NVDA Options History — September 2012

In September 2012, NVDA traded between $0.33 and $0.35. ATM implied volatility averaged 38.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.1% (HV 20d: 30.2%). Max pain ranged from $0.35 to $0.35. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2012-09-14: Highest Volume — 1,751,480 contracts
  • 2012-09-06: Largest IV drop — 15.5% change
  • 2012-09-05: Highest IV Rank — 29.5%
  • 2012-09-07: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.34$0.33$0.35$0.33$0.33
Max Pain$0.35$0.35$0.35$0.35$0.35
ATM IV38.3%32.5%47.8%42.8%32.5%
Expected Move10.7%9.4%11.8%11.4%9.4%
HV 20d30.2%29.5%31.7%29.8%29.8%
HV 60d32.9%29.1%36.1%35.9%29.1%
IV Rank18.6%11.9%29.5%23.7%11.9%
IV Percentile29.5%8.3%65.1%44.4%8.3%
Term Structure4.1%0.4%7.2%2.2%7.2%
VWIV38.6%33.8%41.8%41.3%33.8%
Skew 25d-0.9%-2.3%0.5%-1.2%-0.5%
Skew 10d-2.1%-5.7%1.3%-3.4%-1.2%
Call IV 25d39.4%34.9%42.3%42.2%34.9%
Put IV 25d38.6%34.4%42.8%41.0%34.4%
Bid-Ask Spread %5.673.0115.6315.639.26
Gamma HHI0.180.150.230.190.17
Net GEX2.7M2.2M3.7M2.2M2.6M
Net DEX-36.7M-55.2M-20.4M-22.3M-37.6M
Net VEX-620.0K-656.8K-594.0K-594.0K-630.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.151.240.440.37
Total Volume779,107.368302,6401,751,4801,679,440575,720
Total OI14,470,332.63211,750,12016,415,88013,737,36012,972,680

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$0.33$0.3542.8%11.4%29.8%23.7%41.3%-1.2%2.2%2.2M-22.3M-594.0K0.4415.63N/AN/A1,167,320512,1209,908,9203,828,440
2012-09-05$0.33$0.3547.8%11.2%29.5%29.5%41.7%-0.1%1.9%2.2M-22.5M-602.2K0.243.84N/AN/A351,60084,92010,219,0004,078,640
2012-09-06$0.34$0.3540.4%11.3%31.7%21.0%40.4%-0.6%0.4%3.5M-52.3M-643.9K0.596.02N/AN/A640,960377,04010,378,6804,065,320
2012-09-07$0.34$0.3539.6%11.8%29.8%20.1%41.8%0.5%3.3%2.3M-26.7M-615.2K0.655.48N/AN/A767,080499,40010,424,2004,221,920
2012-09-10$0.33$0.3545.6%11.6%29.9%27.0%40.8%-0.1%3.3%2.3M-20.4M-598.3K1.244.83N/AN/A165,400204,96010,543,6804,149,160
2012-09-11$0.34$0.3544.2%11.2%29.8%25.4%39.5%0.1%3.2%2.5M-27.3M-606.6K0.623.01N/AN/A410,560255,80010,574,4804,254,600
2012-09-12$0.34$0.3537.5%11.0%30.0%17.7%40.3%0.1%3.2%2.6M-33.3M-610.7K0.253.95N/AN/A241,76060,88010,661,3604,357,640
2012-09-13$0.34$0.3537.3%10.7%30.2%17.4%38.4%0.2%3.0%3.0M-41.1M-613.2K0.363.76N/AN/A247,80088,64010,784,9604,375,080
2012-09-14$0.35$0.3537.1%10.6%29.5%17.2%38.7%-1.7%3.8%3.7M-55.2M-633.1K0.156.12N/AN/A1,516,440235,04010,829,4804,390,040
2012-09-17$0.34$0.3538.3%11.0%30.7%18.5%40.0%-1.7%3.7%2.3M-30.9M-600.6K0.375.91N/AN/A615,640226,04011,189,3604,282,400
2012-09-18$0.34$0.3535.9%10.3%30.9%15.8%37.5%-1.4%4.3%2.7M-37.4M-608.3K0.525.35N/AN/A491,840253,60011,529,6404,327,080
2012-09-19$0.34$0.3536.6%10.5%31.4%16.6%39.1%-2.2%4.1%3.0M-46.2M-634.7K0.284.31N/AN/A571,280157,16011,822,3604,400,400
2012-09-20$0.34$0.3536.6%10.5%31.4%16.6%37.7%-2.3%4.5%2.8M-38.4M-613.5K0.854.14N/AN/A256,960217,60011,994,0004,421,880
2012-09-21$0.34$0.3536.7%10.5%30.6%16.7%38.4%-2.1%5.2%2.6M-40.0M-618.2K0.454.43N/AN/A830,480373,72011,967,5604,409,560
2012-09-24$0.34$0.3535.4%10.2%29.5%15.3%36.8%-1.6%5.7%2.8M-50.0M-648.7K0.204.23N/AN/A929,200183,3608,814,1602,935,960
2012-09-25$0.34$0.3535.1%10.1%29.6%14.9%36.1%-0.9%6.1%2.9M-45.0M-656.8K0.285.29N/AN/A302,64086,0009,456,8803,011,000
2012-09-26$0.33$0.3535.4%10.2%30.0%15.2%36.8%-1.5%6.4%2.4M-33.9M-624.0K0.355.03N/AN/A408,160143,1209,531,3603,049,760
2012-09-27$0.33$0.3533.7%9.7%30.2%13.2%34.3%0.1%6.7%2.9M-36.7M-627.3K0.857.14N/AN/A190,520162,2809,696,6003,078,080
2012-09-28$0.33$0.3532.5%9.4%29.8%11.9%33.8%-0.5%7.2%2.6M-37.6M-630.2K0.379.26N/AN/A419,160156,5609,794,2403,178,440