NVDA Options History — December 2008

In December 2008, NVDA traded between $0.17 and $0.23. ATM implied volatility averaged 79.0%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 23.0% (HV 20d: 101.9%). Max pain ranged from $0.19 to $0.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2008-12-10: Highest Volume — 1,151,120 contracts
  • 2008-12-16: Largest IV drop — 14.5% change
  • 2008-12-10: Highest IV Rank — 45.2%
  • 2008-12-11: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.20$0.17$0.23$0.17$0.20
Max Pain$0.20$0.19$0.25$0.25$0.19
ATM IV79.0%62.3%91.9%91.2%62.3%
Expected Move22.8%17.8%26.2%26.2%17.8%
HV 20d101.9%85.1%117.4%115.5%85.1%
HV 60d112.2%105.5%115.6%110.4%105.5%
IV Rank35.1%22.1%45.2%44.7%22.1%
IV Percentile71.9%44.0%87.7%87.7%44.0%
Term Structure4.8%-4.8%12.9%0.7%7.9%
VWIV79.6%62.2%102.1%102.1%62.2%
Skew 25d8.2%-16.4%45.4%3.9%25.6%
Skew 10d16.2%-26.9%84.0%-2.0%84.0%
Call IV 25d77.2%43.7%100.0%100.0%43.7%
Put IV 25d85.4%60.4%108.7%103.9%69.3%
Bid-Ask Spread %5.812.5710.494.455.26
Gamma HHI0.430.250.630.400.57
Net GEX759.6K463.3K1.4M463.3K929.9K
Net DEX-6.9M-42.9M23.0M23.0M-29.3M
Net VEX-214.0K-269.6K-176.5K-193.2K-195.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.031.800.080.16
Total Volume429,656.364125,9601,151,120369,920310,480
Total OI15,100,272.72711,429,84017,197,04015,633,72012,734,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$0.17$0.2591.2%26.2%115.5%44.7%102.1%3.9%0.7%463.3K23.0M-193.2K0.084.45N/AN/A343,36026,56011,924,4003,709,320
2008-12-02$0.18$0.2588.0%25.2%117.4%42.2%89.2%11.4%-4.8%567.0K19.6M-203.9K0.104.43N/AN/A367,16036,16012,120,5603,714,600
2008-12-03$0.19$0.2580.8%23.2%116.6%36.5%80.9%-16.4%2.6%696.6K12.9M-223.0K0.124.53N/AN/A425,68052,28012,268,0403,696,880
2008-12-04$0.18$0.2583.7%24.0%117.4%38.8%83.7%4.2%0.5%662.4K18.8M-201.7K0.164.59N/AN/A164,48026,76012,574,0403,712,080
2008-12-05$0.18$0.1976.1%23.9%112.2%32.9%85.4%17.7%5.8%760.7K14.8M-206.6K0.077.56N/AN/A376,60027,68012,574,8803,640,600
2008-12-08$0.18$0.1979.4%24.2%100.3%35.4%84.3%16.0%2.6%738.4K18.0M-193.5K0.2610.49N/AN/A99,84026,12012,754,8003,627,680
2008-12-09$0.20$0.1988.6%24.6%104.2%42.6%87.0%12.4%2.7%900.3K2.0M-222.6K0.627.19N/AN/A408,840253,84012,788,4003,588,720
2008-12-10$0.21$0.1991.9%26.0%107.9%45.2%86.5%7.1%0.3%1.0M-19.4M-262.6K0.176.24N/AN/A980,600170,52012,873,9603,717,720
2008-12-11$0.20$0.1991.3%26.2%106.6%44.7%88.5%8.4%1.7%1.0M-11.3M-251.7K0.269.29N/AN/A218,24056,16013,117,8003,730,600
2008-12-12$0.21$0.1989.7%25.7%104.4%43.5%84.5%9.9%3.8%1.0M-17.9M-256.6K0.098.72N/AN/A378,20034,32013,029,4803,752,080
2008-12-15$0.21$0.1991.3%26.2%97.8%44.7%83.0%11.7%-0.6%962.8K-13.5M-230.0K0.035.31N/AN/A343,0809,04013,163,8403,738,200
2008-12-16$0.22$0.1978.0%22.4%99.3%34.4%82.3%9.0%3.2%654.1K-26.3M-240.5K0.204.95N/AN/A220,36044,48013,380,4403,741,000
2008-12-17$0.23$0.1979.1%22.7%98.6%35.2%84.3%5.7%5.4%1.4M-42.9M-269.6K0.615.86N/AN/A401,120245,56013,366,9203,736,080
2008-12-18$0.21$0.1979.8%22.9%100.1%35.7%79.8%-2.6%7.2%602.6K-19.6M-225.2K1.0310.25N/AN/A217,160223,12013,387,3203,731,560
2008-12-19$0.21$0.1978.4%22.5%96.7%34.7%77.8%0.5%8.0%559.8K-16.6M-223.0K1.805.36N/AN/A152,200274,68013,312,5203,884,520
2008-12-22$0.20$0.1974.9%21.5%97.9%31.9%75.1%-5.4%6.3%484.0K-7.7M-191.1K0.656.79N/AN/A196,520128,0409,243,2002,200,360
2008-12-23$0.20$0.1968.7%19.7%96.2%27.1%68.8%-3.9%12.9%475.7K-5.9M-185.8K0.082.57N/AN/A448,48033,7609,201,4802,228,360
2008-12-24$0.19$0.1966.6%19.1%96.6%25.5%66.7%17.3%12.3%555.7K-6.3M-181.6K0.043.31N/AN/A358,96012,6409,512,4402,184,360
2008-12-26$0.19$0.1964.7%18.5%92.4%24.0%64.6%10.1%11.7%630.7K-4.8M-176.5K0.063.22N/AN/A420,60025,6809,757,8002,188,560
2008-12-29$0.19$0.1965.3%18.7%92.8%24.5%65.2%45.4%10.1%754.8K-14.2M-181.0K0.123.45N/AN/A413,00049,88010,029,4802,113,560
2008-12-30$0.20$0.1967.8%19.4%86.8%26.4%68.8%-6.7%5.5%821.6K-25.0M-192.3K0.103.92N/AN/A409,92040,28010,328,7202,123,680
2008-12-31$0.20$0.1962.3%17.8%85.1%22.1%62.2%25.6%7.9%929.9K-29.3M-195.4K0.165.26N/AN/A267,08043,40010,600,7602,134,200