NVDA Options History — January 2013

In January 2013, NVDA traded between $0.30 and $0.33. ATM implied volatility averaged 33.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 6.9% (HV 20d: 26.7%). Max pain ranged from $0.30 to $0.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-01-28: Highest Volume — 2,053,880 contracts
  • 2013-01-28: Largest IV spike — 45.1% change
  • 2013-01-10: Highest IV Rank — 17.9%
  • 2013-01-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.31$0.30$0.33$0.32$0.31
Max Pain$0.30$0.30$0.33$0.31$0.30
ATM IV33.6%22.7%37.7%28.1%26.2%
Expected Move10.6%8.8%11.4%9.1%11.4%
HV 20d26.7%23.1%29.0%25.0%24.7%
HV 60d31.1%28.1%33.1%33.1%28.1%
IV Rank13.2%0.5%17.9%6.8%4.6%
IV Percentile27.6%0.4%50.8%0.4%0.8%
Term Structure-1.0%-4.5%6.0%5.5%-4.5%
VWIV37.1%30.7%40.0%32.1%40.0%
Skew 25d-0.1%-8.6%3.2%-1.8%0.4%
Skew 10d-0.6%-15.3%6.4%-0.8%-1.0%
Call IV 25d37.9%34.3%40.0%36.3%40.0%
Put IV 25d37.8%26.4%40.4%34.5%40.4%
Bid-Ask Spread %8.953.2715.978.993.27
Gamma HHI0.220.140.330.200.30
Net GEX1.3M305.8K2.6M2.0M1.9M
Net DEX-20.7M-61.6M9.2M-28.5M-39.4M
Net VEX-453.1K-577.1K-397.9K-417.8K-564.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.191.110.421.11
Total Volume733,072.381291,1602,053,880541,040813,680
Total OI12,973,434.2868,395,24015,878,88013,524,76011,720,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$0.32$0.3128.1%9.1%25.0%6.8%32.1%-1.8%5.5%2.0M-28.5M-417.8K0.428.99N/AN/A379,760161,2809,242,6004,282,160
2013-01-03$0.32$0.3130.3%8.8%23.1%9.4%30.7%-8.6%6.0%1.9M-27.9M-418.3K0.607.75N/AN/A328,760196,4409,307,2004,328,000
2013-01-04$0.33$0.3032.7%10.6%24.8%12.2%37.9%-1.4%-0.7%2.6M-50.1M-435.2K0.325.51N/AN/A579,560183,8809,421,9604,420,000
2013-01-07$0.32$0.3333.0%10.7%27.6%12.5%38.4%-0.9%-1.0%1.9M-26.3M-411.0K0.605.61N/AN/A812,160490,6009,524,2004,411,640
2013-01-08$0.31$0.3330.9%10.9%29.0%10.0%38.1%-0.4%-1.0%1.1M-11.5M-418.6K0.924.55N/AN/A229,280210,28010,045,9204,665,120
2013-01-09$0.31$0.3330.4%10.8%27.9%9.5%38.1%-0.4%-0.7%401.7K5.5M-397.9K0.783.78N/AN/A402,040311,64010,104,4804,780,640
2013-01-10$0.31$0.3037.7%10.8%26.4%17.9%38.2%-0.5%-0.7%305.8K4.9M-418.1K0.829.63N/AN/A160,240130,92010,279,5204,950,320
2013-01-11$0.31$0.3037.5%10.8%26.2%17.7%37.7%0.1%-1.2%422.5K4.3M-414.3K0.605.60N/AN/A327,560195,12010,359,1604,926,040
2013-01-14$0.30$0.3037.5%10.7%26.2%17.6%37.8%-0.0%-1.1%549.1K-341.3K-410.1K0.6112.07N/AN/A195,240118,36010,133,3204,742,240
2013-01-15$0.30$0.3037.6%10.8%26.8%17.7%37.9%0.1%-1.4%397.8K9.2M-404.1K0.297.91N/AN/A517,560148,96010,225,2004,797,680
2013-01-16$0.30$0.3037.2%10.7%27.1%17.3%37.8%1.0%-0.8%723.3K1.8M-428.4K0.538.39N/AN/A235,600124,08010,530,3204,857,880
2013-01-17$0.31$0.3037.7%10.8%27.6%17.8%38.2%0.9%-1.3%917.6K-2.6M-428.1K0.2210.26N/AN/A740,760163,48010,468,7604,896,040
2013-01-18$0.30$0.3036.6%10.5%27.5%16.6%36.9%1.7%-1.6%1.2M4.0M-435.6K0.5311.29N/AN/A333,680177,48010,911,6404,967,240
2013-01-22$0.30$0.3036.8%10.5%27.5%16.8%36.8%1.6%-2.6%1.1M-21.9M-423.6K0.5311.14N/AN/A324,160171,1205,953,4802,441,760
2013-01-23$0.30$0.3036.2%10.4%26.3%16.2%35.7%3.2%-3.0%1.2M-23.3M-433.9K0.368.78N/AN/A309,360112,3206,134,6802,575,040
2013-01-24$0.30$0.3036.8%10.5%26.3%16.8%36.7%1.8%-3.1%1.3M-27.4M-448.6K0.1912.76N/AN/A939,280175,0006,327,1602,663,200
2013-01-25$0.31$0.3022.7%11.0%27.0%0.5%38.3%-0.4%-3.3%1.8M-46.9M-503.3K0.238.01N/AN/A975,320228,1607,007,5602,715,080
2013-01-28$0.32$0.3032.9%10.7%27.4%12.4%37.2%-1.1%-1.6%2.5M-61.6M-550.9K0.3311.58N/AN/A1,548,680505,2007,538,8402,735,480
2013-01-29$0.31$0.3034.7%10.7%28.6%14.4%37.2%0.7%-2.0%2.0M-50.6M-577.0K0.5115.10N/AN/A542,000277,8408,401,6003,035,240
2013-01-30$0.31$0.3033.2%10.8%28.2%12.6%38.0%1.1%-1.8%1.8M-46.4M-577.1K0.2915.97N/AN/A479,240138,4408,457,3603,156,040
2013-01-31$0.31$0.3026.2%11.4%24.7%4.6%40.0%0.4%-4.5%1.9M-39.4M-564.0K1.113.27N/AN/A386,040427,6408,490,5603,229,760