NVDA Options History — June 2013

In June 2013, NVDA traded between $0.35 and $0.37. ATM implied volatility averaged 29.5%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.5% (HV 20d: 24.0%). Max pain ranged from $0.35 to $0.35. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2013-06-19: Highest Volume — 2,058,280 contracts
  • 2013-06-10: Largest IV spike — 16.5% change
  • 2013-06-05: Highest IV Rank — 16.0%
  • 2013-06-20: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.36$0.35$0.37$0.36$0.35
Max Pain$0.35$0.35$0.35$0.35$0.35
ATM IV29.5%26.7%36.1%30.7%27.0%
Expected Move8.2%7.7%9.4%7.9%7.9%
HV 20d24.0%21.8%27.8%27.1%23.0%
HV 60d24.6%23.5%26.0%23.5%24.8%
IV Rank8.4%5.2%16.0%9.8%5.5%
IV Percentile22.4%13.9%52.8%22.6%15.5%
Term Structure3.5%0.1%5.5%0.3%5.2%
VWIV29.0%26.8%32.8%27.7%28.8%
Skew 25d0.2%-1.3%1.1%0.3%-0.9%
Skew 10d-0.6%-4.3%1.4%1.1%-4.3%
Call IV 25d29.4%27.5%33.2%28.1%29.9%
Put IV 25d29.7%27.7%34.2%28.4%29.0%
Bid-Ask Spread %6.274.3210.817.705.90
Gamma HHI0.300.230.480.300.25
Net GEX2.1M1.3M3.3M2.3M2.1M
Net DEX-59.1M-94.9M-33.8M-69.7M-34.6M
Net VEX-546.0K-568.3K-519.0K-567.7K-545.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.221.400.810.75
Total Volume442,484187,6802,058,280329,000398,520
Total OI9,727,0008,350,44010,907,0809,867,8408,991,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$0.36$0.3530.7%7.9%27.1%9.8%27.7%0.3%0.3%2.3M-69.7M-567.7K0.817.70N/AN/A181,680147,3205,951,5603,916,280
2013-06-04$0.36$0.3531.3%8.1%27.0%10.5%28.2%0.3%0.2%2.3M-71.0M-568.3K0.405.60N/AN/A155,12061,6805,991,6003,963,880
2013-06-05$0.35$0.3536.1%8.2%27.8%16.0%29.2%-0.4%0.1%2.0M-54.0M-559.6K0.365.38N/AN/A186,68066,8406,021,2803,963,720
2013-06-06$0.36$0.3530.4%8.1%27.2%9.5%28.3%1.0%0.7%2.0M-58.6M-557.2K0.665.51N/AN/A152,400100,7206,007,5603,985,920
2013-06-07$0.36$0.3526.7%8.0%27.6%5.2%27.6%0.8%4.2%2.9M-70.2M-552.8K0.495.83N/AN/A165,12080,8806,021,5204,000,680
2013-06-10$0.36$0.3531.2%8.0%22.6%10.3%27.4%0.9%4.1%2.1M-70.2M-542.6K0.225.01N/AN/A182,00040,1205,914,4803,975,280
2013-06-11$0.35$0.3528.3%8.0%22.4%7.0%28.2%-0.1%4.5%1.8M-52.5M-536.2K0.307.91N/AN/A292,04087,8005,911,9203,983,360
2013-06-12$0.35$0.3526.8%8.1%21.8%5.3%28.6%0.0%4.3%1.8M-46.7M-534.3K1.406.44N/AN/A94,800133,0005,968,3603,972,280
2013-06-13$0.36$0.3527.6%7.9%22.5%6.2%27.4%0.6%4.5%2.2M-64.9M-542.3K0.415.80N/AN/A199,96082,1605,973,4404,008,880
2013-06-14$0.36$0.3527.5%7.9%22.5%6.1%27.9%0.8%4.9%2.3M-64.1M-529.5K1.264.59N/AN/A120,600152,0406,023,5203,970,080
2013-06-17$0.36$0.3527.2%7.8%21.9%5.7%27.5%-0.5%5.1%2.5M-75.2M-526.0K0.298.10N/AN/A254,16074,9206,023,6804,053,120
2013-06-18$0.36$0.3526.8%7.7%22.0%5.2%26.8%-0.0%4.8%2.2M-67.2M-519.0K0.704.98N/AN/A159,880111,8406,091,9204,056,080
2013-06-19$0.37$0.3529.6%8.5%24.6%8.5%30.2%0.1%3.3%3.3M-94.9M-535.2K0.4610.81N/AN/A1,405,760652,5206,109,9604,075,960
2013-06-20$0.36$0.3532.8%9.4%23.2%12.3%32.8%0.9%2.4%2.2M-66.9M-557.6K0.707.71N/AN/A474,080329,5606,360,1204,260,440
2013-06-21$0.36$0.3530.9%8.9%22.4%10.1%30.8%1.1%3.3%2.3M-67.7M-564.4K0.587.46N/AN/A406,160234,9206,535,6004,371,480
2013-06-24$0.35$0.3531.2%9.0%23.5%10.4%32.0%1.0%3.9%1.3M-37.7M-547.8K0.586.29N/AN/A267,080155,0805,200,6003,149,840
2013-06-25$0.36$0.3530.1%8.6%23.7%9.1%30.4%0.6%4.6%1.4M-42.0M-550.6K0.314.32N/AN/A143,12044,5605,286,9203,172,400
2013-06-26$0.35$0.3528.7%8.2%23.7%7.5%30.1%-0.8%5.0%1.4M-39.9M-543.2K0.525.28N/AN/A253,240132,4805,366,8403,177,320
2013-06-27$0.35$0.3528.3%8.1%23.2%7.0%29.7%-1.3%5.5%1.5M-33.8M-539.6K0.754.83N/AN/A383,160285,6805,479,5203,251,480
2013-06-28$0.35$0.3527.0%7.9%23.0%5.5%28.8%-0.9%5.2%2.1M-34.6M-545.7K0.755.90N/AN/A228,320170,2005,611,4403,379,680