NVDA Options History — January 2009

In January 2009, NVDA traded between $0.18 and $0.23. ATM implied volatility averaged 72.7%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 4.3% (HV 20d: 77.0%). Max pain ranged from $0.13 to $0.19. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2009-01-05: Highest Volume — 1,306,160 contracts
  • 2009-01-12: Largest IV spike — 45.1% change
  • 2009-01-12: Highest IV Rank — 47.2%
  • 2009-01-12: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.20$0.18$0.23$0.22$0.20
Max Pain$0.18$0.13$0.19$0.19$0.19
ATM IV72.7%65.0%94.5%65.0%68.7%
Expected Move20.8%18.6%22.6%18.6%19.7%
HV 20d77.0%71.0%87.4%87.4%80.5%
HV 60d98.2%93.2%105.3%105.3%94.5%
IV Rank30.3%24.2%47.2%24.2%27.1%
IV Percentile61.1%49.2%89.3%50.8%55.2%
Term Structure-0.2%-5.6%6.3%6.3%-2.9%
VWIV72.6%63.9%78.9%63.9%68.8%
Skew 25d-1.2%-12.3%9.6%6.1%-4.6%
Skew 10d-2.0%-25.0%26.3%8.0%-8.9%
Call IV 25d73.0%60.7%78.8%60.7%71.4%
Put IV 25d71.9%61.7%87.3%66.8%66.8%
Bid-Ask Spread %9.092.1117.512.115.81
Gamma HHI0.420.320.700.420.33
Net GEX723.9K239.1K1.5M835.4K473.5K
Net DEX-29.6M-68.5M-1.4M-45.5M-22.4M
Net VEX-214.0K-243.3K-176.8K-196.9K-233.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.123.600.163.60
Total Volume607,016175,8001,306,160501,920558,000
Total OI12,119,3247,564,80015,819,80012,766,1209,790,520

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$0.22$0.1965.0%18.6%87.4%24.2%63.9%6.1%6.3%835.4K-45.5M-196.9K0.162.11N/AN/A434,36067,56010,620,6002,145,520
2009-01-05$0.22$0.1367.3%21.0%82.8%26.0%73.3%3.0%-1.5%916.9K-54.7M-203.8K0.2017.51N/AN/A1,088,280217,88010,934,6402,167,760
2009-01-06$0.23$0.1968.0%20.1%82.6%26.6%71.0%1.4%-0.2%1.0M-68.5M-230.8K0.4111.92N/AN/A580,640239,48011,579,6002,336,120
2009-01-07$0.22$0.1990.0%21.3%85.2%43.7%74.6%-1.4%3.2%677.1K-56.9M-202.7K0.5016.93N/AN/A257,720129,08011,811,4002,532,240
2009-01-08$0.21$0.1966.7%21.8%80.1%25.6%74.7%-0.9%1.0%1.0M-48.3M-216.9K1.737.53N/AN/A321,960558,20011,875,5202,603,200
2009-01-09$0.20$0.1965.1%21.2%76.0%24.4%73.6%-8.0%-0.0%996.0K-31.1M-218.2K1.536.47N/AN/A122,440187,64011,946,6403,017,200
2009-01-12$0.19$0.1994.5%22.6%75.9%47.2%78.9%6.6%-0.9%963.4K-16.8M-199.4K2.637.58N/AN/A198,760521,88011,961,8803,041,480
2009-01-13$0.19$0.1972.9%21.0%73.4%30.4%74.8%5.3%1.9%1.0M-17.0M-211.7K1.158.86N/AN/A377,960434,80012,036,9603,358,520
2009-01-14$0.18$0.1974.3%21.0%74.1%31.5%73.4%3.4%1.6%1.1M-1.4M-187.3K2.989.98N/AN/A207,880618,68012,118,3203,273,000
2009-01-15$0.19$0.1970.6%20.2%71.0%28.6%71.0%-12.3%2.3%1.5M-13.7M-205.4K0.2810.10N/AN/A322,84090,72012,161,1203,640,920
2009-01-16$0.20$0.1970.9%20.3%71.6%28.8%71.5%-5.9%2.4%564.4K-43.7M-202.4K0.148.15N/AN/A396,00055,52012,237,0403,582,760
2009-01-20$0.18$0.1977.0%22.1%72.6%33.5%77.0%9.6%-1.3%378.0K-8.5M-176.8K1.976.92N/AN/A272,480536,6405,515,0802,049,720
2009-01-21$0.19$0.1972.8%20.9%75.1%30.3%72.6%-5.9%-0.4%359.5K-11.1M-193.4K3.355.91N/AN/A236,520792,3605,647,4402,364,080
2009-01-22$0.19$0.1973.3%21.0%72.5%30.7%72.6%-9.8%-1.4%243.5K-5.3M-210.8K2.277.36N/AN/A159,920363,4805,699,0802,954,560
2009-01-23$0.19$0.1969.6%19.9%73.9%27.8%69.6%-7.6%-0.1%239.1K-9.5M-222.0K0.127.49N/AN/A754,00090,3205,727,0403,169,080
2009-01-26$0.20$0.1973.9%21.2%74.3%31.1%74.5%-6.5%-2.8%450.6K-23.1M-241.9K0.5110.78N/AN/A145,76074,0806,305,8003,210,400
2009-01-27$0.21$0.1972.2%20.7%76.0%29.9%72.1%0.4%0.3%539.5K-36.2M-243.3K0.2911.63N/AN/A215,48061,4806,356,7603,229,040
2009-01-28$0.22$0.1968.5%19.6%76.5%27.0%70.3%2.1%-5.6%611.6K-46.2M-239.1K0.288.49N/AN/A213,32060,4006,410,5203,244,120
2009-01-29$0.21$0.1973.8%21.1%79.1%31.1%73.6%1.2%-5.2%527.2K-31.8M-242.6K2.6610.30N/AN/A48,000127,8006,467,9603,262,840
2009-01-30$0.20$0.1968.7%19.7%80.5%27.1%68.8%-4.6%-2.9%473.5K-22.4M-233.9K3.605.81N/AN/A121,200436,8006,490,1603,300,360