NVDA Options History — November 2008

In November 2008, NVDA traded between $0.15 and $0.22. ATM implied volatility averaged 89.7%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 26.1% (HV 20d: 115.8%). Max pain ranged from $0.19 to $0.31. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2008-11-06: Highest Volume — 2,703,160 contracts
  • 2008-11-07: Largest IV drop — 29.9% change
  • 2008-11-20: Highest IV Rank — 71.4%
  • 2008-11-20: Largest Expected Move — 36.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.19$0.15$0.22$0.21$0.19
Max Pain$0.26$0.19$0.31$0.19$0.25
ATM IV89.7%73.3%125.6%92.3%73.3%
Expected Move26.1%21.0%36.0%26.5%21.0%
HV 20d115.8%109.3%127.6%115.2%112.2%
HV 60d102.6%95.1%109.2%95.1%109.2%
IV Rank43.5%30.7%71.4%45.5%30.7%
IV Percentile85.2%68.3%97.2%90.1%68.3%
Term Structure-0.5%-11.2%7.7%-0.1%7.7%
VWIV90.6%73.7%115.6%95.0%73.7%
Skew 25d9.7%-3.7%21.3%-3.7%15.1%
Skew 10d16.3%-20.4%38.8%-20.4%26.4%
Call IV 25d91.0%75.9%115.5%97.1%81.4%
Put IV 25d100.7%84.6%125.4%93.3%96.4%
Bid-Ask Spread %7.423.0212.6611.263.82
Gamma HHI0.290.210.420.240.42
Net GEX513.9K283.6K1.1M982.9K587.5K
Net DEX30.2M48.8K49.6M8.3M17.8M
Net VEX-270.3K-401.6K-180.6K-381.3K-214.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.062.060.800.18
Total Volume829,271.57962,4002,703,160637,00062,400
Total OI18,659,412.63215,363,16020,194,80018,448,60015,619,640

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$0.21$0.1992.3%26.5%115.2%45.5%95.0%-3.7%-0.1%982.9K8.3M-381.3K0.8011.26N/AN/A353,720283,28013,445,2405,003,360
2008-11-04$0.22$0.1986.9%24.9%112.4%41.3%87.6%14.9%-4.0%1.1M48.8K-401.6K0.9512.66N/AN/A484,040460,12013,432,4405,141,520
2008-11-05$0.21$0.19106.7%30.6%114.6%56.7%111.0%-3.7%-4.1%1.0M3.4M-396.4K0.799.17N/AN/A765,360601,00013,544,6805,211,200
2008-11-06$0.19$0.19104.6%30.0%119.4%55.0%106.3%13.6%-11.2%614.9K30.3M-318.7K0.6810.84N/AN/A1,608,7601,094,40013,359,4005,587,360
2008-11-07$0.22$0.3173.3%24.1%127.6%30.7%79.1%5.9%3.2%534.1K21.8M-360.6K0.307.43N/AN/A982,680290,84012,891,4006,084,400
2008-11-10$0.20$0.3176.0%24.0%116.4%32.8%77.2%11.8%-2.1%283.6K38.0M-305.9K0.9110.66N/AN/A709,640643,60013,174,7206,192,120
2008-11-11$0.20$0.3180.7%24.2%117.3%36.5%83.5%7.9%-0.7%345.3K38.8M-301.9K2.064.90N/AN/A429,960885,96013,469,8805,957,160
2008-11-12$0.18$0.3180.7%24.8%111.8%36.4%86.3%11.9%-0.7%289.5K48.6M-266.9K0.459.26N/AN/A522,920233,12013,768,5606,109,160
2008-11-13$0.20$0.3179.1%22.7%110.5%35.2%79.0%10.7%1.4%438.3K33.6M-285.0K0.218.03N/AN/A394,12084,08014,051,2005,897,520
2008-11-14$0.18$0.3186.3%24.7%116.4%40.8%86.4%10.3%-0.6%355.1K47.0M-247.0K1.077.97N/AN/A693,720738,92014,164,3605,868,720
2008-11-17$0.18$0.2590.9%26.1%116.3%44.4%90.6%21.3%-5.3%583.0K41.6M-227.6K0.414.57N/AN/A348,520143,96014,633,8005,325,280
2008-11-18$0.17$0.2590.1%25.8%113.4%43.8%88.6%13.4%-2.1%339.6K49.6M-207.7K0.835.35N/AN/A508,800422,24014,772,7205,247,320
2008-11-19$0.16$0.25103.1%29.6%116.6%53.9%100.0%2.0%7.6%325.0K46.6M-191.7K0.534.92N/AN/A160,04084,08015,004,0405,145,760
2008-11-20$0.15$0.25125.6%36.0%116.4%71.4%115.6%9.9%-6.9%286.6K42.1M-180.6K0.256.68N/AN/A424,680108,24015,037,1605,034,600
2008-11-21$0.16$0.25103.6%29.7%120.1%54.3%107.5%12.0%0.3%372.6K39.4M-204.4K1.635.43N/AN/A83,520136,28015,268,3204,926,480
2008-11-24$0.17$0.2590.4%25.9%120.8%44.0%90.8%7.1%0.8%369.4K25.8M-205.1K0.145.98N/AN/A210,76029,12011,529,0403,834,120
2008-11-25$0.17$0.2583.2%23.8%109.3%38.4%83.6%9.2%2.7%431.7K23.2M-214.3K0.078.97N/AN/A299,48020,20011,630,7203,757,640
2008-11-26$0.19$0.2577.6%22.3%113.4%34.1%78.8%15.4%5.3%547.9K17.9M-225.1K0.063.02N/AN/A428,32025,28011,648,5203,759,280
2008-11-28$0.19$0.2573.3%21.0%112.2%30.7%73.7%15.1%7.7%587.5K17.8M-214.9K0.183.82N/AN/A52,9609,44011,909,4403,710,200