NVDA Options History — April 2012

In April 2012, NVDA traded between $0.32 and $0.38. ATM implied volatility averaged 40.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 15.7% (HV 20d: 24.4%). 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 4 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2012-04-02: Highest Volume — 1,237,600 contracts
  • 2012-04-05: Largest IV drop — 29.8% change
  • 2012-04-13: Highest IV Rank — 16.6%
  • 2012-04-11: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.35$0.32$0.38$0.38$0.33
Max Pain$0.36$0.35$0.38$0.38$0.35
ATM IV40.1%29.8%45.2%34.9%34.0%
Expected Move11.9%9.0%13.2%9.2%12.7%
HV 20d24.4%19.2%28.2%19.2%25.1%
HV 60d26.3%25.3%26.8%25.9%25.3%
IV Rank11.5%1.3%16.6%6.3%5.4%
IV Percentile24.0%1.6%40.9%9.5%9.9%
Term Structure-0.4%-5.4%10.8%10.8%-5.4%
VWIV42.3%32.7%47.0%33.5%45.0%
Skew 25d-0.1%-2.4%1.3%-0.9%-0.7%
Skew 10d-0.4%-3.8%2.7%-3.8%-1.7%
Call IV 25d43.0%33.2%47.1%34.2%47.0%
Put IV 25d42.9%31.9%47.5%33.2%46.3%
Bid-Ask Spread %3.912.315.403.443.41
Gamma HHI0.160.120.190.190.12
Net GEX1.7M723.0K3.4M3.3M1.1M
Net DEX1.5M-60.5M34.0M-60.5M22.1M
Net VEX-564.2K-706.3K-441.4K-706.3K-451.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.050.650.260.25
Total Volume593,078265,2801,237,6001,237,600641,640
Total OI11,673,00410,577,44012,556,80011,001,12011,288,280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$0.38$0.3834.9%9.2%19.2%6.3%33.5%-0.9%10.8%3.3M-60.5M-706.3K0.263.44N/AN/A982,640254,9607,265,4803,735,640
2012-04-03$0.38$0.3836.4%9.3%19.9%7.9%32.7%-0.3%10.6%3.4M-47.5M-706.0K0.262.31N/AN/A491,800125,6807,612,0803,866,160
2012-04-04$0.37$0.3844.3%9.1%22.5%15.7%33.1%0.2%10.3%2.7M-26.0M-677.8K0.333.64N/AN/A354,040115,8407,810,1203,912,760
2012-04-05$0.37$0.3831.1%9.0%22.4%2.6%33.5%-1.6%10.7%2.6M-21.9M-669.3K0.353.38N/AN/A196,24069,0407,816,0003,948,480
2012-04-09$0.36$0.3838.7%12.7%22.8%10.2%44.4%-0.1%-2.4%2.2M-11.8M-629.9K0.264.45N/AN/A328,68084,4407,708,6403,922,080
2012-04-10$0.35$0.3839.3%13.2%23.2%10.7%46.1%0.4%-3.0%1.9M-3.2M-618.0K0.324.73N/AN/A255,64081,6407,808,8003,947,120
2012-04-11$0.36$0.3835.1%13.2%23.1%6.6%47.0%0.3%-2.7%2.1M-9.8M-620.7K0.235.40N/AN/A375,60087,4007,901,7603,971,880
2012-04-12$0.37$0.3844.0%12.6%22.4%15.5%44.4%1.3%-2.9%2.9M-27.6M-645.2K0.054.55N/AN/A340,16016,9607,972,3203,959,600
2012-04-13$0.35$0.3845.2%13.0%25.4%16.6%45.6%-0.2%-2.6%1.7M62.3K-592.7K0.624.80N/AN/A239,680147,8007,947,1603,953,960
2012-04-16$0.35$0.3844.4%12.7%25.6%15.8%45.1%0.9%-2.6%1.2M12.3M-555.4K0.194.63N/AN/A938,000178,6407,987,1604,043,800
2012-04-17$0.35$0.3842.3%12.1%25.6%13.7%42.7%0.8%-2.4%1.3M7.7M-555.8K0.324.23N/AN/A459,920148,6408,415,5604,024,680
2012-04-18$0.35$0.3542.8%12.3%25.2%14.2%43.4%1.1%-2.6%894.1K14.3M-541.2K0.533.71N/AN/A214,040113,1608,289,9204,077,120
2012-04-19$0.34$0.3542.8%12.3%25.6%14.2%44.1%0.8%-2.4%801.3K23.9M-513.2K0.653.71N/AN/A284,960183,8008,336,8404,084,120
2012-04-20$0.33$0.3542.8%12.3%26.3%14.3%43.2%0.6%-2.2%1.0M34.0M-491.0K0.654.09N/AN/A480,200310,6808,426,4404,130,360
2012-04-23$0.33$0.3543.8%12.6%26.1%15.2%45.1%-1.4%-2.8%961.9K21.8M-480.2K0.253.44N/AN/A633,640160,5606,960,2003,617,240
2012-04-24$0.32$0.3544.2%12.7%26.9%15.6%45.8%-0.9%-3.6%785.6K31.1M-441.4K0.333.21N/AN/A513,840169,7207,205,0803,595,760
2012-04-25$0.33$0.3543.6%12.5%28.2%15.0%44.4%-2.4%-4.4%1.1M22.2M-472.4K0.133.53N/AN/A672,80085,2807,415,2803,648,200
2012-04-26$0.33$0.3542.0%12.0%26.2%13.4%43.7%-0.8%-4.4%1.2M22.2M-462.5K0.553.87N/AN/A275,560150,9607,683,0403,690,480
2012-04-27$0.32$0.3529.8%11.7%25.9%1.3%42.4%0.8%-3.2%723.0K26.3M-452.7K0.613.67N/AN/A433,680263,6007,742,9203,737,560
2012-04-30$0.33$0.3534.0%12.7%25.1%5.4%45.0%-0.7%-5.4%1.1M22.1M-451.8K0.253.41N/AN/A512,160129,4807,644,9203,643,360