NVDA Options History — December 2012

In December 2012, NVDA traded between $0.29 and $0.32. ATM implied volatility averaged 35.5%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.4% (HV 20d: 27.1%). Max pain ranged from $0.30 to $0.35. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-12-11: Highest Volume — 1,693,160 contracts
  • 2012-12-10: Largest IV spike — 16.5% change
  • 2012-12-14: Highest IV Rank — 18.3%
  • 2012-12-14: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.31$0.29$0.32$0.29$0.31
Max Pain$0.32$0.30$0.35$0.33$0.31
ATM IV35.5%30.1%38.1%36.6%34.1%
Expected Move10.1%9.0%10.9%9.0%10.1%
HV 20d27.1%22.3%33.9%33.9%23.0%
HV 60d32.4%31.9%33.0%32.4%32.3%
IV Rank15.3%9.1%18.3%16.7%13.7%
IV Percentile29.7%3.6%44.8%34.9%21.0%
Term Structure4.4%2.6%5.6%4.6%5.2%
VWIV36.7%31.4%40.4%31.4%35.7%
Skew 25d-0.7%-2.7%1.7%0.4%-0.3%
Skew 10d-2.6%-8.5%2.5%2.5%-1.7%
Call IV 25d38.2%32.8%41.5%32.8%39.0%
Put IV 25d37.4%33.2%39.7%33.2%38.7%
Bid-Ask Spread %9.731.8315.854.278.23
Gamma HHI0.180.150.220.220.16
Net GEX567.1K-1.0M2.4M-1.0M796.9K
Net DEX-2.2M-26.1M38.5M38.5M-9.4M
Net VEX-434.1K-482.9K-377.6K-377.6K-416.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.141.150.770.33
Total Volume508,108229,5601,693,160277,080304,400
Total OI15,473,48613,115,68017,435,84014,899,88013,412,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$0.29$0.3336.6%9.0%33.9%16.7%31.4%0.4%4.6%-1.0M38.5M-377.6K0.774.27N/AN/A156,200120,8809,851,6405,048,240
2012-12-04$0.30$0.3036.2%9.5%32.0%16.2%33.4%1.7%2.6%-657.2K22.2M-411.0K1.0811.24N/AN/A261,720282,8809,909,6805,106,880
2012-12-05$0.30$0.3036.4%9.4%32.1%16.3%33.4%0.6%3.0%-889.8K27.5M-406.6K0.1914.43N/AN/A235,56045,5209,990,2805,199,920
2012-12-06$0.30$0.3033.1%9.1%30.5%12.6%32.5%-0.2%4.1%-762.3K24.3M-425.4K0.3610.13N/AN/A168,80060,76010,123,8405,217,720
2012-12-07$0.30$0.3530.1%9.9%30.4%9.1%37.0%-0.4%4.1%-932.9K27.7M-406.2K0.669.87N/AN/A193,120127,60010,165,8005,239,320
2012-12-10$0.31$0.3535.0%10.0%29.7%14.8%35.6%-0.1%4.7%-282.1K5.9M-414.2K0.6110.18N/AN/A474,640289,32010,102,8805,235,080
2012-12-11$0.32$0.3537.5%10.5%29.4%17.6%38.4%-0.6%4.0%550.4K-13.8M-442.3K0.1415.85N/AN/A1,479,560213,60010,330,8805,343,960
2012-12-12$0.31$0.3532.3%10.5%29.5%11.6%39.7%-1.5%4.6%1.0M-12.4M-461.4K0.2310.16N/AN/A521,080122,08011,244,4005,404,920
2012-12-13$0.31$0.3537.4%10.7%27.7%17.5%38.8%-0.8%4.1%1.3M-14.1M-472.9K0.1712.66N/AN/A262,40045,60011,487,5205,406,080
2012-12-14$0.31$0.3138.1%10.9%27.7%18.3%40.4%-1.6%3.7%1.3M-18.5M-482.9K0.2810.49N/AN/A341,76094,40011,596,8005,425,280
2012-12-17$0.31$0.3137.9%10.9%26.6%18.1%40.0%-2.7%4.1%1.1M-17.1M-450.2K0.699.01N/AN/A224,520154,52011,428,3205,358,560
2012-12-18$0.31$0.3136.7%10.5%25.2%16.8%38.2%-1.4%4.9%1.3M-16.4M-438.1K0.497.86N/AN/A278,680137,40011,504,6005,371,280
2012-12-19$0.32$0.3136.7%10.5%23.9%16.7%37.6%-1.6%4.8%1.9M-23.7M-440.4K0.368.02N/AN/A690,920251,00011,545,1605,395,120
2012-12-20$0.32$0.3136.7%10.5%22.3%16.7%38.9%-0.4%4.3%2.4M-26.1M-470.2K0.339.93N/AN/A360,600117,56011,766,5205,477,200
2012-12-21$0.31$0.3136.5%10.5%24.1%16.5%37.7%-1.3%4.8%1.2M-14.0M-463.5K0.449.25N/AN/A532,040234,32011,898,9205,536,920
2012-12-24$0.31$0.3135.2%10.1%23.6%15.0%37.2%-0.9%5.5%961.4K-9.0M-431.2K0.651.83N/AN/A257,480168,1209,015,1204,100,560
2012-12-26$0.31$0.3134.8%10.0%23.6%14.5%35.7%-0.9%5.6%1.0M-8.4M-426.0K0.5710.12N/AN/A186,080106,1209,102,2404,171,880
2012-12-27$0.30$0.3134.4%9.9%23.5%14.1%35.3%-1.6%5.6%633.9K-4.3M-420.9K1.159.69N/AN/A148,600170,2809,172,8804,241,360
2012-12-28$0.30$0.3134.0%10.2%22.7%13.6%36.1%-1.2%4.6%401.0K-2.6M-424.4K0.5111.44N/AN/A226,520115,5209,201,3604,337,840
2012-12-31$0.31$0.3134.1%10.1%23.0%13.7%35.7%-0.3%5.2%796.9K-9.4M-416.5K0.338.23N/AN/A228,04076,3609,141,6804,271,080