NVDA Options History — February 2008

In February 2008, NVDA traded between $0.53 and $0.68. ATM implied volatility averaged 72.5%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 13.6% (HV 20d: 86.1%). Max pain ranged from $0.63 to $0.69. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-02-14: Highest Volume — 2,916,400 contracts
  • 2008-02-14: Largest IV drop — 43.5% change
  • 2008-02-11: Highest IV Rank — 100.0%
  • 2008-02-06: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.59$0.53$0.68$0.67$0.53
Max Pain$0.65$0.63$0.69$0.63$0.63
ATM IV72.5%49.8%113.6%69.1%50.9%
Expected Move17.9%14.3%21.7%19.8%14.6%
HV 20d86.1%78.1%96.8%96.8%83.7%
HV 60d73.1%66.9%76.6%73.0%74.0%
IV Rank58.2%24.0%100.0%62.3%25.4%
IV Percentile86.7%68.3%100.0%94.0%70.6%
Term Structure-0.4%-7.0%5.8%-6.2%5.4%
VWIV62.8%50.0%74.9%71.6%51.9%
Skew 25d5.4%1.4%14.0%14.0%1.4%
Skew 10d9.3%-0.3%25.3%25.3%1.0%
Call IV 25d61.1%50.1%74.2%64.9%51.8%
Put IV 25d66.5%53.1%78.9%78.9%53.1%
Bid-Ask Spread %9.545.6014.029.625.60
Gamma HHI0.220.150.480.230.21
Net GEX1.7M-1.4M4.7M3.3M130.8K
Net DEX-9.0M-95.1M58.2M-66.3M35.6M
Net VEX-506.5K-588.7K-412.6K-565.3K-491.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.261.700.261.70
Total Volume900,166282,4802,916,400608,040530,000
Total OI7,614,0586,159,9609,337,4006,594,9608,493,400

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$0.67$0.6369.1%19.8%96.8%62.3%71.6%14.0%-6.2%3.3M-66.3M-565.3K0.269.62N/AN/A482,440125,6004,928,4001,666,560
2008-02-04$0.65$0.6981.1%19.7%92.7%81.2%67.0%7.7%-7.0%3.3M-52.8M-536.8K0.5414.02N/AN/A570,840307,3205,139,3201,695,880
2008-02-05$0.61$0.6987.4%20.0%87.5%91.2%68.8%6.2%-5.1%2.7M-23.9M-517.7K0.359.74N/AN/A421,360148,9205,474,8401,765,200
2008-02-06$0.61$0.6993.0%21.7%86.9%99.9%74.9%4.0%-6.8%2.8M-29.3M-529.2K0.6113.02N/AN/A743,000451,6005,624,0801,756,480
2008-02-07$0.61$0.6989.5%21.1%84.6%94.5%74.6%7.3%-5.1%2.8M-30.3M-562.2K1.3513.48N/AN/A387,720522,2005,792,6402,023,720
2008-02-08$0.62$0.6988.1%20.9%84.9%92.3%72.9%6.9%-4.8%2.7M-31.2M-561.7K0.7113.24N/AN/A261,680184,5205,594,0402,315,320
2008-02-11$0.63$0.69104.7%20.5%83.7%100.0%69.5%7.7%-5.0%2.8M-31.2M-529.6K0.269.16N/AN/A442,280113,3605,625,8402,338,680
2008-02-12$0.65$0.69110.1%19.9%81.3%100.0%67.2%8.2%-3.9%3.9M-60.3M-563.9K0.358.42N/AN/A598,680207,1605,896,2402,371,600
2008-02-13$0.68$0.69113.6%19.1%78.1%100.0%67.0%8.3%-4.5%4.7M-95.1M-588.7K0.399.46N/AN/A1,741,520680,3205,965,0802,460,240
2008-02-14$0.57$0.6964.2%18.4%91.6%41.1%64.7%2.4%0.7%-219.7K58.2M-412.6K0.617.18N/AN/A1,807,1201,109,2806,295,6802,750,840
2008-02-15$0.56$0.6363.3%18.1%91.5%40.1%63.6%3.8%1.6%-1.4M56.2M-436.8K0.867.08N/AN/A616,200531,4406,573,6002,763,800
2008-02-19$0.55$0.6360.0%17.2%88.2%36.1%60.2%5.2%2.1%630.3K20.2M-414.8K0.358.75N/AN/A504,360176,0004,394,1201,765,840
2008-02-20$0.54$0.6357.9%16.6%86.8%33.6%58.7%2.9%2.8%691.5K16.2M-432.3K0.496.57N/AN/A355,680174,9204,558,5601,782,960
2008-02-21$0.53$0.6357.4%16.4%86.8%33.0%59.0%3.1%2.2%701.7K16.8M-445.7K0.577.45N/AN/A180,160102,3204,781,2801,919,040
2008-02-22$0.56$0.6354.5%15.6%84.0%29.6%55.8%2.8%3.9%920.2K3.8M-484.6K0.336.37N/AN/A451,920150,5604,843,8801,937,280
2008-02-25$0.56$0.6353.9%15.5%83.3%28.9%55.8%2.8%5.0%977.4K3.0M-475.4K1.047.54N/AN/A615,000641,2404,900,0801,932,880
2008-02-26$0.56$0.6351.7%14.8%83.4%26.2%51.9%4.4%4.6%540.1K15.0M-513.0K0.4212.40N/AN/A517,000215,9205,311,6402,557,920
2008-02-27$0.57$0.6350.7%14.5%82.8%25.1%50.7%4.7%5.8%1.2M-3.1M-559.1K0.3013.61N/AN/A260,48078,3205,550,0002,584,840
2008-02-28$0.55$0.6349.8%14.3%83.6%24.0%50.0%4.0%5.3%640.3K18.8M-510.1K0.948.15N/AN/A306,720288,1605,570,4002,578,960
2008-02-29$0.53$0.6350.9%14.6%83.7%25.4%51.9%1.4%5.4%130.8K35.6M-491.0K1.705.60N/AN/A196,400333,6005,694,3202,799,080