NVDA Options History — February 2011

In February 2011, NVDA traded between $0.55 and $0.64. ATM implied volatility averaged 58.5%, placing in the 78.4% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 8.2% (HV 20d: 66.7%). Max pain ranged from $0.40 to $0.53. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2011-02-17: Highest Volume — 10,587,800 contracts
  • 2011-02-17: Largest IV drop — 22.1% change
  • 2011-02-09: Highest IV Rank — 100.0%
  • 2011-02-14: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.60$0.55$0.64$0.61$0.57
Max Pain$0.45$0.40$0.53$0.50$0.50
ATM IV58.5%47.4%66.3%54.9%56.3%
Expected Move16.3%13.6%18.4%15.7%16.1%
HV 20d66.7%54.6%81.9%81.9%65.6%
HV 60d58.3%54.4%64.1%54.4%63.8%
IV Rank78.4%45.1%100.0%69.5%71.1%
IV Percentile92.3%71.0%100.0%89.3%88.5%
Term Structure-3.9%-10.7%2.6%-3.3%-1.2%
VWIV57.5%49.1%64.9%55.2%56.9%
Skew 25d2.4%-2.0%6.6%0.9%3.2%
Skew 10d3.4%-7.5%11.2%1.6%6.1%
Call IV 25d56.9%49.3%63.0%55.0%56.3%
Put IV 25d59.4%50.4%69.1%55.8%59.6%
Bid-Ask Spread %4.423.006.733.096.28
Gamma HHI0.110.090.220.100.13
Net GEX4.7M2.8M13.4M4.5M3.4M
Net DEX-540.1M-888.6M-328.2M-606.7M-368.9M
Net VEX-1.7M-1.9M-1.5M-1.5M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.331.630.570.38
Total Volume3,220,972.632853,08010,587,800853,0802,149,200
Total OI28,908,313.68426,149,04034,403,08026,185,64028,078,360

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$0.61$0.5054.9%15.7%81.9%69.5%55.2%0.9%-3.3%4.5M-606.7M-1.5M0.573.09N/AN/A543,280309,80014,824,52011,361,120
2011-02-02$0.64$0.5059.3%17.0%81.7%82.9%60.3%1.0%-4.9%4.7M-690.5M-1.5M0.623.26N/AN/A1,916,8001,189,84014,904,96011,401,200
2011-02-03$0.63$0.5361.4%17.6%80.9%89.1%62.6%1.3%-5.2%4.3M-636.6M-1.6M1.633.66N/AN/A911,2001,481,44015,221,68011,893,280
2011-02-04$0.64$0.4059.2%15.4%69.7%82.4%54.7%1.4%-3.6%4.1M-680.4M-1.6M0.503.16N/AN/A975,040484,32015,405,72012,462,600
2011-02-07$0.61$0.4062.6%15.7%72.3%92.9%55.0%2.0%-3.8%3.8M-594.6M-1.6M0.553.77N/AN/A817,200448,16015,485,92012,516,040
2011-02-08$0.60$0.4063.5%15.5%73.0%95.6%55.1%1.4%-3.5%3.5M-535.5M-1.6M0.603.23N/AN/A1,062,880641,16015,668,44012,624,680
2011-02-09$0.58$0.4066.3%16.2%73.4%100.0%56.7%2.2%-6.1%3.2M-481.3M-1.6M0.575.40N/AN/A1,566,960897,32015,742,08012,729,880
2011-02-10$0.57$0.4058.6%16.8%54.6%77.6%58.9%2.6%-6.2%3.6M-449.7M-1.7M0.594.33N/AN/A1,261,240741,92016,268,52012,788,360
2011-02-11$0.59$0.4258.0%16.6%55.6%76.1%58.3%4.2%-6.9%4.5M-519.3M-1.7M0.335.67N/AN/A2,685,600884,68016,551,20012,911,600
2011-02-14$0.58$0.4264.0%18.4%55.8%93.4%63.9%5.7%-9.9%4.8M-490.3M-1.7M0.493.00N/AN/A3,021,8001,483,76016,877,20012,778,520
2011-02-15$0.56$0.4263.3%18.1%55.8%91.3%64.2%2.2%-10.2%4.5M-438.3M-1.7M0.804.90N/AN/A1,787,2001,424,52017,736,00013,413,520
2011-02-16$0.58$0.4263.9%18.3%56.4%93.2%64.9%6.6%-10.7%6.0M-528.3M-1.8M0.576.73N/AN/A5,263,7202,978,00018,231,96013,496,360
2011-02-17$0.64$0.4549.8%14.3%65.1%52.1%51.2%-2.0%0.9%13.4M-888.6M-1.7M0.433.65N/AN/A7,402,1603,185,64019,964,48014,313,360
2011-02-18$0.64$0.4747.4%13.6%64.9%45.1%49.1%1.2%2.6%6.6M-830.9M-1.8M0.494.21N/AN/A2,505,8401,228,32019,593,44014,809,640
2011-02-22$0.58$0.4755.7%16.0%64.1%69.3%55.9%3.6%-1.6%3.6M-405.6M-1.8M1.105.14N/AN/A1,722,9201,893,44014,988,44011,160,600
2011-02-23$0.55$0.5058.1%16.6%65.4%76.1%59.6%4.5%-1.4%2.8M-328.2M-1.8M0.685.11N/AN/A1,855,8401,270,56015,581,52011,776,240
2011-02-24$0.57$0.5056.1%16.1%65.4%70.4%57.1%2.3%0.1%3.5M-374.9M-1.9M0.555.31N/AN/A910,480500,72015,800,68011,879,760
2011-02-25$0.58$0.5053.0%15.2%66.0%61.4%53.9%1.8%0.4%4.0M-412.4M-1.9M0.544.12N/AN/A1,168,600626,92015,956,48012,059,600
2011-02-28$0.57$0.5056.3%16.1%65.6%71.1%56.9%3.2%-1.2%3.4M-368.9M-1.9M0.386.28N/AN/A1,555,160594,04015,918,04012,160,320