NVDA Options History — February 2009

In February 2009, NVDA traded between $0.18 and $0.25. ATM implied volatility averaged 75.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 8.4% (HV 20d: 84.2%). Max pain ranged from $0.19 to $0.19. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.57.

Notable Days

  • 2009-02-10: Highest Volume — 2,053,600 contracts
  • 2009-02-11: Largest IV drop — 39.4% change
  • 2009-02-10: Highest IV Rank — 52.2%
  • 2009-02-05: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.21$0.18$0.25$0.21$0.21
Max Pain$0.19$0.19$0.19$0.19$0.19
ATM IV75.9%61.2%101.0%77.0%69.2%
Expected Move21.2%19.5%23.4%22.1%19.8%
HV 20d84.2%75.9%91.8%77.9%86.0%
HV 60d87.4%82.8%94.3%94.3%82.8%
IV Rank32.7%21.3%52.2%33.6%27.5%
IV Percentile66.2%38.5%91.7%71.0%54.0%
Term Structure-4.6%-10.0%-0.8%-8.3%-2.8%
VWIV73.5%66.6%81.3%76.4%71.3%
Skew 25d-0.3%-21.0%15.2%1.3%-3.7%
Skew 10d-1.0%-33.1%32.8%7.6%-0.3%
Call IV 25d71.4%63.0%82.1%75.8%72.3%
Put IV 25d71.1%59.8%83.3%77.0%68.6%
Bid-Ask Spread %8.334.7415.0910.258.42
Gamma HHI0.400.250.580.380.41
Net GEX219.5K-266.5K784.7K495.1K-191.6K
Net DEX-17.6M-73.2M22.3M-33.6M6.2M
Net VEX-288.3K-310.4K-244.8K-244.8K-308.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.096.432.521.26
Total Volume764,989.474289,8402,053,600771,320378,800
Total OI11,667,334.7379,224,16013,887,36010,163,56010,206,080

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$0.21$0.1977.0%22.1%77.9%33.6%76.4%1.3%-8.3%495.1K-33.6M-244.8K2.5210.25N/AN/A219,280552,0406,539,2003,624,360
2009-02-03$0.21$0.1974.0%21.2%77.7%31.3%74.0%0.2%-6.0%469.2K-35.4M-261.2K6.4311.23N/AN/A65,000418,2406,606,0804,012,800
2009-02-04$0.22$0.1975.7%21.7%77.4%32.6%71.5%6.0%-7.5%460.4K-40.6M-270.0K0.9815.09N/AN/A647,200634,6806,601,8804,234,480
2009-02-05$0.23$0.1981.5%23.4%78.2%37.1%81.3%15.2%-10.0%421.8K-52.6M-285.2K0.197.63N/AN/A1,333,680248,6806,425,8004,611,200
2009-02-06$0.25$0.1983.5%21.1%79.2%38.7%76.4%5.0%-5.5%784.7K-73.2M-304.2K0.577.11N/AN/A552,960314,0406,977,8804,678,920
2009-02-09$0.24$0.1991.5%21.9%75.9%44.9%78.3%9.2%-7.8%677.6K-67.3M-301.1K1.859.29N/AN/A193,640358,5207,009,7604,798,320
2009-02-10$0.23$0.19101.0%22.4%76.1%52.2%80.8%5.5%-8.8%543.6K-53.3M-310.4K0.669.20N/AN/A1,234,400819,2007,008,0005,064,080
2009-02-11$0.20$0.1961.2%20.3%91.8%21.3%69.4%-0.4%-2.6%172.8K-12.7M-288.6K2.5510.43N/AN/A476,6401,213,9207,626,2005,484,400
2009-02-12$0.21$0.1971.1%20.4%90.1%29.0%66.6%5.9%-3.1%161.3K-15.7M-306.8K2.958.32N/AN/A73,320216,5207,556,3205,792,520
2009-02-13$0.21$0.1968.1%19.5%89.5%26.7%67.6%3.0%-0.8%122.6K-14.8M-307.8K3.769.32N/AN/A82,640310,9607,558,0405,872,120
2009-02-17$0.20$0.1972.7%20.8%90.3%30.2%72.5%-6.5%-3.2%41.6K997.5K-298.3K0.658.12N/AN/A333,080215,6807,578,1206,099,480
2009-02-18$0.20$0.1973.7%21.1%82.3%31.0%70.3%-1.2%-3.7%-189.5K-17.5M-287.4K0.097.46N/AN/A408,44035,5207,677,8406,077,760
2009-02-19$0.19$0.1971.8%20.6%86.0%29.6%71.0%-13.7%-1.9%625.1K18.7M-289.0K0.375.63N/AN/A346,320129,7207,830,5606,056,800
2009-02-20$0.19$0.1973.5%21.1%86.2%30.9%73.4%-9.9%-3.8%351.3K9.6M-280.6K0.355.24N/AN/A474,560164,6007,674,3206,018,440
2009-02-23$0.18$0.1977.2%22.1%86.7%33.7%78.7%-21.0%-3.4%-266.5K22.3M-256.5K0.345.42N/AN/A301,440101,0804,671,4004,552,760
2009-02-24$0.20$0.1973.7%21.1%91.5%31.0%73.6%-1.5%-1.0%-172.6K11.1M-280.5K1.014.74N/AN/A376,640380,5204,880,8004,553,400
2009-02-25$0.20$0.1971.3%20.4%89.1%29.2%71.0%-0.3%-1.6%-173.5K8.9M-290.6K1.696.38N/AN/A192,480324,9604,989,6804,734,120
2009-02-26$0.21$0.1973.9%21.2%88.6%31.2%72.9%1.3%-5.8%-162.8K5.2M-306.0K1.698.98N/AN/A150,520254,8805,003,9604,991,480
2009-02-27$0.21$0.1969.2%19.8%86.0%27.5%71.3%-3.7%-2.8%-191.6K6.2M-308.6K1.268.42N/AN/A167,600211,2005,044,4005,161,680