NVDA Options History — August 2013

In August 2013, NVDA traded between $0.36 and $0.38. ATM implied volatility averaged 29.2%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 11.5% (HV 20d: 17.8%). Max pain ranged from $0.35 to $0.39. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-08-15: Highest Volume — 3,440,840 contracts
  • 2013-08-09: Largest IV drop — 25.5% change
  • 2013-08-06: Highest IV Rank — 15.3%
  • 2013-08-06: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.37$0.36$0.38$0.37$0.37
Max Pain$0.36$0.35$0.39$0.35$0.36
ATM IV29.2%25.3%35.4%34.1%27.9%
Expected Move8.4%7.3%10.1%9.9%8.0%
HV 20d17.8%13.7%21.0%14.0%19.4%
HV 60d19.5%18.5%21.6%21.6%18.5%
IV Rank8.5%3.9%15.3%13.8%6.9%
IV Percentile29.5%9.1%63.1%54.8%24.2%
Term Structure-0.6%-2.8%1.3%-1.8%-0.2%
VWIV29.9%25.3%36.6%35.9%27.9%
Skew 25d0.1%-3.8%2.0%2.0%0.4%
Skew 10d-0.3%-9.4%2.8%1.5%2.8%
Call IV 25d30.5%25.2%36.1%34.9%28.5%
Put IV 25d30.6%26.3%36.9%36.9%29.0%
Bid-Ask Spread %7.594.0713.885.388.71
Gamma HHI0.280.200.460.200.24
Net GEX3.7M1.3M8.2M1.9M3.5M
Net DEX-61.6M-116.7M-37.8M-54.6M-41.9M
Net VEX-550.8K-604.0K-483.6K-488.8K-550.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.202.690.402.69
Total Volume925,536.364135,0003,440,8401,027,200468,640
Total OI11,361,076.3649,337,16013,545,5209,337,16011,834,160

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$0.37$0.0034.1%9.9%14.0%13.8%35.9%2.0%-1.8%1.9M-54.6M-488.8K0.405.38N/AN/A731,400295,8005,403,2803,933,880
2013-08-02$0.37$0.3534.1%10.0%14.0%13.7%36.1%1.5%-2.0%1.5M-66.2M-553.8K0.385.66N/AN/A471,520179,4005,978,8004,087,040
2013-08-05$0.37$0.3535.3%10.0%13.8%15.1%36.6%0.4%-2.4%1.7M-65.4M-539.2K0.887.45N/AN/A285,200251,3205,988,1604,100,960
2013-08-06$0.37$0.3535.4%10.1%15.0%15.3%36.4%0.8%-2.8%1.4M-53.4M-543.3K0.626.51N/AN/A320,800198,1206,166,2004,274,120
2013-08-07$0.36$0.3533.5%9.6%14.4%13.0%34.1%0.5%-2.2%1.6M-51.9M-543.8K1.918.54N/AN/A326,560622,9206,283,3204,337,840
2013-08-08$0.37$0.3534.3%9.8%13.7%14.0%34.4%-0.2%-2.6%1.8M-59.9M-533.6K0.979.05N/AN/A901,200870,2006,427,9204,432,200
2013-08-09$0.36$0.3525.6%7.3%14.7%3.9%25.3%0.3%-0.3%2.5M-44.1M-504.6K0.7913.88N/AN/A908,320715,4406,949,9604,650,480
2013-08-12$0.36$0.3825.8%7.4%14.9%4.7%25.9%0.8%-0.4%1.3M-37.8M-483.6K0.7211.48N/AN/A205,960149,0006,697,9204,199,800
2013-08-13$0.36$0.3825.3%7.3%14.8%4.1%25.4%1.1%-0.7%2.0M-42.5M-493.9K0.345.15N/AN/A217,16073,2806,724,8804,189,120
2013-08-14$0.38$0.3526.6%7.6%21.0%5.7%28.0%-0.9%-0.1%4.9M-95.3M-510.3K0.254.07N/AN/A1,384,680351,9606,770,9204,179,720
2013-08-15$0.38$0.0032.0%9.2%20.9%12.8%32.9%-3.8%-0.9%5.6M-107.8M-541.5K0.284.95N/AN/A2,681,920758,9207,219,6404,234,000
2013-08-16$0.38$0.3930.6%8.9%19.0%11.0%32.4%-1.9%-1.5%8.2M-116.7M-600.6K0.2213.35N/AN/A2,593,720563,4008,849,7204,695,800
2013-08-19$0.37$0.3528.2%8.0%20.2%7.9%28.8%-0.5%0.4%5.0M-77.5M-593.1K0.265.80N/AN/A524,240138,5608,230,3203,856,400
2013-08-20$0.37$0.3827.8%7.9%20.1%6.7%28.0%-0.6%0.4%4.9M-60.0M-595.0K0.206.04N/AN/A1,117,320226,8807,769,4003,921,560
2013-08-21$0.37$0.3827.4%7.8%20.3%6.3%27.7%-0.3%0.3%5.7M-58.9M-604.0K0.355.86N/AN/A241,00085,4008,434,2404,008,880
2013-08-22$0.37$0.3826.8%7.7%20.3%5.5%27.2%-0.7%1.3%5.4M-61.9M-595.7K0.587.65N/AN/A85,64049,3608,044,1604,033,320
2013-08-23$0.37$0.3826.0%7.4%20.2%4.5%26.9%0.0%0.4%6.5M-59.9M-586.5K1.316.30N/AN/A221,400290,7608,085,5204,051,920
2013-08-26$0.38$0.3626.2%7.6%20.1%4.7%26.5%0.8%0.3%4.8M-62.1M-578.9K0.266.70N/AN/A215,60055,8807,461,7604,142,480
2013-08-27$0.37$0.3626.6%7.7%20.1%5.2%27.1%1.1%0.3%3.9M-46.2M-563.2K0.358.51N/AN/A171,32059,7207,553,8004,158,920
2013-08-28$0.37$0.3926.9%7.7%20.1%5.6%27.3%1.2%-0.3%3.9M-46.8M-560.8K0.867.52N/AN/A84,20072,4407,589,9204,179,120
2013-08-29$0.37$0.3626.9%7.7%19.6%5.6%27.4%0.7%0.7%3.8M-44.7M-552.4K0.818.52N/AN/A107,72087,5207,621,3604,190,760
2013-08-30$0.37$0.3627.9%8.0%19.4%6.9%27.9%0.4%-0.2%3.5M-41.9M-550.2K2.698.71N/AN/A126,920341,7207,629,8804,204,280