NVDA Options History — May 2010

In May 2010, NVDA traded between $0.31 and $0.39. ATM implied volatility averaged 53.2%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 3.0% (HV 20d: 50.2%). Max pain ranged from $0.38 to $0.42. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-05-13: Highest Volume — 3,478,400 contracts
  • 2010-05-20: Largest IV spike — 20.3% change
  • 2010-05-20: Highest IV Rank — 69.7%
  • 2010-05-06: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.34$0.31$0.39$0.39$0.33
Max Pain$0.39$0.38$0.42$0.42$0.38
ATM IV53.2%43.7%65.0%48.0%44.2%
Expected Move14.6%12.5%17.4%13.8%12.7%
HV 20d50.2%37.2%62.7%37.2%60.5%
HV 60d40.7%36.2%45.1%36.2%45.1%
IV Rank43.0%23.0%69.7%23.0%30.6%
IV Percentile75.6%47.6%94.8%66.7%49.2%
Term Structure-2.5%-9.0%1.0%-4.6%0.3%
VWIV50.6%42.9%60.0%48.9%43.5%
Skew 25d8.1%3.3%13.7%3.3%7.7%
Skew 10d15.4%2.3%27.1%4.5%14.5%
Call IV 25d48.0%38.6%59.3%48.1%40.9%
Put IV 25d56.1%46.5%65.4%51.4%48.7%
Bid-Ask Spread %4.453.1414.513.254.32
Gamma HHI0.180.140.230.230.14
Net GEX1.8M805.4K3.4M2.5M1.6M
Net DEX51.8M-11.5M114.2M-11.5M40.3M
Net VEX-714.3K-899.3K-570.8K-848.3K-621.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.172.022.020.49
Total Volume1,348,868457,0003,478,4001,137,680457,000
Total OI17,762,54414,284,84021,137,48014,284,84016,067,280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$0.39$0.4248.0%13.8%37.2%23.0%48.9%3.3%-4.6%2.5M-11.5M-848.3K2.023.25N/AN/A377,280760,4009,092,4405,192,400
2010-05-04$0.37$0.4254.1%15.5%40.2%31.7%54.2%3.9%-8.2%1.5M39.6M-769.2K0.294.27N/AN/A2,433,120704,2409,172,5605,619,400
2010-05-05$0.36$0.4257.0%16.3%40.0%35.8%55.2%4.2%-9.0%2.1M33.3M-820.7K0.793.84N/AN/A579,760457,32010,584,7205,916,200
2010-05-06$0.35$0.4260.7%17.4%40.1%41.1%60.0%3.7%-8.8%2.0M42.6M-800.5K0.3214.51N/AN/A1,050,040335,76010,669,6005,996,280
2010-05-07$0.35$0.4065.0%16.2%39.8%47.4%56.0%8.9%-3.3%1.9M42.3M-810.2K0.675.06N/AN/A1,032,560687,92011,090,7206,045,000
2010-05-10$0.36$0.4057.6%13.4%42.8%46.2%46.5%9.1%-1.5%2.4M28.9M-820.6K0.175.05N/AN/A966,920160,04011,090,7206,045,000
2010-05-11$0.36$0.4061.0%13.6%41.4%52.3%46.5%7.4%-1.3%2.8M24.3M-832.4K0.584.23N/AN/A713,720417,20011,799,9606,120,160
2010-05-12$0.37$0.4059.0%12.5%42.0%48.6%43.6%5.8%0.1%3.4M9.3M-874.7K0.433.68N/AN/A1,042,400451,52012,062,5606,353,400
2010-05-13$0.37$0.4047.6%13.7%41.6%28.3%47.7%6.7%-2.2%3.3M5.3M-899.3K0.553.88N/AN/A2,239,9201,238,48012,287,5606,573,920
2010-05-14$0.32$0.4050.4%14.5%55.8%46.1%49.8%8.7%-0.3%805.4K114.2M-621.1K0.393.65N/AN/A2,467,160971,96012,878,2006,946,400
2010-05-17$0.32$0.3850.1%14.4%56.0%45.2%49.5%8.2%-1.3%1.5M89.0M-649.3K0.333.59N/AN/A591,240197,76014,070,3607,067,120
2010-05-18$0.31$0.3849.4%14.2%56.1%43.6%49.2%10.4%-1.7%1.2M113.2M-574.9K0.433.27N/AN/A897,560387,00013,685,6806,948,120
2010-05-19$0.32$0.3849.8%14.3%57.0%44.6%50.5%10.7%-1.3%1.2M103.2M-623.6K0.383.97N/AN/A490,880187,76014,011,9606,980,640
2010-05-20$0.31$0.3860.0%17.2%56.7%69.7%57.9%13.7%-4.3%1.5M100.4M-606.7K0.604.91N/AN/A640,640386,36014,223,6406,767,520
2010-05-21$0.32$0.3854.1%15.5%58.1%55.3%54.0%12.2%-0.7%1.3M87.9M-658.6K0.524.03N/AN/A836,040431,44014,150,0406,688,920
2010-05-24$0.31$0.3855.6%16.0%57.8%59.0%54.5%11.5%-2.4%1.0M55.1M-570.8K0.743.68N/AN/A304,520224,60010,647,8004,787,000
2010-05-25$0.32$0.3848.0%13.8%59.3%40.1%53.5%9.6%0.4%1.3M46.0M-607.9K0.833.42N/AN/A364,120301,20010,751,0004,890,200
2010-05-26$0.32$0.3848.8%14.0%59.4%42.0%48.8%8.3%-0.8%1.3M44.8M-609.5K0.373.22N/AN/A398,720147,32010,901,7605,061,840
2010-05-27$0.34$0.3843.7%12.5%62.7%29.4%42.9%7.9%1.0%1.8M28.6M-666.4K0.403.14N/AN/A462,360183,12010,922,7205,090,080
2010-05-28$0.33$0.3844.2%12.7%60.5%30.6%43.5%7.7%0.3%1.6M40.3M-621.9K0.494.32N/AN/A306,400150,60010,980,9605,086,320