NVDA Options History — February 2010

In February 2010, NVDA traded between $0.40 and $0.45. ATM implied volatility averaged 46.6%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 4.4% (HV 20d: 51.0%). Max pain ranged from $0.40 to $0.45. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.01.

Notable Days

  • 2010-02-09: Highest Volume — 2,637,120 contracts
  • 2010-02-18: Largest IV drop — 15.9% change
  • 2010-02-08: Highest IV Rank — 38.5%
  • 2010-02-04: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.42$0.40$0.45$0.41$0.41
Max Pain$0.41$0.40$0.45$0.45$0.40
ATM IV46.6%35.4%61.7%48.8%35.4%
Expected Move12.9%10.2%16.4%14.0%10.2%
HV 20d51.0%45.1%56.3%45.1%52.2%
HV 60d49.3%48.1%50.6%49.0%50.4%
IV Rank15.5%0.0%38.5%18.8%0.0%
IV Percentile32.3%0.0%68.3%45.6%0.0%
Term Structure-1.0%-5.7%3.0%-3.3%3.0%
VWIV45.3%35.8%56.9%49.9%35.8%
Skew 25d3.5%1.7%5.5%3.3%1.9%
Skew 10d8.1%5.6%11.5%6.3%5.9%
Call IV 25d44.1%35.5%56.3%49.1%35.5%
Put IV 25d47.6%37.3%60.0%52.4%37.3%
Bid-Ask Spread %5.753.358.605.758.60
Gamma HHI0.180.130.230.170.23
Net GEX-239.9K-1.3M1.5M-467.1K-1.3M
Net DEX-25.3M-118.7M18.8M-5.1M6.2M
Net VEX-670.1K-749.3K-558.4K-574.1K-734.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.241.790.770.95
Total Volume1,040,818.947207,8402,637,120444,880207,840
Total OI11,606,061.0539,135,16014,667,1209,141,12012,336,440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$0.41$0.4548.8%14.0%45.1%18.8%49.9%3.3%-3.3%-467.1K-5.1M-574.1K0.775.75N/AN/A251,920192,9604,603,8804,537,240
2010-02-02$0.42$0.4549.3%14.1%45.4%19.5%50.1%4.1%-3.4%-417.3K-10.6M-575.5K0.685.61N/AN/A329,800223,4804,601,5604,533,600
2010-02-03$0.42$0.4551.4%14.8%45.1%22.8%51.4%3.5%-3.8%-269.8K-20.0M-587.6K1.076.12N/AN/A138,000148,0804,750,2004,587,000
2010-02-04$0.40$0.4557.1%16.4%48.8%31.4%56.9%3.6%-5.7%-610.0K18.8M-558.4K0.975.87N/AN/A381,880371,5204,762,8804,677,760
2010-02-05$0.41$0.4058.5%15.1%49.6%33.5%53.7%5.3%-3.4%-589.9K8.4M-584.4K1.456.08N/AN/A287,880416,9204,873,7204,883,280
2010-02-08$0.40$0.4061.7%14.7%49.5%38.5%51.2%5.5%-3.3%-629.5K9.4M-572.7K0.326.87N/AN/A677,360214,7604,928,6804,925,960
2010-02-09$0.40$0.4055.0%13.3%49.5%28.3%46.8%5.5%-0.9%-453.1K11.7M-569.2K0.246.13N/AN/A2,122,720514,4005,327,6004,971,640
2010-02-10$0.41$0.4054.0%13.3%49.1%26.7%46.5%4.2%-0.3%977.2K-38.8M-665.0K0.436.18N/AN/A584,160249,3606,755,8804,990,240
2010-02-11$0.43$0.4045.9%13.1%51.8%14.3%47.4%4.8%-0.3%1.5M-88.0M-693.5K1.564.48N/AN/A918,1601,431,5607,017,6005,042,560
2010-02-12$0.43$0.4045.4%13.0%51.8%13.6%45.6%4.1%-1.3%837.0K-87.0M-723.5K1.766.91N/AN/A656,0001,155,6006,931,3605,875,440
2010-02-16$0.44$0.4046.5%13.3%51.0%15.3%47.0%4.0%-3.1%1.1M-104.1M-747.9K0.745.15N/AN/A521,280385,1207,170,2006,619,160
2010-02-17$0.45$0.4047.2%13.5%50.7%16.3%47.6%2.9%-3.4%1.2M-118.7M-741.1K1.615.30N/AN/A830,8001,340,2007,237,6006,692,760
2010-02-18$0.42$0.4039.7%11.4%56.3%4.9%39.9%2.3%2.0%-589.3K-14.5M-731.4K1.573.35N/AN/A1,018,7601,599,0807,287,0807,272,400
2010-02-19$0.41$0.4038.5%11.0%56.0%3.1%39.3%2.6%2.6%-1.0M-5.9M-732.8K1.345.31N/AN/A289,760387,0807,350,4007,316,720
2010-02-22$0.42$0.4037.1%10.6%54.6%1.0%37.6%2.6%0.9%-905.0K-19.5M-730.6K0.785.23N/AN/A312,800245,2005,473,8006,185,800
2010-02-23$0.41$0.4039.1%11.2%54.9%4.1%38.9%2.5%1.4%-999.0K1.9M-724.2K0.585.89N/AN/A402,160231,9605,575,3606,214,520
2010-02-24$0.41$0.4036.7%10.5%54.2%0.3%37.2%1.9%1.6%-879.8K-18.1M-749.3K0.644.96N/AN/A186,680120,3205,743,6006,329,200
2010-02-25$0.41$0.4037.6%10.8%53.4%1.7%37.5%1.7%1.6%-973.1K-7.9M-736.9K1.795.35N/AN/A153,920276,0805,770,5606,361,480
2010-02-26$0.41$0.4035.4%10.2%52.2%0.0%35.8%1.9%3.0%-1.3M6.2M-734.3K0.958.60N/AN/A106,400101,4405,805,4806,530,960