NVDA Options History — March 2013

In March 2013, NVDA traded between $0.31 and $0.32. ATM implied volatility averaged 26.4%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.5% (HV 20d: 16.9%). Max pain ranged from $0.30 to $0.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2013-03-06: Highest Volume — 1,608,400 contracts
  • 2013-03-04: Largest IV spike — 13.7% change
  • 2013-03-04: Highest IV Rank — 12.1%
  • 2013-03-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.32$0.31$0.32$0.32$0.32
Max Pain$0.32$0.30$0.33$0.30$0.33
ATM IV26.4%22.6%32.7%28.8%22.6%
Expected Move7.4%6.5%8.3%7.9%6.5%
HV 20d16.9%12.2%21.5%21.5%13.1%
HV 60d21.9%21.3%23.7%23.7%21.5%
IV Rank4.8%0.5%12.1%7.6%0.5%
IV Percentile2.9%0.4%21.0%2.0%0.4%
Term Structure4.3%1.1%5.5%1.1%5.5%
VWIV26.4%23.1%29.8%28.0%23.1%
Skew 25d-0.0%-1.6%1.9%0.1%1.9%
Skew 10d1.0%-2.4%8.2%8.2%5.4%
Call IV 25d27.0%23.2%29.9%29.9%23.2%
Put IV 25d27.0%23.6%30.9%30.0%25.1%
Bid-Ask Spread %9.732.3616.7916.7911.01
Gamma HHI0.520.280.720.450.53
Net GEX4.6M2.1M8.2M4.5M4.1M
Net DEX-65.6M-88.3M-41.9M-82.2M-68.6M
Net VEX-627.0K-671.9K-581.0K-644.6K-593.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.111.570.330.19
Total Volume694,744201,1201,608,400408,960476,640
Total OI12,840,39410,455,84015,602,24013,172,64011,279,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$0.32$0.3028.8%7.9%21.5%7.6%28.0%0.1%1.1%4.5M-82.2M-644.6K0.3316.79N/AN/A306,400102,5609,668,4803,504,160
2013-03-04$0.32$0.3032.7%8.3%21.4%12.1%29.8%1.8%3.2%4.5M-71.5M-623.1K1.045.79N/AN/A98,720102,4009,616,6003,420,360
2013-03-05$0.32$0.3030.2%7.9%20.5%9.3%28.2%0.9%3.9%5.4M-82.3M-622.7K0.219.98N/AN/A493,840103,4009,648,9603,448,440
2013-03-06$0.32$0.3028.4%7.8%19.1%7.2%27.8%1.2%3.7%5.6M-84.3M-629.3K0.2911.53N/AN/A1,242,480365,9209,880,3603,460,320
2013-03-07$0.32$0.3027.1%7.9%18.8%5.6%27.8%0.5%3.9%6.3M-84.3M-649.6K0.877.60N/AN/A543,400474,72010,428,3203,726,280
2013-03-08$0.32$0.3325.3%7.6%18.7%3.5%26.8%0.8%4.5%7.1M-88.3M-671.9K0.332.36N/AN/A365,040119,52010,773,8004,057,480
2013-03-11$0.32$0.3325.8%7.3%19.1%4.1%25.8%0.1%4.6%6.6M-71.2M-636.1K0.819.44N/AN/A230,160186,12010,700,6004,032,200
2013-03-12$0.32$0.3327.8%7.4%18.7%6.5%26.2%-0.3%4.6%7.4M-74.7M-641.2K0.2212.97N/AN/A596,680130,28010,696,4004,117,480
2013-03-13$0.32$0.3326.1%7.7%18.5%4.4%27.4%-0.6%4.7%7.6M-79.2M-661.3K0.2011.00N/AN/A613,000124,16010,985,2804,151,000
2013-03-14$0.32$0.3326.5%7.6%18.4%4.9%26.7%-0.5%4.3%8.2M-77.5M-650.9K1.579.25N/AN/A213,320334,12011,179,2804,135,920
2013-03-15$0.32$0.3326.4%7.6%15.6%4.9%27.5%-1.6%4.2%3.1M-57.7M-643.7K0.299.71N/AN/A645,960188,16011,233,0004,369,240
2013-03-18$0.31$0.3326.9%7.7%15.8%5.4%26.9%-0.8%3.5%2.2M-54.7M-632.3K0.6112.81N/AN/A565,280345,8407,336,8803,118,960
2013-03-19$0.31$0.3325.4%7.3%15.3%3.7%25.5%-0.2%4.8%2.4M-48.2M-632.4K0.627.26N/AN/A871,360543,8807,679,2803,307,480
2013-03-20$0.32$0.3324.6%7.0%14.9%2.7%24.8%-0.7%4.5%2.5M-52.2M-632.6K0.1110.92N/AN/A698,64074,1207,634,0803,441,280
2013-03-21$0.31$0.3325.4%7.3%15.8%3.6%26.0%-0.9%4.9%2.1M-44.7M-616.4K0.1312.17N/AN/A801,600102,8007,927,9203,379,760
2013-03-22$0.31$0.3326.1%7.5%14.5%4.5%26.4%-0.7%4.0%2.7M-43.6M-595.2K0.292.38N/AN/A628,880183,1207,797,4403,437,480
2013-03-25$0.31$0.3324.8%7.1%13.1%2.9%25.2%-0.3%5.1%2.9M-41.9M-586.8K0.939.67N/AN/A172,720160,3607,633,3203,263,320
2013-03-26$0.31$0.3323.5%6.7%13.2%1.5%23.4%-0.5%5.2%3.2M-46.1M-581.0K0.2710.93N/AN/A255,16068,7607,717,3603,390,960
2013-03-27$0.32$0.3323.6%6.8%12.2%1.5%23.9%-0.4%5.3%3.7M-59.6M-595.7K0.4711.11N/AN/A248,480116,8807,799,4803,429,240
2013-03-28$0.32$0.3322.6%6.5%13.1%0.5%23.1%1.9%5.5%4.1M-68.6M-593.8K0.1911.01N/AN/A399,16077,4807,822,1203,457,560