NVDA Options History — January 2010

In January 2010, NVDA traded between $0.38 and $0.47. ATM implied volatility averaged 44.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 7.3% (HV 20d: 37.2%). Max pain ranged from $0.45 to $0.47. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.21.

Notable Days

  • 2010-01-14: Highest Volume — 1,679,960 contracts
  • 2010-01-14: Largest IV spike — 10.2% change
  • 2010-01-29: Highest IV Rank — 22.4%
  • 2010-01-29: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.44$0.38$0.47$0.46$0.38
Max Pain$0.46$0.45$0.47$0.45$0.45
ATM IV44.5%38.4%51.2%43.0%51.2%
Expected Move13.6%12.7%14.7%14.1%14.7%
HV 20d37.2%29.8%58.3%58.3%34.0%
HV 60d47.2%45.8%47.8%47.2%46.9%
IV Rank12.2%2.9%22.4%9.9%22.4%
IV Percentile28.0%2.4%48.8%21.8%48.8%
Term Structure-2.5%-3.7%-1.1%-2.1%-3.2%
VWIV47.6%44.2%50.6%47.9%50.6%
Skew 25d4.0%2.4%5.5%5.5%3.8%
Skew 10d7.9%5.8%11.9%11.4%7.0%
Call IV 25d46.0%43.3%49.3%45.8%49.3%
Put IV 25d50.0%46.1%53.3%51.3%53.1%
Bid-Ask Spread %5.524.396.885.876.76
Gamma HHI0.170.130.190.150.17
Net GEX415.1K-634.6K1.6M1.3M-622.5K
Net DEX-70.1M-161.0M33.2M-147.6M33.2M
Net VEX-526.8K-578.2K-481.3K-490.5K-523.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.472.450.500.76
Total Volume700,966.316296,3601,679,960693,960643,480
Total OI9,654,903.1587,355,76011,926,48010,257,4808,933,840

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$0.46$0.4543.0%14.1%58.3%9.9%47.9%5.5%-2.1%1.3M-147.6M-490.5K0.505.87N/AN/A461,960232,0006,226,0804,031,400
2010-01-05$0.47$0.4542.2%13.7%58.0%8.8%48.3%5.3%-1.6%1.5M-155.1M-491.1K1.005.34N/AN/A165,440165,5206,273,0004,042,200
2010-01-06$0.47$0.4541.6%13.7%42.0%7.8%48.9%5.2%-2.2%1.6M-161.0M-481.3K1.535.46N/AN/A191,720292,5206,269,2004,080,040
2010-01-07$0.46$0.4541.9%13.8%37.7%8.3%48.7%5.1%-2.9%1.3M-141.7M-493.5K1.275.55N/AN/A280,160356,5206,253,0804,249,360
2010-01-08$0.46$0.4738.4%13.7%37.4%2.9%48.7%5.3%-3.2%1.3M-139.4M-507.5K1.354.53N/AN/A163,440219,8806,337,6804,467,800
2010-01-11$0.46$0.4741.9%14.4%37.0%8.3%49.8%4.9%-3.7%1.0M-127.2M-499.3K1.026.54N/AN/A231,560235,6406,336,4804,570,600
2010-01-12$0.44$0.4740.9%14.5%39.4%6.7%50.3%4.1%-3.6%506.9K-101.1M-501.8K1.724.59N/AN/A540,440930,9606,369,0404,682,000
2010-01-13$0.45$0.4741.2%13.7%38.6%7.2%48.0%3.4%-3.3%615.1K-113.5M-531.2K1.595.53N/AN/A357,960568,0006,573,4404,897,480
2010-01-14$0.44$0.4545.4%13.0%39.3%13.6%45.5%2.4%-2.6%436.5K-100.8M-516.4K2.305.16N/AN/A508,4401,171,5206,584,2804,879,120
2010-01-15$0.43$0.4745.1%12.9%31.0%13.1%44.9%3.3%-1.7%204.2K-64.1M-528.6K1.006.88N/AN/A547,600547,5606,725,9605,200,520
2010-01-19$0.44$0.4544.8%12.9%31.6%12.7%44.2%2.9%-1.9%320.1K-40.4M-538.4K0.794.39N/AN/A359,600283,5603,990,6803,365,080
2010-01-20$0.43$0.4544.2%12.7%31.6%11.8%44.6%2.6%-1.4%375.7K-38.8M-545.9K1.985.19N/AN/A150,720297,9204,128,8803,482,360
2010-01-21$0.43$0.4547.1%13.5%29.8%16.2%47.0%3.0%-1.1%163.0K-27.6M-558.0K0.475.53N/AN/A393,320185,9604,144,5203,634,000
2010-01-22$0.41$0.4549.3%14.1%30.3%19.6%48.7%3.4%-3.0%37.1K-10.3M-537.4K2.455.17N/AN/A396,960970,8004,184,8003,669,080
2010-01-25$0.42$0.4546.1%13.2%30.5%14.7%46.5%3.8%-2.5%-391.9K-10.0M-570.9K0.766.06N/AN/A289,880219,9604,268,8004,240,680
2010-01-26$0.41$0.4547.3%13.6%32.1%16.5%47.0%3.9%-2.9%-561.8K7.6M-562.2K1.175.56N/AN/A155,480182,0004,381,0004,339,400
2010-01-27$0.42$0.4546.1%13.2%33.8%14.6%46.8%4.3%-2.5%-546.8K-5.4M-578.2K0.826.02N/AN/A162,680133,6804,379,9604,409,520
2010-01-28$0.40$0.4547.8%13.7%35.0%17.2%47.9%3.4%-2.6%-634.6K12.2M-554.0K0.564.82N/AN/A206,920116,6004,423,5604,418,240
2010-01-29$0.38$0.4551.2%14.7%34.0%22.4%50.6%3.8%-3.2%-622.5K33.2M-523.1K0.766.76N/AN/A365,520277,9604,495,4804,438,360