NVDA Options History — December 2007

In December 2007, NVDA traded between $0.80 and $0.91. ATM implied volatility averaged 43.7%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 11.7% (HV 20d: 55.4%). Max pain ranged from $0.75 to $0.81. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-12-11: Highest Volume — 2,228,880 contracts
  • 2007-12-11: Largest IV spike — 18.6% change
  • 2007-12-17: Highest IV Rank — 30.9%
  • 2007-12-17: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.86$0.80$0.91$0.80$0.85
Max Pain$0.80$0.75$0.81$0.75$0.81
ATM IV43.7%38.8%49.2%49.0%47.2%
Expected Move12.7%11.4%14.1%14.0%13.5%
HV 20d55.4%38.7%74.9%73.2%38.7%
HV 60d59.4%58.2%60.6%60.1%58.7%
IV Rank22.2%14.5%30.9%30.5%27.7%
IV Percentile53.5%28.6%77.5%76.1%72.3%
Term Structure6.6%2.4%10.2%2.4%6.3%
VWIV44.8%41.3%50.6%49.6%46.7%
Skew 25d3.8%0.3%5.8%2.1%2.1%
Skew 10d6.4%-1.8%11.9%3.4%-1.8%
Call IV 25d43.3%39.3%48.5%48.5%46.9%
Put IV 25d47.2%42.4%51.5%50.6%49.0%
Bid-Ask Spread %11.927.1617.2210.2010.35
Gamma HHI0.270.190.610.190.23
Net GEX4.9M999.9K15.7M3.9M999.9K
Net DEX-133.7M-244.7M-53.8M-67.5M-53.8M
Net VEX-1.0M-1.1M-901.9K-1.1M-901.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.170.830.580.17
Total Volume529,196187,7602,228,880211,120609,840
Total OI9,357,0766,958,96010,846,9609,483,0807,351,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$0.80$0.7549.0%14.0%73.2%30.5%49.6%2.1%2.4%3.9M-67.5M-1.1M0.5810.20N/AN/A133,84077,2806,090,0803,393,000
2007-12-04$0.80$0.7545.0%12.9%73.2%24.2%45.3%0.3%3.2%4.0M-63.6M-1.0M0.839.98N/AN/A186,960154,5206,097,5203,401,640
2007-12-05$0.84$0.7544.3%12.7%74.9%23.1%44.2%2.2%2.9%5.2M-135.9M-1.1M0.629.68N/AN/A521,840324,0406,115,1203,476,480
2007-12-06$0.86$0.7541.8%12.0%73.6%19.2%42.0%1.2%3.6%5.8M-172.0M-1.1M0.627.16N/AN/A252,440155,7606,238,6003,619,960
2007-12-07$0.85$0.8138.8%12.6%70.0%14.5%44.5%2.3%7.9%5.5M-145.8M-1.1M0.6516.26N/AN/A233,800152,8406,269,9603,690,600
2007-12-10$0.86$0.8139.7%12.2%69.9%16.0%43.2%3.2%8.5%6.0M-161.7M-1.0M0.5516.90N/AN/A244,080133,9606,364,5203,732,000
2007-12-11$0.86$0.8147.1%13.7%57.5%27.6%50.6%3.2%5.1%6.0M-176.3M-1.1M0.4012.88N/AN/A1,586,680642,2006,452,3203,777,560
2007-12-12$0.89$0.8143.9%13.2%50.9%22.5%46.6%5.3%6.6%7.2M-244.7M-1.1M0.5410.52N/AN/A426,360232,0406,824,5204,022,440
2007-12-13$0.86$0.8144.9%12.9%51.6%24.1%45.5%5.2%7.1%4.8M-146.0M-1.1M0.8215.23N/AN/A426,280348,4006,091,4404,130,280
2007-12-14$0.88$0.8145.2%13.0%51.4%24.6%44.9%4.8%6.8%5.2M-184.5M-1.1M0.2017.22N/AN/A582,200119,2006,216,5204,185,480
2007-12-17$0.83$0.8149.2%14.1%54.8%30.9%46.6%5.2%4.7%4.1M-78.1M-992.1K0.5711.04N/AN/A287,560164,9606,131,4804,174,000
2007-12-18$0.85$0.8144.6%12.8%48.5%23.7%45.4%5.2%7.6%4.8M-124.8M-983.3K0.5212.81N/AN/A159,56082,4406,140,6804,138,400
2007-12-19$0.86$0.8144.6%12.8%48.2%23.7%44.8%5.8%7.1%5.3M-142.2M-972.2K0.5712.61N/AN/A163,64093,9206,148,7604,143,880
2007-12-20$0.88$0.8142.9%12.3%48.0%20.9%44.9%5.7%8.1%6.7M-188.0M-959.1K0.599.76N/AN/A148,96087,2806,134,6804,101,760
2007-12-21$0.88$0.8140.8%11.7%48.0%17.6%41.9%3.2%10.2%15.7M-211.0M-929.3K0.2311.12N/AN/A750,160171,0806,086,8004,092,920
2007-12-24$0.89$0.8142.1%12.1%46.7%19.8%42.2%4.0%7.4%1.9M-103.7M-940.2K0.4514.96N/AN/A129,40058,3603,955,6403,003,320
2007-12-26$0.91$0.8139.7%11.4%45.1%15.9%43.8%5.6%8.4%2.3M-117.6M-937.4K0.528.84N/AN/A141,40073,2004,016,0003,027,720
2007-12-27$0.88$0.8141.4%11.9%41.9%18.6%41.3%5.4%8.4%1.7M-85.3M-927.8K0.5611.39N/AN/A122,04068,5204,032,2003,103,920
2007-12-28$0.87$0.8142.0%12.0%42.1%19.5%42.3%4.6%8.8%1.3M-71.7M-917.7K0.609.49N/AN/A211,040125,8404,042,2003,125,520
2007-12-31$0.85$0.8147.2%13.5%38.7%27.7%46.7%2.1%6.3%999.9K-53.8M-901.9K0.1710.35N/AN/A521,04088,8004,171,6003,180,000