NVDA Options History — January 2012

In January 2012, NVDA traded between $0.34 and $0.37. ATM implied volatility averaged 43.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 7.8% (HV 20d: 35.6%). Max pain ranged from $0.35 to $0.38. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2012-01-19: Highest Volume — 1,369,640 contracts
  • 2012-01-27: Largest IV drop — 27.5% change
  • 2012-01-09: Highest IV Rank — 22.3%
  • 2012-01-10: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.36$0.34$0.37$0.35$0.37
Max Pain$0.35$0.35$0.38$0.38$0.35
ATM IV43.4%31.4%54.2%41.7%35.5%
Expected Move12.9%11.7%13.5%13.1%13.1%
HV 20d35.6%29.1%41.3%38.7%29.1%
HV 60d46.1%41.4%49.6%49.6%41.4%
IV Rank11.2%0.0%22.3%9.2%4.1%
IV Percentile16.6%0.0%46.8%7.9%1.6%
Term Structure-0.8%-3.4%6.0%6.0%-3.1%
VWIV45.6%41.7%48.2%46.0%48.0%
Skew 25d4.5%2.1%6.7%3.7%4.2%
Skew 10d8.3%1.1%12.4%3.5%6.0%
Call IV 25d43.9%40.6%46.1%45.9%45.2%
Put IV 25d48.4%44.4%51.6%49.6%49.3%
Bid-Ask Spread %4.512.628.003.172.62
Gamma HHI0.210.130.300.160.23
Net GEX1.2M-56.5K2.2M920.7K1.4M
Net DEX-1.8M-35.6M46.3M22.2M-31.6M
Net VEX-445.6K-511.7K-379.7K-471.0K-460.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.170.670.430.56
Total Volume817,096292,4401,369,640486,200512,640
Total OI13,338,9007,353,68016,549,00015,603,4408,431,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$0.35$0.3841.7%13.1%38.7%9.2%46.0%3.7%6.0%920.7K22.2M-471.0K0.433.17N/AN/A338,840147,3609,424,4406,179,000
2012-01-04$0.35$0.3842.8%12.9%38.9%10.4%45.1%2.1%5.8%1.2M15.0M-475.6K0.373.55N/AN/A524,880195,5609,490,8406,217,720
2012-01-05$0.37$0.3846.9%12.6%41.2%14.7%44.8%4.0%3.3%2.2M-16.3M-511.7K0.362.67N/AN/A703,320251,3609,786,0806,328,360
2012-01-06$0.36$0.3548.3%13.5%41.3%16.1%48.2%5.8%-1.5%2.2M-7.3M-503.3K0.373.30N/AN/A589,160216,3609,914,0806,395,920
2012-01-09$0.36$0.3554.2%13.3%39.7%22.3%47.9%5.9%-1.5%2.2M-1.1M-475.1K0.433.02N/AN/A334,120144,68010,031,9606,390,960
2012-01-10$0.36$0.3549.9%13.5%39.4%17.8%46.0%6.7%-1.6%1.9M5.4M-463.7K0.174.65N/AN/A822,440142,7609,975,0406,451,040
2012-01-11$0.35$0.3540.0%13.3%39.0%7.5%46.7%6.0%-1.3%1.3M25.5M-443.1K0.415.62N/AN/A417,760171,64010,071,2406,477,760
2012-01-12$0.35$0.3544.9%12.9%37.8%12.6%45.6%5.2%-0.7%808.2K18.7M-430.0K0.515.61N/AN/A590,280298,80010,068,0406,255,800
2012-01-13$0.34$0.3545.3%13.0%36.2%13.0%46.7%5.7%-0.6%640.7K38.4M-403.1K0.663.99N/AN/A338,880224,64010,126,8806,251,640
2012-01-17$0.34$0.3546.3%13.3%36.5%14.0%47.2%6.3%-1.4%-56.5K46.3M-379.7K0.423.43N/AN/A598,920248,6809,771,8406,148,880
2012-01-18$0.35$0.3545.4%13.0%38.4%13.1%45.8%5.7%-1.6%441.1K24.6M-406.7K0.324.01N/AN/A667,520214,8009,997,4406,166,480
2012-01-19$0.36$0.3547.2%13.5%37.7%15.0%47.3%5.3%-3.0%792.3K6.0M-411.4K0.674.74N/AN/A819,920549,7209,996,3606,166,120
2012-01-20$0.36$0.3542.8%12.3%32.8%10.4%42.5%4.3%-0.5%469.8K4.1M-407.4K0.493.97N/AN/A781,400386,00010,175,1606,259,440
2012-01-23$0.37$0.3541.0%11.7%33.6%8.5%41.7%3.8%-1.1%858.8K-21.3M-418.1K0.366.93N/AN/A655,520239,0004,008,8003,344,880
2012-01-24$0.37$0.3542.2%12.1%31.2%9.7%42.9%2.6%-1.4%1.5M-35.6M-439.8K0.303.68N/AN/A665,360202,0404,307,3603,425,160
2012-01-25$0.37$0.3542.5%12.2%31.0%10.1%43.4%3.8%-2.3%1.6M-32.2M-444.2K0.387.35N/AN/A951,000358,0004,459,2003,461,240
2012-01-26$0.37$0.3543.4%12.4%31.1%11.0%44.3%4.0%-2.7%1.6M-28.8M-445.9K0.386.36N/AN/A544,280205,3204,587,9203,554,640
2012-01-27$0.37$0.3531.4%12.7%29.5%0.0%44.8%2.5%-2.4%1.2M-34.5M-460.1K0.338.00N/AN/A751,880244,6404,675,6803,627,920
2012-01-30$0.37$0.3535.9%13.2%29.3%4.6%47.1%2.8%-3.4%1.4M-32.7M-461.6K0.543.46N/AN/A189,360103,0804,745,1203,629,920
2012-01-31$0.37$0.3535.5%13.1%29.1%4.1%48.0%4.2%-3.1%1.4M-31.6M-460.5K0.562.62N/AN/A329,600183,0404,792,2803,639,360