NVDA Options History — November 2009

In November 2009, NVDA traded between $0.30 and $0.34. ATM implied volatility averaged 43.4%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 1.1% (HV 20d: 44.5%). Max pain ranged from $0.33 to $0.35. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2009-11-05: Highest Volume — 2,664,600 contracts
  • 2009-11-06: Largest IV drop — 32.2% change
  • 2009-11-05: Highest IV Rank — 27.1%
  • 2009-11-05: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.33$0.30$0.34$0.30$0.33
Max Pain$0.33$0.33$0.35$0.35$0.33
ATM IV43.4%37.4%60.6%54.4%41.2%
Expected Move12.5%10.7%17.4%15.6%11.8%
HV 20d44.5%37.2%49.8%38.4%37.2%
HV 60d41.9%40.3%43.7%42.8%40.3%
IV Rank8.1%1.4%27.1%20.2%7.2%
IV Percentile9.7%0.4%40.9%30.6%7.5%
Term Structure1.4%-9.4%4.1%-2.9%2.6%
VWIV44.2%39.0%60.8%54.2%44.6%
Skew 25d2.9%-2.0%5.5%5.1%-0.8%
Skew 10d5.7%-4.7%10.8%5.2%-1.2%
Call IV 25d43.1%38.4%59.9%53.2%43.0%
Put IV 25d46.1%38.5%63.2%58.3%42.2%
Bid-Ask Spread %4.423.035.464.715.02
Gamma HHI0.230.170.340.190.18
Net GEX2.3M312.6K4.2M1.2M1.7M
Net DEX-18.4M-81.5M47.3M35.8M-12.7M
Net VEX-462.8K-545.6K-374.1K-446.7K-377.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.092.440.510.29
Total Volume878,928194,2802,664,600419,640718,720
Total OI15,459,27211,954,68017,614,44015,128,28012,061,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$0.30$0.3554.4%15.6%38.4%20.2%54.2%5.1%-2.9%1.2M35.8M-446.7K0.514.71N/AN/A278,280141,36010,100,4405,027,840
2009-11-03$0.30$0.3556.0%16.0%37.5%21.8%56.0%5.5%-4.8%1.2M37.8M-429.0K1.193.89N/AN/A292,040346,60010,109,2805,007,480
2009-11-04$0.30$0.3550.8%14.6%37.5%16.1%51.0%3.7%-4.1%1.0M47.3M-410.5K0.754.86N/AN/A709,640532,28010,185,1605,252,920
2009-11-05$0.31$0.3560.6%17.4%38.9%27.1%60.8%3.3%-9.4%1.3M25.2M-483.1K0.695.01N/AN/A1,573,6801,090,92010,577,0805,612,720
2009-11-06$0.33$0.3341.1%12.0%47.1%5.2%42.3%5.2%3.7%3.1M-35.7M-536.3K0.544.50N/AN/A1,646,080886,56011,195,7605,453,400
2009-11-09$0.34$0.3343.8%12.6%47.9%8.2%43.0%3.8%1.1%3.2M-55.5M-545.6K0.315.45N/AN/A769,840236,36011,017,4405,663,160
2009-11-10$0.33$0.3342.1%12.1%48.6%6.3%42.0%3.6%3.5%2.7M-25.3M-513.8K0.095.46N/AN/A404,92036,68011,181,5605,671,120
2009-11-11$0.34$0.3341.6%12.2%49.8%5.8%41.7%4.1%1.5%3.5M-59.5M-545.0K0.395.32N/AN/A488,720192,96011,296,4405,640,720
2009-11-12$0.34$0.3342.5%12.2%48.7%6.8%42.0%3.6%1.5%3.5M-56.6M-535.0K0.694.41N/AN/A376,680259,84011,316,0405,597,480
2009-11-13$0.34$0.3339.7%11.4%48.0%3.6%39.9%3.9%3.5%3.6M-62.9M-538.8K0.284.81N/AN/A402,720111,32011,414,3605,708,360
2009-11-16$0.34$0.3340.0%11.5%46.5%3.9%40.8%4.2%3.6%4.1M-81.5M-516.9K0.413.79N/AN/A448,680184,96011,458,2805,709,000
2009-11-17$0.34$0.3339.1%11.2%46.5%2.9%39.4%4.2%3.4%4.2M-73.8M-495.6K0.194.45N/AN/A613,600117,52011,469,6805,684,960
2009-11-18$0.34$0.3338.9%11.2%46.0%2.8%40.0%3.4%3.5%3.5M-48.5M-469.1K0.424.39N/AN/A341,920144,40011,430,6405,656,000
2009-11-19$0.32$0.3340.4%11.6%48.2%4.4%40.6%4.0%3.8%1.6M723.7K-427.2K2.443.24N/AN/A389,680950,72011,398,1205,692,560
2009-11-20$0.32$0.3340.9%11.7%47.5%5.0%41.0%2.8%3.5%312.6K33.8M-421.1K1.263.45N/AN/A404,280511,24011,392,0806,222,360
2009-11-23$0.33$0.3339.8%11.4%47.4%4.9%41.1%1.2%3.6%1.7M-13.1M-401.9K0.133.91N/AN/A888,200116,9208,143,3603,878,760
2009-11-24$0.32$0.3337.8%10.8%45.6%2.0%39.7%0.7%4.1%1.6M-7.4M-391.5K0.243.65N/AN/A318,96076,8408,068,8003,938,600
2009-11-25$0.33$0.3337.4%10.7%42.7%1.4%39.0%-0.4%4.1%1.7M-14.5M-397.4K0.233.03N/AN/A157,44036,8408,014,2803,940,400
2009-11-27$0.32$0.3340.2%11.5%41.0%5.6%45.0%-2.0%2.9%1.5M-2.0M-374.1K0.204.99N/AN/A316,12064,0408,044,8803,952,280
2009-11-30$0.33$0.3341.2%11.8%37.2%7.2%44.6%-0.8%2.6%1.7M-12.7M-377.2K0.295.02N/AN/A556,480162,2408,076,1603,985,480