NVDA Options History — February 2013

In February 2013, NVDA traded between $0.30 and $0.32. ATM implied volatility averaged 34.3%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 13.2% (HV 20d: 21.1%). Max pain ranged from $0.30 to $0.30. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2013-02-13: Highest Volume — 3,030,560 contracts
  • 2013-02-06: Largest IV spike — 46.3% change
  • 2013-02-06: Highest IV Rank — 28.8%
  • 2013-02-13: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.31$0.30$0.32$0.31$0.32
Max Pain$0.30$0.30$0.30$0.30$0.30
ATM IV34.3%28.9%47.2%29.0%28.9%
Expected Move9.6%8.0%10.9%10.0%8.0%
HV 20d21.1%18.5%25.0%25.0%21.6%
HV 60d24.9%23.8%27.0%26.8%24.0%
IV Rank13.9%7.8%28.8%7.8%7.8%
IV Percentile29.4%2.4%88.9%2.4%2.4%
Term Structure-0.8%-3.3%1.1%-0.9%1.1%
VWIV33.9%28.6%39.0%35.9%28.6%
Skew 25d0.1%-1.4%1.6%0.9%-0.5%
Skew 10d-0.2%-4.4%3.3%2.3%-0.2%
Call IV 25d34.3%30.3%39.3%34.8%30.3%
Put IV 25d34.5%29.7%39.0%35.7%29.7%
Bid-Ask Spread %12.302.3318.5313.0814.67
Gamma HHI0.420.300.580.450.37
Net GEX3.7M1.7M8.3M2.9M4.7M
Net DEX-60.5M-94.3M-38.3M-44.9M-76.3M
Net VEX-592.8K-637.2K-562.5K-572.5K-631.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.161.041.040.25
Total Volume1,008,890.526318,5203,030,5601,243,840699,520
Total OI13,030,934.73711,952,80015,176,00011,952,80013,059,840

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$0.31$0.3029.0%10.0%25.0%7.8%35.9%0.9%-0.9%2.9M-44.9M-572.5K1.0413.08N/AN/A609,760634,0808,688,4403,264,360
2013-02-04$0.30$0.3032.5%10.4%22.1%11.9%36.9%-0.7%-1.1%1.7M-38.3M-567.1K0.5312.86N/AN/A494,400259,7608,934,8003,477,040
2013-02-05$0.31$0.3032.2%10.4%21.9%11.6%36.6%0.7%-1.6%2.5M-57.8M-584.3K0.3711.92N/AN/A334,800123,4809,099,8003,613,080
2013-02-06$0.31$0.3047.2%10.5%20.7%28.8%36.8%1.0%-1.4%2.3M-51.0M-575.3K0.6317.14N/AN/A288,160180,1209,228,7603,641,160
2013-02-07$0.31$0.3035.9%10.3%19.0%15.7%35.6%1.6%-1.1%2.0M-45.8M-564.0K0.586.68N/AN/A280,720163,3209,317,9603,744,800
2013-02-08$0.31$0.3035.6%10.2%19.1%15.4%36.7%1.0%-1.3%3.3M-49.2M-562.8K0.324.42N/AN/A241,36077,1609,384,8803,836,960
2013-02-11$0.31$0.3037.4%10.7%19.5%17.5%39.0%0.4%-2.3%3.8M-65.3M-574.2K0.7611.03N/AN/A619,800469,3209,134,4803,284,120
2013-02-12$0.31$0.3036.4%10.4%19.7%16.4%37.2%0.0%-2.0%3.5M-58.0M-562.5K0.239.79N/AN/A694,800157,7209,361,8003,572,520
2013-02-13$0.31$0.3037.9%10.9%18.5%18.1%38.2%-0.5%-3.3%3.4M-56.4M-563.0K0.286.51N/AN/A2,375,080655,4809,538,6403,601,560
2013-02-14$0.32$0.3030.3%8.7%20.7%9.3%30.3%0.2%0.2%8.3M-89.3M-591.1K0.162.33N/AN/A2,604,000406,40010,600,8403,845,560
2013-02-15$0.32$0.3030.0%8.6%20.3%9.0%30.5%-0.1%0.2%5.8M-94.3M-619.4K0.4313.17N/AN/A828,840353,28011,285,8403,890,160
2013-02-19$0.31$0.3029.5%8.4%20.9%8.4%30.4%-1.4%0.3%3.8M-69.5M-585.3K0.5714.37N/AN/A630,240360,2409,176,0402,998,680
2013-02-20$0.31$0.3030.2%8.7%21.5%9.2%30.5%0.9%0.0%3.2M-52.7M-590.4K0.4118.53N/AN/A797,640325,0409,386,7203,200,200
2013-02-21$0.31$0.3031.7%9.1%21.7%11.0%33.0%-0.8%-0.0%2.8M-49.3M-608.2K0.5413.79N/AN/A553,600296,2409,701,6803,279,360
2013-02-22$0.31$0.3031.6%8.9%22.6%10.8%31.4%-1.1%-0.3%3.8M-66.8M-630.4K0.3616.91N/AN/A480,520173,40010,015,3203,382,400
2013-02-25$0.31$0.3039.2%9.3%22.7%19.6%33.2%-0.9%-0.3%3.4M-56.0M-618.3K0.2413.06N/AN/A672,880158,2409,671,2003,310,240
2013-02-26$0.31$0.3040.0%9.9%22.0%20.6%34.4%1.3%-1.9%3.6M-57.6M-626.1K0.4416.61N/AN/A449,320198,8809,547,6803,392,760
2013-02-27$0.32$0.3035.5%8.3%21.6%15.4%29.6%0.8%0.9%4.5M-71.2M-637.2K0.3716.78N/AN/A380,560140,7609,634,7603,483,320
2013-02-28$0.32$0.3028.9%8.0%21.6%7.8%28.6%-0.5%1.1%4.7M-76.3M-631.3K0.2514.67N/AN/A560,000139,5209,546,7603,513,080