%10.4%25.2%0.0%35.6%4.5%1.6%1.8M-204.3M-1.6M1.2010.78N/AN/A199,440240,0009,742,6409,281,040
2007-05-07$0.55$0.5448.4%10.9%25.4%0.0%36.6%3.9%1.0%1.1M-165.9M-1.6M0.2812.09N/AN/A833,240230,1609,768,4809,389,240
2007-05-08$0.55$0.5450.5%11.1%24.8%0.0%38.1%3.9%0.6%1.8M-184.4M-1.6M0.498.97N/AN/A617,360305,36010,198,9209,449,840
2007-05-09$0.56$0.5451.6%11.0%23.3%0.0%38.1%2.7%1.3%2.2M-201.7M-1.6M0.3610.10N/AN/A1,653,240587,12010,435,2809,532,440
2007-05-10$0.55$0.5439.7%11.4%23.4%0.0%40.0%-0.9%0.7%2.1M-157.4M-1.6M0.8611.43N/AN/A2,717,8802,326,76010,740,4409,677,840
2007-05-11$0.59$0.5432.5%9.3%32.7%0.0%32.5%-0.3%4.8%7.7M-361.8M-1.6M0.566.63N/AN/A2,326,2001,313,88011,720,96010,443,440
2007-05-14$0.58$0.5432.4%9.3%33.0%0.0%32.5%-0.3%4.0%7.1M-313.0M-1.6M0.2715.40N/AN/A1,034,600278,96011,416,20010,512,600
2007-05-15$0.57$0.5432.3%9.3%33.4%0.0%31.8%-0.6%4.3%6.9M-292.4M-1.6M0.6610.29N/AN/A467,400308,60011,748,12010,576,760
2007-05-16$0.58$0.5431.9%9.2%33.4%0.0%32.0%0.3%4.1%7.9M-320.7M-1.6M0.127.63N/AN/A1,471,320171,48011,538,48010,662,000
2007-05-17$0.57$0.5431.6%9.1%34.2%0.0%31.5%-0.7%5.5%12.2M-294.3M-1.6M0.3012.18N/AN/A624,720189,08012,460,68010,552,640
2007-05-18$0.58$0.5432.0%9.2%34.6%0.0%32.0%-0.2%4.9%179.9M-376.8M-1.6M0.308.24N/AN/A778,400230,60012,625,92010,550,120
2007-05-21$0.59$0.5429.6%8.5%33.7%0.0%30.0%0.4%3.5%2.8M-230.1M-1.6M0.4713.91N/AN/A648,240305,0409,096,0808,406,840
2007-05-22$0.59$0.5430.5%8.7%31.6%0.0%30.8%1.0%2.8%3.1M-240.6M-1.6M1.248.34N/AN/A415,760513,4809,264,4808,549,760
2007-05-23$0.57$0.5431.4%9.0%33.0%0.0%31.5%0.4%2.2%2.0M-189.9M-1.6M0.635.51N/AN/A493,440309,4809,384,5608,821,640
2007-05-24$0.55$0.5432.0%9.2%35.5%0.0%32.7%-1.3%3.1%960.9K-125.1M-1.6M0.579.08N/AN/A605,120342,4409,605,3608,851,680
2007-05-25$0.56$0.5430.4%8.7%35.5%0.0%30.5%-1.1%4.0%1.7M-154.1M-1.6M0.448.07N/AN/A289,680126,8009,875,0008,982,000
2007-05-29$0.57$0.5432.5%9.3%35.6%0.0%32.6%-0.2%2.3%2.4M-177.6M-1.6M0.827.74N/AN/A117,56096,0009,985,2809,050,040
2007-05-30$0.57$0.5431.9%9.2%35.5%0.0%32.1%-0.5%2.0%2.6M-180.3M-1.6M0.477.58N/AN/A210,32099,80010,024,5609,049,040
2007-05-31$0.58$0.5431.9%9.1%35.5%0.0%32.2%-0.1%2.3%3.4M-214.3M-1.6M1.247.04N/AN/A222,320276,0009,998,4009,043,280