NVDA Options History — March 2008

In March 2008, NVDA traded between $0.44 and $0.53. ATM implied volatility averaged 57.4%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 13.6% (HV 20d: 71.0%). Max pain ranged from $0.50 to $0.63. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2008-03-13: Highest Volume — 1,630,600 contracts
  • 2008-03-10: Largest IV spike — 17.2% change
  • 2008-03-17: Highest IV Rank — 47.1%
  • 2008-03-17: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.49$0.44$0.53$0.53$0.49
Max Pain$0.53$0.50$0.63$0.63$0.50
ATM IV57.4%50.1%69.2%54.5%57.2%
Expected Move16.8%14.4%19.8%15.6%16.4%
HV 20d71.0%55.0%78.5%75.7%71.4%
HV 60d76.9%72.9%80.9%74.0%80.8%
IV Rank33.0%24.4%47.1%29.7%32.8%
IV Percentile77.6%67.5%90.9%77.0%75.0%
Term Structure5.0%0.4%8.0%5.5%6.1%
VWIV58.8%48.7%67.9%54.7%59.3%
Skew 25d2.1%-5.6%7.1%3.1%-4.3%
Skew 10d4.8%-7.9%14.2%7.6%-3.5%
Call IV 25d58.7%48.7%68.2%54.0%62.3%
Put IV 25d60.8%52.1%70.7%57.2%58.0%
Bid-Ask Spread %11.224.6117.107.849.84
Gamma HHI0.280.160.410.280.23
Net GEX82.0K-958.1K1.9M-162.4K1.9M
Net DEX30.6M-57.4M78.5M43.0M-47.7M
Net VEX-526.2K-643.2K-424.6K-491.0K-643.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.052.402.401.34
Total Volume754,520349,8801,630,600360,720769,960
Total OI9,545,2506,754,68011,835,0008,770,4008,801,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$0.53$0.6354.5%15.6%75.7%29.7%54.7%3.1%5.5%-162.4K43.0M-491.0K2.407.84N/AN/A106,040254,6805,732,9603,037,440
2008-03-04$0.52$0.6351.4%14.7%75.4%26.0%51.4%5.3%6.7%-441.5K49.7M-467.3K0.995.70N/AN/A411,280405,4005,733,6003,091,920
2008-03-05$0.53$0.6350.1%14.4%73.0%24.4%48.7%3.4%8.0%-688.1K45.4M-505.4K0.314.61N/AN/A488,640151,2405,917,9603,245,640
2008-03-06$0.50$0.6351.7%14.8%75.8%26.3%53.6%-1.4%6.9%-810.5K56.6M-522.7K0.196.44N/AN/A516,24097,4406,326,6803,426,800
2008-03-07$0.49$0.5652.1%16.9%75.4%26.8%59.1%3.1%5.2%-799.4K58.7M-504.4K0.8715.96N/AN/A368,240319,8406,474,3203,358,680
2008-03-10$0.46$0.5661.1%18.6%76.4%37.4%62.9%3.3%1.3%-729.9K78.5M-424.6K0.628.06N/AN/A346,120216,0806,294,4003,358,720
2008-03-11$0.48$0.5654.6%17.4%78.0%29.8%61.0%7.1%2.6%-958.1K70.9M-442.7K0.319.02N/AN/A543,480168,1206,381,8003,400,240
2008-03-12$0.46$0.5057.5%18.1%75.9%33.1%60.6%5.1%2.1%-579.9K69.3M-440.0K0.208.84N/AN/A371,20072,4406,633,3603,417,760
2008-03-13$0.49$0.5058.4%16.7%78.5%34.3%59.2%3.2%5.5%-805.2K44.1M-500.7K0.788.73N/AN/A917,720712,8806,763,5603,416,600
2008-03-14$0.46$0.5064.5%18.5%55.0%41.6%63.7%4.3%4.3%-721.1K75.3M-511.7K0.519.99N/AN/A506,120259,3207,341,0003,861,960
2008-03-17$0.45$0.5069.2%19.8%55.2%47.1%67.9%2.5%0.4%-257.9K75.9M-498.2K0.3110.30N/AN/A311,32097,1207,608,4403,871,720
2008-03-18$0.47$0.5057.6%16.5%60.7%33.4%59.5%6.3%6.9%-797.4K59.6M-530.4K0.3714.40N/AN/A794,120290,2807,678,9203,807,760
2008-03-19$0.44$0.5062.2%17.8%64.8%38.8%62.2%1.4%3.5%166.7K75.9M-482.1K0.4615.50N/AN/A446,320204,1207,858,2003,871,440
2008-03-20$0.46$0.5059.2%17.0%67.8%35.2%58.2%5.5%6.2%614.3K63.1M-517.2K0.9716.01N/AN/A275,840267,0007,937,6403,897,360
2008-03-24$0.50$0.5056.3%16.1%71.9%31.8%56.8%2.2%5.8%894.6K-33.0M-567.1K0.2617.10N/AN/A848,160217,6004,485,2802,269,400
2008-03-25$0.51$0.5054.9%15.7%72.2%30.1%55.7%1.3%6.6%1.5M-57.4M-642.3K0.1816.80N/AN/A650,240114,1205,239,2802,411,920
2008-03-26$0.49$0.5056.4%16.2%72.7%31.9%57.2%2.2%6.5%1.3M-37.2M-604.0K0.6715.28N/AN/A209,760140,1205,311,3602,439,160
2008-03-27$0.48$0.5060.5%17.3%72.2%36.8%64.9%-5.3%4.7%1.2M-32.3M-599.4K0.0515.69N/AN/A1,422,92070,1205,299,5602,480,560
2008-03-28$0.49$0.5057.6%16.5%71.8%33.4%59.8%-5.6%4.7%1.8M-45.7M-629.7K0.538.40N/AN/A477,680251,0805,904,9602,514,680
2008-03-31$0.49$0.5057.2%16.4%71.4%32.8%59.3%-4.3%6.1%1.9M-47.7M-643.2K1.349.84N/AN/A329,160440,8006,108,1202,693,840