NVDA Options History — October 2008

In October 2008, NVDA traded between $0.16 and $0.26. ATM implied volatility averaged 105.9%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded below realized volatility by 10.1% (HV 20d: 116.0%). Max pain ranged from $0.19 to $0.31. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.52.

Notable Days

  • 2008-10-06: Highest Volume — 1,777,920 contracts
  • 2008-10-06: Largest IV spike — 42.3% change
  • 2008-10-15: Highest IV Rank — 88.4%
  • 2008-10-10: Largest Expected Move — 36.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.19$0.16$0.26$0.26$0.22
Max Pain$0.24$0.19$0.31$0.31$0.19
ATM IV105.9%74.0%147.5%74.0%88.4%
Expected Move28.7%21.2%36.4%21.2%25.4%
HV 20d116.0%85.2%129.8%85.2%125.3%
HV 60d83.8%64.9%95.2%64.9%95.0%
IV Rank56.1%31.3%88.4%31.3%42.5%
IV Percentile94.7%84.9%99.6%84.9%88.9%
Term Structure-3.8%-13.2%4.7%-5.1%-5.8%
VWIV99.4%74.1%126.1%74.1%89.9%
Skew 25d13.6%-5.5%23.8%-5.5%0.1%
Skew 10d23.2%-15.5%58.9%-4.6%-15.5%
Call IV 25d96.7%74.7%120.5%74.7%92.1%
Put IV 25d110.3%69.2%143.2%69.2%92.1%
Bid-Ask Spread %15.518.2026.2610.7412.28
Gamma HHI0.210.170.310.310.22
Net GEX466.4K110.2K1.1M949.5K1.1M
Net DEX35.9M-1.7M52.9M9.2M-1.7M
Net VEX-378.2K-592.4K-242.0K-592.4K-420.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.092.092.090.57
Total Volume596,445.217153,4001,777,920964,160191,520
Total OI18,403,641.73917,172,28019,900,12017,172,28018,417,480

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$0.26$0.3174.0%21.2%85.2%31.3%74.1%-5.5%-5.1%949.5K9.2M-592.4K2.0910.74N/AN/A312,160652,00011,937,6405,234,640
2008-10-02$0.23$0.3193.6%26.8%92.8%46.5%89.4%18.3%-13.2%587.3K34.6M-530.9K1.218.20N/AN/A354,240429,40012,141,5205,742,000
2008-10-03$0.23$0.3185.2%24.4%92.7%40.0%91.9%21.2%-9.7%491.4K43.1M-494.3K0.2711.02N/AN/A750,280202,88012,143,9205,780,360
2008-10-06$0.20$0.25121.2%30.6%102.7%68.0%101.3%23.8%-11.2%346.0K52.9M-388.3K0.8618.73N/AN/A954,720823,20012,529,0805,814,040
2008-10-07$0.18$0.25128.7%32.5%105.0%73.8%111.1%13.2%-12.5%312.0K46.2M-379.8K0.2720.43N/AN/A748,000200,20013,018,7205,979,640
2008-10-08$0.18$0.25127.0%32.8%105.8%72.4%112.6%19.0%-7.8%345.5K44.4M-397.3K1.3415.95N/AN/A340,800455,48013,218,7606,001,120
2008-10-09$0.17$0.25137.4%35.2%106.6%80.6%120.9%14.0%-11.3%239.6K48.2M-345.3K0.1320.64N/AN/A428,52054,92013,106,4806,076,080
2008-10-10$0.17$0.25142.7%36.4%106.5%84.7%126.1%22.7%-8.7%278.8K43.7M-357.1K1.2021.59N/AN/A226,640271,36013,345,9206,034,240
2008-10-13$0.20$0.25103.2%31.4%122.0%54.0%107.0%15.2%-5.4%396.7K35.5M-439.0K0.4326.26N/AN/A530,760226,68013,350,5205,975,280
2008-10-14$0.20$0.25130.7%31.3%121.3%75.4%104.1%15.8%-4.0%414.4K39.0M-421.5K0.1918.41N/AN/A403,64077,20013,544,1606,001,320
2008-10-15$0.18$0.25147.5%29.1%125.1%88.4%101.9%10.6%3.2%255.5K49.6M-337.1K0.2912.19N/AN/A536,040156,40013,649,2806,030,120
2008-10-16$0.19$0.25105.0%30.1%125.9%55.3%103.7%17.6%-5.6%321.2K40.3M-384.7K0.6613.13N/AN/A177,160116,48013,957,3605,942,760
2008-10-17$0.19$0.2596.2%27.6%123.7%48.5%96.1%11.4%2.6%110.2K40.5M-362.9K0.4617.44N/AN/A274,080125,92013,993,2405,893,120
2008-10-20$0.20$0.2586.4%24.8%124.5%40.9%87.0%5.7%4.7%477.2K37.5M-351.3K0.2610.89N/AN/A227,36058,32012,057,1205,236,040
2008-10-21$0.18$0.2585.8%24.6%126.4%40.4%85.5%7.1%2.4%386.0K44.9M-297.8K0.1419.20N/AN/A376,36052,96012,161,7605,235,120
2008-10-22$0.17$0.1990.0%25.8%124.7%43.7%89.6%18.5%1.4%345.1K47.4M-265.3K0.3812.28N/AN/A134,80051,60012,340,4405,212,720
2008-10-23$0.16$0.1994.6%27.1%124.1%47.3%100.8%15.0%0.3%290.8K47.2M-242.0K0.5110.45N/AN/A101,56051,84012,375,6005,193,880
2008-10-24$0.17$0.19101.8%29.2%123.7%52.8%101.2%16.7%2.8%334.9K41.0M-267.6K0.1611.07N/AN/A261,52041,48012,394,3205,115,360
2008-10-27$0.17$0.19106.2%30.5%118.7%56.3%106.9%15.0%-4.3%425.2K37.4M-274.6K0.2022.46N/AN/A232,24046,04012,566,3605,002,560
2008-10-28$0.20$0.1999.6%28.6%128.9%51.2%98.4%20.7%1.2%645.6K25.4M-354.3K0.1219.18N/AN/A591,88068,32012,657,1204,987,640
2008-10-29$0.21$0.1997.7%28.0%129.8%49.7%96.1%10.8%0.3%815.1K10.9M-393.5K0.1712.36N/AN/A402,72066,56012,971,8004,967,560
2008-10-30$0.22$0.1992.6%26.5%125.6%45.7%91.2%5.0%-1.7%896.2K8.7M-402.3K0.0911.89N/AN/A856,24075,76012,968,3604,981,200
2008-10-31$0.22$0.1988.4%25.4%125.3%42.5%89.9%0.1%-5.8%1.1M-1.7M-420.1K0.5712.28N/AN/A121,60069,92013,418,6804,998,800