NVDA Options History — September 2007

In September 2007, NVDA traded between $0.80 and $0.92. ATM implied volatility averaged 44.8%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 8.3% (HV 20d: 53.1%). Max pain ranged from $0.67 to $0.88. Net GEX was positive for 15 of 18 trading days. Term structure was in contango for 16 of 18 days. Put/call ratio averaged 0.62.

Notable Days

  • 2007-09-05: Highest Volume — 1,668,320 contracts
  • 2007-09-24: Largest IV spike — 13.2% change
  • 2007-09-17: Highest IV Rank — 31.4%
  • 2007-09-10: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.86$0.80$0.92$0.88$0.91
Max Pain$0.81$0.67$0.88$0.67$0.88
ATM IV44.8%40.8%49.5%43.3%40.8%
Expected Move13.0%11.7%14.6%12.4%11.7%
HV 20d53.1%44.2%57.1%56.3%44.2%
HV 60d44.7%43.6%45.8%44.4%43.7%
IV Rank24.0%17.6%31.4%21.6%17.6%
IV Percentile69.3%46.5%89.8%63.1%46.5%
Term Structure3.3%-1.5%7.8%2.5%7.8%
VWIV45.8%39.6%51.6%44.5%39.6%
Skew 25d4.8%2.1%6.4%4.3%4.3%
Skew 10d9.0%3.3%14.6%7.6%7.4%
Call IV 25d43.3%38.1%48.6%41.8%38.1%
Put IV 25d48.2%42.4%54.0%46.1%42.4%
Bid-Ask Spread %9.975.4617.435.467.87
Gamma HHI0.280.120.680.150.27
Net GEX1.6M-139.2K5.1M4.4M1.5M
Net DEX-213.8M-727.8M6.1M-722.8M-70.7M
Net VEX-593.6K-1.8M0-1.6M-378.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.311.390.610.38
Total Volume747,546.667224,5601,668,3201,275,280281,880
Total OI7,277,155.556022,471,36021,573,2003,092,080

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$0.88$0.6743.3%12.4%56.3%21.6%44.5%4.3%2.5%4.4M-722.8M-1.6M0.615.46N/AN/A791,960483,32011,201,96010,371,240
2007-09-05$0.87$0.6745.6%13.1%56.6%25.2%47.0%4.3%2.3%4.5M-708.1M-1.7M0.7412.47N/AN/A959,360708,96011,324,48010,390,320
2007-09-06$0.88$0.6743.2%12.4%55.0%21.4%44.4%5.3%4.0%5.1M-727.8M-1.7M0.587.83N/AN/A560,760326,12011,729,16010,668,080
2007-09-07$0.84$0.8345.2%14.5%57.1%24.6%49.5%6.4%-1.5%3.6M-620.6M-1.8M0.737.70N/AN/A614,760447,68011,618,00010,853,360
2007-09-10$0.85$0.8347.9%14.6%53.7%28.8%50.1%4.5%-0.7%3.4M-626.6M-1.7M0.438.78N/AN/A737,160320,00011,585,84010,830,920
2007-09-12$0.83$0.0046.0%14.4%54.2%25.9%49.1%4.9%0.6%0000.717.07N/AN/A190,000135,12000
2007-09-13$0.83$0.8848.1%13.8%52.9%29.2%47.3%5.6%2.9%-60.9K-251.8K-27.0K1.3913.44N/AN/A186,800259,640169,720125,920
2007-09-14$0.81$0.8848.3%13.9%51.5%29.5%48.6%5.0%3.1%-139.2K6.1M-49.1K0.318.50N/AN/A387,760120,200303,840308,800
2007-09-17$0.80$0.8149.5%14.2%50.9%31.4%51.6%6.4%1.8%1.0M-4.5M-73.9K0.7510.47N/AN/A366,840275,320623,360371,360
2007-09-18$0.88$0.8143.6%12.5%55.2%22.1%45.2%4.2%3.1%742.5K-43.6M-99.9K0.4616.34N/AN/A752,640343,360867,440554,960
2007-09-19$0.86$0.8144.3%12.7%55.8%23.1%44.9%3.3%2.7%684.2K-32.5M-116.6K0.6710.80N/AN/A363,480244,040909,320624,640
2007-09-20$0.85$0.8144.3%12.7%53.3%23.2%44.6%5.1%3.6%209.5K-30.0M-141.1K0.568.08N/AN/A144,40080,1601,027,960747,680
2007-09-21$0.86$0.8141.0%11.8%52.9%18.0%41.2%2.1%5.5%204.8K-33.2M-143.7K0.618.94N/AN/A430,000260,4801,088,360762,200
2007-09-24$0.88$0.8146.4%13.3%53.2%26.5%46.8%5.7%5.2%622.9K-36.5M-185.6K0.545.75N/AN/A632,240339,560934,880550,840
2007-09-25$0.90$0.8145.5%13.0%53.3%25.0%44.6%5.0%4.6%991.1K-52.3M-244.4K0.7417.43N/AN/A358,280266,6401,285,720742,520
2007-09-26$0.92$0.8842.1%12.1%53.3%19.7%42.8%5.2%5.7%1.1M-65.8M-289.0K0.3314.59N/AN/A526,400175,0401,498,920919,640
2007-09-27$0.92$0.8841.4%11.9%46.9%18.6%42.4%5.3%6.4%1.5M-78.5M-363.1K0.597.97N/AN/A242,400143,0801,871,1201,034,160
2007-09-28$0.91$0.8840.8%11.7%44.2%17.6%39.6%4.3%7.8%1.5M-70.7M-378.1K0.387.87N/AN/A204,88077,0001,969,8401,122,240