NVDA Options History — March 2010

In March 2010, NVDA traded between $0.42 and $0.45. ATM implied volatility averaged 37.8%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 0.7% (HV 20d: 38.4%). Max pain ranged from $0.40 to $0.45. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-03-12: Highest Volume — 1,686,560 contracts
  • 2010-03-11: Largest IV spike — 10.6% change
  • 2010-03-17: Highest IV Rank — 9.5%
  • 2010-03-17: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.43$0.42$0.45$0.42$0.43
Max Pain$0.43$0.40$0.45$0.40$0.45
ATM IV37.8%34.6%41.0%35.6%36.2%
Expected Move11.0%9.9%11.8%10.2%10.4%
HV 20d38.4%32.7%51.1%51.1%32.8%
HV 60d43.4%40.7%50.8%50.8%40.7%
IV Rank4.5%0.0%9.5%0.3%2.4%
IV Percentile7.2%0.0%19.8%0.4%3.2%
Term Structure2.1%0.3%3.5%2.8%3.5%
VWIV38.6%35.8%40.9%36.0%36.4%
Skew 25d2.4%0.0%4.7%1.1%1.0%
Skew 10d5.0%1.4%9.0%2.9%2.5%
Call IV 25d38.0%33.5%40.2%36.1%36.8%
Put IV 25d40.3%36.8%43.2%37.2%37.8%
Bid-Ask Spread %5.742.7310.094.964.90
Gamma HHI0.190.140.340.200.16
Net GEX245.3K-1.6M3.1M-899.1K261.1K
Net DEX-59.0M-147.5M-22.6M-39.0M-29.2M
Net VEX-710.6K-729.4K-681.8K-724.1K-713.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.085.020.841.53
Total Volume628,213.913181,7201,686,560382,200181,720
Total OI11,980,994.7838,900,44014,345,32012,386,72010,304,520

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$0.42$0.4035.6%10.2%51.1%0.3%36.0%1.1%2.8%-899.1K-39.0M-724.1K0.844.96N/AN/A207,520174,6805,835,3206,551,400
2010-03-02$0.42$0.4036.9%10.6%44.0%2.1%37.5%1.0%1.7%-967.4K-37.3M-725.5K0.996.28N/AN/A214,200212,6805,869,0406,627,120
2010-03-03$0.42$0.4035.9%10.3%44.1%0.7%37.4%2.8%2.7%-1.1M-22.6M-720.6K5.028.67N/AN/A171,280859,4805,947,6006,646,080
2010-03-04$0.42$0.4034.6%9.9%44.0%0.0%35.8%3.3%3.2%-1.6M-23.5M-721.9K1.809.49N/AN/A138,080248,6405,997,8806,931,040
2010-03-05$0.43$0.4234.7%10.9%39.3%0.2%37.3%4.3%2.9%-189.8K-64.1M-701.4K0.465.53N/AN/A212,36098,4806,025,2006,423,360
2010-03-08$0.42$0.4235.3%11.0%39.4%1.1%37.8%4.0%2.6%-247.4K-48.6M-684.4K0.385.37N/AN/A264,320100,0806,041,4406,352,680
2010-03-09$0.44$0.4235.9%11.1%41.2%1.8%39.2%4.7%1.9%377.8K-90.9M-690.1K0.465.88N/AN/A677,240313,4006,143,3206,387,200
2010-03-10$0.44$0.4235.6%11.0%40.9%1.4%38.8%4.1%1.9%649.4K-99.4M-686.8K0.846.91N/AN/A265,880223,1606,366,5606,464,800
2010-03-11$0.43$0.4239.3%11.3%41.7%7.0%40.1%4.6%2.3%56.4K-66.3M-711.3K1.9810.09N/AN/A176,920350,7206,404,3606,640,120
2010-03-12$0.43$0.4240.8%11.7%38.6%9.1%40.1%2.7%1.3%57.4K-71.9M-717.3K0.086.05N/AN/A1,560,000126,5606,450,2406,801,960
2010-03-15$0.43$0.4240.6%11.6%38.3%8.9%40.3%2.6%1.3%542.0K-71.8M-712.2K0.415.31N/AN/A241,04099,2007,114,3206,832,880
2010-03-16$0.44$0.4240.0%11.5%39.7%8.0%40.7%2.9%1.5%2.2M-118.2M-711.6K0.206.22N/AN/A588,600118,5607,130,9606,753,080
2010-03-17$0.45$0.4241.0%11.8%40.1%9.5%40.9%3.1%0.3%3.1M-147.5M-704.2K0.487.34N/AN/A804,720387,1207,172,7606,735,880
2010-03-18$0.44$0.4540.6%11.6%34.1%8.9%40.3%2.8%0.7%861.1K-84.8M-698.2K1.465.98N/AN/A407,320593,7207,236,2407,028,760
2010-03-19$0.43$0.4540.0%11.5%34.3%7.9%40.7%1.5%0.6%-211.8K-82.3M-681.8K1.264.90N/AN/A614,080774,8807,304,0007,041,320
2010-03-22$0.44$0.4537.3%10.7%34.7%4.0%38.0%2.1%2.3%556.6K-40.4M-695.3K1.723.37N/AN/A339,240583,2404,577,4404,323,000
2010-03-23$0.45$0.4537.1%10.6%33.7%3.7%37.3%2.6%2.9%400.6K-50.6M-725.7K0.275.03N/AN/A289,20079,1604,751,4404,797,080
2010-03-24$0.43$0.4538.5%11.0%35.8%5.7%38.5%1.5%2.0%201.6K-28.1M-727.4K1.382.73N/AN/A169,360233,6404,869,5204,730,360
2010-03-25$0.43$0.4538.5%11.0%35.6%5.8%38.7%1.1%2.0%138.1K-28.9M-729.4K0.694.48N/AN/A155,800107,4004,915,2004,866,440
2010-03-26$0.43$0.4538.9%11.2%35.2%6.3%40.0%0.0%2.2%146.5K-28.4M-721.6K0.423.92N/AN/A382,720159,3604,917,0004,873,440
2010-03-29$0.44$0.4238.0%10.9%32.7%5.0%38.4%0.4%1.7%667.2K-41.2M-723.5K1.214.90N/AN/A120,040145,5205,219,2004,931,200
2010-03-30$0.44$0.4537.4%10.7%32.7%4.1%37.9%0.8%2.6%659.4K-42.8M-715.9K1.283.73N/AN/A121,960155,6405,226,1205,004,000
2010-03-31$0.43$0.4536.2%10.4%32.8%2.4%36.4%1.0%3.5%261.1K-29.2M-713.5K1.534.90N/AN/A71,720110,0005,230,0005,074,520