NVDA Options History — June 2007

In June 2007, NVDA traded between $0.58 and $0.73. ATM implied volatility averaged 35.6%. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 2.6% (HV 20d: 33.0%). Max pain ranged from $0.54 to $0.62. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-06-21: Highest Volume — 3,379,680 contracts
  • 2007-06-06: Largest IV spike — 17.8% change
  • 2007-06-26: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.65$0.58$0.73$0.58$0.69
Max Pain$0.60$0.54$0.62$0.54$0.62
ATM IV35.6%30.4%40.2%30.4%36.5%
Expected Move10.4%8.7%11.5%8.7%10.5%
HV 20d33.0%25.7%41.2%35.0%41.2%
HV 60d34.3%32.5%37.3%35.0%37.3%
Term Structure3.4%0.3%5.4%2.9%5.3%
VWIV36.5%30.6%40.6%30.6%37.9%
Skew 25d1.6%-1.6%4.5%-1.6%2.5%
Skew 10d3.7%-0.1%10.0%1.4%6.6%
Call IV 25d35.9%32.1%39.5%32.1%36.4%
Put IV 25d37.5%30.4%42.3%30.4%38.9%
Bid-Ask Spread %9.755.8718.388.638.65
Gamma HHI0.230.170.400.250.18
Net GEX5.8M3.8M8.4M3.8M5.7M
Net DEX-388.8M-553.5M-230.5M-230.5M-436.6M
Net VEX-1.7M-2.0M-1.5M-1.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.101.320.960.45
Total Volume1,278,083.81307,9203,379,680557,680374,480
Total OI19,728,714.28616,487,00021,336,12019,245,08021,336,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$0.58$0.5430.4%8.7%35.0%0.0%30.6%-1.6%2.9%3.8M-230.5M-1.6M0.968.63N/AN/A284,360273,32010,035,8009,209,280
2007-06-04$0.58$0.5831.9%9.7%35.0%0.0%33.9%1.6%3.4%4.1M-240.6M-1.6M1.3210.03N/AN/A132,480175,44010,005,1209,278,720
2007-06-05$0.60$0.5831.8%9.6%35.2%0.0%33.4%1.4%4.0%4.9M-302.0M-1.5M0.3210.50N/AN/A569,640179,88010,018,6809,312,320
2007-06-06$0.61$0.5837.5%10.4%35.2%0.0%36.5%0.9%0.3%4.9M-312.5M-1.5M0.2115.16N/AN/A1,801,280376,20010,021,5209,343,280
2007-06-07$0.60$0.5834.2%10.7%35.6%0.0%37.5%0.1%1.9%5.4M-296.6M-1.6M1.0511.91N/AN/A364,880382,32010,553,8809,515,840
2007-06-08$0.61$0.5834.1%10.3%34.8%0.0%36.1%0.9%2.2%6.1M-329.3M-1.6M0.4018.38N/AN/A479,640190,44010,613,6009,718,320
2007-06-11$0.61$0.5835.7%10.3%25.7%0.0%36.1%0.6%2.1%6.3M-339.4M-1.6M0.345.96N/AN/A496,880171,36010,630,7609,752,000
2007-06-12$0.60$0.5832.8%10.2%25.8%0.0%35.6%0.5%2.5%6.5M-321.6M-1.6M0.489.62N/AN/A368,720176,48010,821,3609,864,320
2007-06-13$0.62$0.5831.6%9.7%26.5%0.0%34.2%1.1%3.9%7.3M-370.7M-1.5M0.108.39N/AN/A1,171,400116,40010,853,1209,925,320
2007-06-14$0.63$0.5834.7%9.9%26.8%0.0%34.6%-0.1%3.9%8.4M-404.7M-1.5M0.2511.04N/AN/A1,101,080277,04010,792,9209,952,080
2007-06-15$0.66$0.5836.3%10.4%29.2%0.0%36.3%0.9%2.0%6.7M-486.8M-1.5M0.165.87N/AN/A2,795,840442,76011,029,76010,054,760
2007-06-18$0.66$0.5835.0%10.0%28.9%0.0%35.3%0.5%4.6%6.1M-380.8M-1.6M0.306.86N/AN/A997,520295,9209,473,6407,013,360
2007-06-19$0.66$0.5836.0%10.3%28.9%0.0%35.8%1.5%4.2%6.0M-380.1M-1.6M1.277.16N/AN/A402,000509,4809,446,5207,167,080
2007-06-20$0.66$0.5839.5%11.3%28.9%0.0%40.2%3.0%2.7%5.7M-380.4M-1.7M0.859.38N/AN/A1,418,0001,211,6409,707,0007,515,480
2007-06-21$0.72$0.6238.1%10.9%35.5%0.0%38.8%1.8%3.1%5.6M-531.3M-1.6M0.838.26N/AN/A1,848,7201,530,96010,512,2008,210,640
2007-06-22$0.73$0.6238.4%11.0%30.6%0.0%39.0%2.8%3.8%5.1M-553.5M-1.8M0.7913.74N/AN/A755,960594,72010,899,2408,868,320
2007-06-25$0.71$0.6238.9%11.1%33.8%0.0%39.6%3.6%4.2%5.6M-506.2M-1.9M0.698.63N/AN/A872,960602,00011,094,1208,994,480
2007-06-26$0.67$0.6240.2%11.5%39.8%0.0%40.6%2.8%3.3%5.8M-407.0M-2.0M0.567.87N/AN/A769,880433,76011,400,8409,260,160
2007-06-27$0.69$0.6237.3%10.7%40.2%0.0%38.1%4.5%5.4%6.3M-467.6M-2.0M0.748.25N/AN/A692,480511,92011,552,2409,239,840
2007-06-28$0.70$0.6236.4%10.4%40.2%0.0%36.8%4.5%5.3%6.3M-487.3M-2.0M1.1610.41N/AN/A319,920369,60011,742,9209,566,040
2007-06-29$0.69$0.6236.5%10.5%41.2%0.0%37.9%2.5%5.3%5.7M-436.6M-2.0M0.458.65N/AN/A258,120116,36011,600,1609,735,960