NVDA Options History — February 2012

In February 2012, NVDA traded between $0.37 and $0.41. ATM implied volatility averaged 39.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 10.2% (HV 20d: 29.2%). Max pain ranged from $0.35 to $0.38. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-02-15: Highest Volume — 3,549,520 contracts
  • 2012-02-08: Largest IV spike — 49.7% change
  • 2012-02-08: Highest IV Rank — 22.7%
  • 2012-02-15: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.40$0.37$0.41$0.37$0.38
Max Pain$0.37$0.35$0.38$0.35$0.38
ATM IV39.4%31.8%53.6%35.6%37.2%
Expected Move11.5%9.6%13.3%12.9%9.8%
HV 20d29.2%26.2%31.6%29.0%29.6%
HV 60d37.5%32.6%40.5%39.7%32.6%
IV Rank8.2%0.3%22.7%4.3%5.9%
IV Percentile11.7%0.4%52.4%2.0%6.0%
Term Structure0.1%-4.2%4.6%-4.1%2.3%
VWIV40.7%34.1%46.9%45.6%34.4%
Skew 25d2.2%-0.4%3.2%2.6%1.7%
Skew 10d4.4%0.2%6.7%4.2%3.1%
Call IV 25d40.0%33.6%47.6%45.0%34.1%
Put IV 25d42.2%35.8%47.5%47.5%35.8%
Bid-Ask Spread %5.112.249.514.572.86
Gamma HHI0.240.200.390.240.21
Net GEX2.3M1.4M4.0M1.7M1.4M
Net DEX-63.1M-113.5M-14.8M-39.5M-14.8M
Net VEX-517.6K-555.6K-463.5K-463.5K-530.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.281.060.290.28
Total Volume1,209,146508,4803,549,520508,480887,760
Total OI10,204,7808,664,96012,477,0408,664,96010,541,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$0.37$0.3535.6%12.9%29.0%4.3%45.6%2.6%-4.1%1.7M-39.5M-463.5K0.294.57N/AN/A393,600114,8804,957,8003,707,160
2012-02-02$0.39$0.3534.9%12.9%31.2%3.6%45.6%1.5%-4.2%2.2M-63.1M-471.0K0.352.67N/AN/A919,040317,1205,078,0803,738,080
2012-02-03$0.40$0.3531.8%11.4%29.7%0.3%41.1%2.9%0.8%2.3M-80.6M-482.9K0.649.05N/AN/A1,240,880788,4405,384,0403,852,000
2012-02-06$0.39$0.3838.3%11.8%29.5%7.0%42.3%2.6%-0.6%2.1M-63.8M-491.7K0.839.00N/AN/A286,200238,0005,405,0804,264,880
2012-02-07$0.39$0.3835.8%11.7%29.5%4.5%41.4%2.3%-0.9%2.2M-68.2M-491.0K0.426.67N/AN/A561,120236,6805,494,1604,348,880
2012-02-08$0.41$0.3853.6%11.8%31.3%22.7%41.2%2.3%-0.7%2.7M-98.7M-495.2K0.396.62N/AN/A1,422,600555,5205,681,9204,439,240
2012-02-09$0.41$0.3842.9%12.3%29.9%11.7%43.4%3.2%-0.7%2.7M-94.7M-526.5K0.675.48N/AN/A551,320368,8405,926,1604,643,760
2012-02-10$0.40$0.3844.5%12.7%31.6%13.4%45.4%2.8%-1.3%2.1M-71.3M-536.4K0.416.92N/AN/A559,960227,7206,033,8004,746,560
2012-02-13$0.40$0.3845.0%12.9%29.3%13.9%45.2%1.8%-1.8%2.4M-85.1M-530.7K0.413.32N/AN/A686,560283,2805,978,6404,751,000
2012-02-14$0.41$0.3845.2%12.9%28.0%14.1%45.2%2.1%-2.1%2.6M-92.4M-531.7K0.635.13N/AN/A717,920451,2806,165,2004,843,080
2012-02-15$0.40$0.3846.5%13.3%26.9%15.5%46.9%-0.4%-1.3%2.7M-92.3M-555.6K0.649.51N/AN/A2,165,2001,384,3206,505,6804,979,560
2012-02-16$0.41$0.3839.1%11.2%26.2%7.9%39.5%2.0%3.6%4.0M-113.5M-544.3K0.538.51N/AN/A1,587,640842,7207,006,6805,416,360
2012-02-17$0.40$0.3837.7%10.8%30.1%6.4%38.6%1.8%4.6%3.7M-63.6M-527.3K0.513.97N/AN/A1,301,200662,1206,966,0005,511,040
2012-02-21$0.40$0.3836.8%10.6%29.0%5.5%37.2%1.8%1.2%2.0M-44.6M-526.7K0.363.68N/AN/A521,760187,4005,156,2403,861,240
2012-02-22$0.40$0.3836.0%10.3%28.4%4.7%36.6%2.1%1.5%2.1M-43.0M-531.1K0.363.20N/AN/A458,920166,9205,308,6403,937,360
2012-02-23$0.40$0.3835.6%10.2%28.2%4.2%37.5%2.3%1.4%2.8M-47.9M-535.4K1.062.24N/AN/A364,080387,6405,560,6004,034,920
2012-02-24$0.39$0.3832.6%9.6%28.1%1.2%34.1%3.1%2.1%1.9M-36.8M-535.9K0.323.05N/AN/A480,560153,1205,748,6404,207,280
2012-02-27$0.39$0.3840.8%10.6%29.1%9.6%36.8%2.3%0.6%1.9M-27.8M-524.8K0.612.35N/AN/A499,520304,0005,692,6004,149,920
2012-02-28$0.38$0.3839.0%10.2%29.2%7.7%35.4%2.6%1.5%1.6M-20.4M-520.1K0.323.47N/AN/A685,480221,6005,819,6004,252,040
2012-02-29$0.38$0.3837.2%9.8%29.6%5.9%34.4%1.7%2.3%1.4M-14.8M-530.3K0.282.86N/AN/A695,360192,4006,180,7604,360,920