NVDA Options History — March 2009

In March 2009, NVDA traded between $0.19 and $0.26. ATM implied volatility averaged 73.0%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 8.2% (HV 20d: 81.2%). Max pain ranged from $0.19 to $0.25. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2009-03-12: Highest Volume — 1,385,440 contracts
  • 2009-03-10: Largest IV drop — 16.4% change
  • 2009-03-09: Highest IV Rank — 37.8%
  • 2009-03-05: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.23$0.19$0.26$0.19$0.25
Max Pain$0.19$0.19$0.25$0.19$0.19
ATM IV73.0%67.0%82.4%78.1%73.6%
Expected Move20.8%19.2%22.8%22.4%21.1%
HV 20d81.2%71.1%93.2%90.5%71.1%
HV 60d80.6%77.7%84.2%84.2%79.2%
IV Rank30.4%25.8%37.8%34.5%31.0%
IV Percentile59.3%43.7%78.2%73.8%59.9%
Term Structure0.6%-6.2%7.2%-6.2%6.7%
VWIV73.1%68.0%79.4%79.4%74.6%
Skew 25d2.7%-16.8%11.5%-16.8%1.8%
Skew 10d9.5%-24.7%36.1%-24.7%11.6%
Call IV 25d72.1%63.5%86.2%86.2%76.6%
Put IV 25d74.8%69.4%79.5%69.4%78.4%
Bid-Ask Spread %8.545.0815.265.087.86
Gamma HHI0.390.300.580.510.30
Net GEX113.3K-287.3K1.4M-287.3K-153.2K
Net DEX-13.6M-38.6M19.3M19.3M-13.7M
Net VEX-385.7K-456.6K-295.9K-295.9K-456.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.105.200.722.19
Total Volume617,812.727254,2401,385,440599,680591,560
Total OI11,904,734.54510,408,32014,028,60010,408,32012,441,160

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$0.19$0.1978.1%22.4%90.5%34.5%79.4%-16.8%-6.2%-287.3K19.3M-295.9K0.725.08N/AN/A348,080251,6005,157,3605,250,960
2009-03-03$0.20$0.1977.2%22.1%89.5%33.8%77.0%-6.1%-3.6%-232.0K13.0M-317.2K2.157.00N/AN/A90,200193,8805,402,7205,365,480
2009-03-04$0.21$0.1976.3%21.9%93.2%33.1%76.2%0.3%-2.3%-104.2K-365.1K-330.2K0.689.90N/AN/A201,600137,5205,437,6005,360,080
2009-03-05$0.21$0.1979.6%22.8%93.0%35.6%78.2%4.9%-5.6%-170.0K4.8M-323.4K1.605.79N/AN/A99,680159,7605,439,0805,399,520
2009-03-06$0.21$0.1979.3%21.3%89.2%35.3%74.0%3.2%1.1%-138.3K1.9M-326.0K3.945.65N/AN/A55,600219,2405,454,6405,451,200
2009-03-09$0.21$0.1982.4%21.7%86.5%37.8%74.2%-1.6%1.0%-227.0K5.7M-321.8K0.735.93N/AN/A147,160107,0805,438,4805,567,160
2009-03-10$0.23$0.1968.8%20.7%92.8%27.2%74.3%6.1%-0.1%83.1K-12.2M-334.0K0.635.97N/AN/A415,600259,8005,537,9605,584,760
2009-03-11$0.23$0.1970.0%19.7%92.1%28.1%72.5%9.3%1.2%275.2K-18.5M-342.7K5.206.74N/AN/A129,480673,8805,733,8005,743,080
2009-03-12$0.25$0.1971.3%20.4%79.4%29.2%71.4%3.5%-0.7%469.7K-30.1M-356.0K1.298.98N/AN/A605,360780,0805,713,3606,046,120
2009-03-13$0.24$0.1968.3%19.6%79.4%26.9%68.4%6.4%-0.2%440.0K-26.3M-387.4K1.4410.53N/AN/A259,360373,8406,041,3206,581,840
2009-03-16$0.24$0.1967.0%19.2%81.2%25.8%68.1%5.7%0.4%183.9K-13.3M-385.7K0.8610.54N/AN/A269,120230,3206,071,5206,819,800
2009-03-17$0.25$0.1967.0%19.2%78.6%25.8%68.2%11.5%-0.8%494.0K-26.2M-397.8K0.1615.26N/AN/A241,08039,6006,106,6006,995,400
2009-03-18$0.26$0.1967.9%19.5%78.7%26.5%68.0%7.0%-0.1%770.1K-38.6M-395.3K1.0611.15N/AN/A574,200607,7206,163,9607,003,800
2009-03-19$0.25$0.2570.8%20.3%71.5%28.7%71.6%7.9%-0.1%1.4M-32.2M-428.0K0.109.40N/AN/A786,32080,9206,320,0407,371,680
2009-03-20$0.24$0.2574.8%21.4%75.7%31.8%76.7%0.8%-2.8%454.2K-15.0M-421.4K0.379.54N/AN/A951,880347,8006,640,7607,387,840
2009-03-23$0.26$0.1972.9%20.9%75.1%30.4%72.1%6.6%1.0%-199.4K-17.6M-424.4K0.659.94N/AN/A336,960219,8404,766,9606,403,960
2009-03-24$0.25$0.1974.7%21.4%73.2%31.8%75.0%-0.4%2.1%-224.7K-9.1M-431.3K0.387.03N/AN/A532,520201,5604,953,7206,525,760
2009-03-25$0.25$0.1968.6%19.7%73.2%27.1%69.2%2.6%5.5%-106.3K-17.2M-452.3K0.377.37N/AN/A374,320139,6405,366,2006,591,320
2009-03-26$0.26$0.1969.5%19.9%75.0%27.8%71.0%2.5%5.9%9.1K-31.7M-455.6K0.6410.61N/AN/A413,880264,6805,401,5206,644,320
2009-03-27$0.26$0.1971.2%20.4%75.3%29.1%71.8%0.3%7.2%-78.2K-29.6M-452.2K0.1710.49N/AN/A295,00050,3205,287,5206,732,640
2009-03-30$0.24$0.1975.9%21.8%71.7%32.8%75.7%3.2%4.6%-165.8K-12.4M-451.2K1.507.16N/AN/A213,880319,9605,439,5206,761,640
2009-03-31$0.25$0.1973.6%21.1%71.1%31.0%74.6%1.8%6.7%-153.2K-13.7M-456.6K2.197.86N/AN/A185,200406,3605,543,6406,897,520