NVDA Options History — April 2011

In April 2011, NVDA traded between $0.43 and $0.50. ATM implied volatility averaged 46.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 2.2% (HV 20d: 44.5%). Max pain ranged from $0.42 to $0.45. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2011-04-14: Highest Volume — 4,958,440 contracts
  • 2011-04-25: Largest IV spike — 23.1% change
  • 2011-04-04: Highest IV Rank — 53.7%
  • 2011-04-25: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.46$0.43$0.50$0.46$0.50
Max Pain$0.44$0.42$0.45$0.45$0.45
ATM IV46.7%40.5%54.3%46.1%43.0%
Expected Move13.8%12.4%15.3%13.1%14.6%
HV 20d44.5%35.0%50.7%49.6%35.9%
HV 60d56.7%51.5%68.5%68.5%51.5%
IV Rank32.0%14.4%53.7%34.0%20.6%
IV Percentile50.4%17.9%76.6%54.0%30.6%
Term Structure-1.2%-5.2%5.1%5.1%-4.3%
VWIV48.8%43.3%53.8%48.1%51.7%
Skew 25d1.6%-2.0%5.0%-2.0%0.2%
Skew 10d3.3%-2.5%9.4%-2.5%0.1%
Call IV 25d48.9%44.3%55.1%49.3%52.2%
Put IV 25d50.5%44.1%54.3%47.3%52.4%
Bid-Ask Spread %4.143.455.703.574.47
Gamma HHI0.150.110.390.150.39
Net GEX4.1M2.4M9.3M4.2M9.3M
Net DEX-115.3M-265.2M-28.7M-93.0M-265.2M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.200.970.400.40
Total Volume1,861,306980,4804,958,4401,649,0402,408,880
Total OI27,096,37624,206,80030,306,28026,687,48026,141,520

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$0.46$0.4546.1%13.1%49.6%34.0%48.1%-2.0%5.1%4.2M-93.0M-1.8M0.403.57N/AN/A1,179,320469,72016,574,44010,113,040
2011-04-04$0.44$0.4554.3%13.7%50.7%53.7%48.5%5.0%-1.1%3.3M-36.4M-1.6M0.284.08N/AN/A2,249,160627,52016,718,0409,986,440
2011-04-05$0.44$0.4252.2%13.7%48.7%48.8%48.6%4.2%-0.6%4.2M-59.0M-1.7M0.284.25N/AN/A1,064,400297,16017,923,48010,262,120
2011-04-06$0.44$0.4244.9%13.9%48.4%31.3%47.9%4.1%-0.6%3.4M-42.1M-1.7M0.473.52N/AN/A1,084,360510,12017,699,00010,413,400
2011-04-07$0.45$0.4241.0%13.8%44.6%21.8%48.1%3.4%-0.5%5.6M-114.4M-1.8M0.203.81N/AN/A1,885,000369,76018,068,08010,648,680
2011-04-08$0.44$0.4240.6%13.3%45.9%20.1%47.3%3.9%0.3%3.8M-54.7M-1.7M0.403.59N/AN/A939,080370,96018,226,84010,690,400
2011-04-11$0.43$0.4244.3%14.2%45.9%25.3%49.7%4.2%-1.7%3.1M-28.7M-1.7M0.394.03N/AN/A703,560276,92018,201,88010,679,240
2011-04-12$0.43$0.4244.6%14.0%44.8%26.0%49.1%4.2%-1.4%3.4M-29.8M-1.6M0.744.19N/AN/A944,400699,92018,369,28010,743,520
2011-04-13$0.44$0.4240.5%13.9%45.4%14.4%49.2%3.5%-1.4%4.7M-77.6M-1.7M0.634.21N/AN/A784,600490,56018,345,96010,799,200
2011-04-14$0.46$0.4246.8%13.4%47.3%30.4%47.2%0.4%1.8%6.7M-168.2M-1.8M0.425.70N/AN/A3,487,3201,471,12018,494,92010,920,920
2011-04-15$0.47$0.4545.6%13.1%47.0%27.4%46.4%-0.7%1.0%6.0M-177.3M-1.8M0.554.44N/AN/A1,704,080936,00018,594,00011,712,280
2011-04-18$0.45$0.4546.3%13.3%48.7%29.1%47.1%0.3%-0.2%2.4M-84.4M-1.7M0.594.90N/AN/A903,360532,48014,121,40010,085,400
2011-04-19$0.45$0.4545.7%13.1%48.3%27.8%46.3%0.9%0.5%2.8M-78.7M-1.7M0.454.48N/AN/A1,199,280541,00014,543,32010,368,280
2011-04-20$0.46$0.4545.0%12.9%48.9%25.9%45.5%1.2%-0.1%3.6M-130.8M-1.8M0.243.97N/AN/A1,015,000238,72014,784,88010,489,080
2011-04-21$0.46$0.4543.4%12.4%40.2%21.7%43.3%-0.2%-1.0%3.2M-128.5M-1.7M0.433.45N/AN/A843,080366,24015,064,92010,409,400
2011-04-25$0.47$0.4553.4%15.3%39.0%47.6%53.8%-0.8%-5.2%3.2M-153.0M-1.8M0.343.94N/AN/A1,997,080670,04014,851,52010,501,760
2011-04-26$0.48$0.4553.2%15.2%37.9%47.0%53.5%0.1%-5.2%3.5M-188.6M-1.8M0.634.34N/AN/A736,080463,00014,559,76010,602,920
2011-04-27$0.48$0.4552.2%15.0%37.8%44.6%52.5%-0.2%-5.0%3.4M-186.6M-1.7M0.973.61N/AN/A593,480575,52014,665,24010,742,000
2011-04-28$0.49$0.4551.5%14.8%35.0%42.7%52.0%-0.8%-4.8%3.2M-208.8M-1.7M0.344.18N/AN/A1,192,760405,08014,813,12010,997,840
2011-04-29$0.50$0.4543.0%14.6%35.9%20.6%51.7%0.2%-4.3%9.3M-265.2M-1.7M0.404.47N/AN/A1,715,800693,08015,117,12011,024,400