NVDA Options History — May 2009

In May 2009, NVDA traded between $0.21 and $0.31. ATM implied volatility averaged 70.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 3.1% (HV 20d: 73.4%). Max pain ranged from $0.25 to $0.25. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2009-05-07: Highest Volume — 4,463,400 contracts
  • 2009-05-13: Largest IV spike — 32.7% change
  • 2009-05-06: Highest IV Rank — 53.1%
  • 2009-05-01: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.25$0.21$0.31$0.29$0.26
Max Pain$0.25$0.25$0.25$0.25$0.25
ATM IV70.3%53.6%102.2%79.3%60.3%
Expected Move18.1%15.4%22.7%22.7%17.3%
HV 20d73.4%52.8%82.7%54.9%80.1%
HV 60d72.9%68.3%75.6%73.0%68.3%
IV Rank25.5%9.3%53.1%35.4%15.0%
IV Percentile42.9%10.3%93.3%74.2%19.0%
Term Structure-1.0%-16.7%3.4%-16.7%1.2%
VWIV64.1%54.2%78.8%78.8%60.5%
Skew 25d0.9%-6.5%9.8%2.9%-1.4%
Skew 10d0.1%-28.9%35.3%27.2%35.3%
Call IV 25d63.6%55.5%78.5%78.5%63.7%
Put IV 25d64.5%53.3%81.4%81.4%62.3%
Bid-Ask Spread %8.906.0112.4910.5210.13
Gamma HHI0.240.150.400.180.23
Net GEX-36.6K-800.4K1.1M5.5K1.1M
Net DEX-4.4M-66.8M57.0M-48.1M-42.8M
Net VEX-453.5K-529.8K-374.1K-459.6K-488.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.055.411.510.12
Total Volume1,248,258145,5604,463,4002,204,080751,920
Total OI15,240,78613,214,76016,743,04013,214,76016,743,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$0.29$0.2579.3%22.7%54.9%35.4%78.8%2.9%-16.7%5.5K-48.1M-459.6K1.5110.52N/AN/A879,6001,324,4805,617,1607,597,600
2009-05-04$0.31$0.2583.2%17.5%52.8%38.4%61.0%4.2%-3.1%198.0K-66.8M-506.8K0.4910.20N/AN/A421,200207,2006,249,2008,550,040
2009-05-05$0.29$0.2582.3%17.7%55.3%37.7%67.1%9.1%-3.9%64.5K-46.4M-523.5K1.409.19N/AN/A693,080970,6006,380,6808,582,680
2009-05-06$0.29$0.25102.2%21.9%54.2%53.1%77.7%9.8%-9.1%204.3K-42.8M-529.8K5.4111.60N/AN/A480,6402,599,1206,714,5608,207,080
2009-05-07$0.27$0.25101.7%20.7%58.8%52.8%71.7%3.9%-6.8%71.7K-19.2M-494.6K1.5110.66N/AN/A1,777,6802,685,7206,853,7607,924,600
2009-05-08$0.23$0.2569.7%18.0%74.5%27.9%62.6%2.3%3.0%-800.4K43.4M-437.8K0.8210.32N/AN/A1,328,4801,088,8807,576,8808,337,800
2009-05-11$0.24$0.2575.4%18.0%75.0%32.4%62.1%2.8%1.4%-439.0K27.4M-446.9K0.407.91N/AN/A375,840149,1608,121,7208,120,080
2009-05-12$0.22$0.2566.1%18.1%75.9%25.1%63.5%2.1%1.3%-558.2K43.1M-408.9K0.579.05N/AN/A329,240188,2008,178,8007,932,880
2009-05-13$0.21$0.2587.7%18.2%78.1%41.9%63.7%-3.9%1.8%-681.9K57.0M-374.1K0.508.83N/AN/A391,440196,0408,314,2407,929,320
2009-05-14$0.21$0.2561.8%17.7%77.5%19.9%62.7%-3.4%3.4%-647.8K55.1M-386.5K0.618.62N/AN/A277,760170,7608,541,0808,012,000
2009-05-15$0.22$0.2561.4%17.6%78.5%16.2%60.9%-1.5%3.1%-511.8K47.8M-400.6K0.898.68N/AN/A343,400304,6408,677,9208,057,240
2009-05-18$0.23$0.2557.2%16.4%80.5%12.8%57.2%2.0%2.8%-363.7K16.7M-410.5K0.487.37N/AN/A311,040148,6406,510,2007,263,520
2009-05-19$0.24$0.2555.9%16.0%81.1%11.3%54.2%2.2%2.5%-293.3K10.7M-418.2K0.226.57N/AN/A290,80063,8406,549,1607,273,840
2009-05-20$0.24$0.2553.6%15.4%81.1%9.3%56.0%1.7%1.5%-143.0K-271.3K-432.3K0.826.52N/AN/A386,480317,4006,663,0807,192,400
2009-05-21$0.24$0.2554.5%15.6%81.0%10.1%56.1%-5.0%1.0%-108.2K-220.3K-423.9K1.806.01N/AN/A404,440728,1206,709,2007,272,440
2009-05-22$0.25$0.2554.6%15.7%80.7%10.2%55.9%-0.1%1.3%-93.0K-3.9M-453.9K0.307.06N/AN/A111,88033,6806,969,5207,680,280
2009-05-26$0.26$0.2569.4%19.9%82.6%22.5%75.3%-6.5%-2.3%179.8K-28.9M-467.6K0.056.58N/AN/A2,714,560124,8406,974,3207,505,760
2009-05-27$0.26$0.2568.0%19.5%82.6%21.3%70.5%-2.8%-0.1%903.8K-43.0M-504.4K0.119.73N/AN/A862,48091,7208,815,6407,501,920
2009-05-28$0.26$0.2562.3%17.9%82.7%16.6%65.3%-1.2%-2.3%1.1M-47.4M-501.7K0.2412.49N/AN/A354,00086,1609,183,3607,530,720
2009-05-29$0.26$0.2560.3%17.3%80.1%15.0%60.5%-1.4%1.2%1.1M-42.8M-488.6K0.1210.13N/AN/A673,64078,2809,192,3607,550,680