NVDA Options History — September 2013

In September 2013, NVDA traded between $0.37 and $0.40. ATM implied volatility averaged 24.9%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 9.5% (HV 20d: 15.5%). Max pain ranged from $0.33 to $0.41. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-09-23: Highest Volume — 2,123,240 contracts
  • 2013-09-23: Largest IV spike — 6.2% change
  • 2013-09-03: Highest IV Rank — 7.5%
  • 2013-09-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.39$0.37$0.40$0.37$0.39
Max Pain$0.38$0.33$0.41$0.36$0.38
ATM IV24.9%22.1%28.3%28.3%25.2%
Expected Move7.2%6.3%8.1%8.1%7.2%
HV 20d15.5%12.7%19.9%19.3%13.4%
HV 60d16.7%15.5%18.3%18.2%15.7%
IV Rank3.3%0.0%7.5%7.5%4.1%
IV Percentile9.4%0.0%27.0%27.0%12.7%
Term Structure1.9%-0.9%6.1%-0.9%5.9%
VWIV25.3%22.3%28.7%28.3%25.4%
Skew 25d0.7%-0.3%1.6%0.2%0.2%
Skew 10d1.9%-0.4%4.5%2.3%0.3%
Call IV 25d25.3%22.4%28.8%28.8%25.3%
Put IV 25d26.0%23.2%29.0%29.0%25.5%
Bid-Ask Spread %9.485.3418.989.3110.54
Gamma HHI0.310.200.690.230.20
Net GEX4.7M497.9K11.3M3.3M661.3K
Net DEX-81.7M-136.0M-41.7M-41.7M-44.5M
Net VEX-530.7K-585.2K-471.0K-536.0K-576.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.177.050.560.69
Total Volume560,904142,7202,123,240542,240396,840
Total OI11,397,3588,773,84012,245,68011,685,84011,126,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$0.37$0.3628.3%8.1%19.3%7.5%28.3%0.2%-0.9%3.3M-41.7M-536.0K0.569.31N/AN/A347,200195,0407,340,8404,345,000
2013-09-04$0.37$0.3627.5%7.9%18.8%6.5%27.5%0.6%-0.4%4.3M-53.5M-543.8K0.958.47N/AN/A223,680211,7607,548,6004,437,000
2013-09-05$0.37$0.3827.3%7.8%18.8%6.1%28.7%0.9%-0.5%4.5M-53.9M-547.6K0.826.98N/AN/A78,48064,2407,613,7604,578,840
2013-09-06$0.37$0.3326.5%7.6%18.7%5.1%27.4%1.1%0.1%4.0M-48.8M-537.8K0.779.01N/AN/A120,48093,0007,656,1604,589,520
2013-09-09$0.38$0.3626.2%7.5%18.7%4.7%26.3%0.9%-0.1%5.0M-67.0M-522.8K0.706.56N/AN/A192,880134,4806,886,0804,508,320
2013-09-10$0.39$0.3824.9%7.1%19.4%3.0%25.4%0.3%0.5%6.4M-94.5M-532.8K0.438.94N/AN/A250,440106,9206,974,4404,571,080
2013-09-11$0.39$0.3825.2%7.2%19.9%3.3%25.9%-0.3%-0.5%7.2M-117.2M-521.4K0.357.88N/AN/A430,680151,8807,015,6404,586,320
2013-09-12$0.39$0.0025.8%7.4%14.3%4.1%25.9%0.0%0.1%7.5M-115.6M-529.1K0.215.34N/AN/A726,120152,0407,105,9204,648,800
2013-09-13$0.40$0.4025.4%7.3%14.3%3.6%26.0%0.2%-0.4%5.6M-126.5M-525.0K0.448.71N/AN/A356,160155,8407,409,8404,675,280
2013-09-16$0.40$0.3825.0%7.1%14.3%3.2%25.0%1.2%4.7%6.3M-119.0M-508.5K0.2718.98N/AN/A752,560205,8406,883,9204,557,040
2013-09-17$0.40$0.3824.9%7.1%12.7%3.1%24.9%0.7%4.8%6.7M-122.4M-513.5K0.177.38N/AN/A561,16093,4406,926,2404,594,400
2013-09-18$0.40$0.3823.5%6.7%12.8%1.1%23.8%1.3%5.3%8.7M-136.0M-501.8K0.2316.73N/AN/A391,96091,5207,095,1604,628,920
2013-09-19$0.40$0.3822.7%6.5%12.8%0.0%23.1%1.2%0.5%11.3M-123.7M-485.6K0.5912.86N/AN/A226,120133,0006,909,6004,602,680
2013-09-20$0.40$0.3822.1%6.3%13.4%0.0%22.3%0.8%0.6%7.9M-111.2M-483.7K0.5712.95N/AN/A343,240196,4406,933,6804,634,000
2013-09-23$0.39$0.4123.4%6.7%14.1%1.8%24.1%1.6%6.1%2.1M-61.4M-471.0K7.057.69N/AN/A263,6401,859,6004,993,7603,780,080
2013-09-24$0.39$0.4023.4%6.8%14.1%1.8%23.8%1.1%5.2%497.9K-48.0M-552.3K0.737.64N/AN/A161,000116,8405,079,2805,471,320
2013-09-25$0.39$0.3923.9%6.9%13.0%2.4%24.3%0.8%6.1%529.1K-51.1M-558.1K0.197.16N/AN/A691,480133,6005,146,0405,526,600
2013-09-26$0.39$0.4024.1%6.9%13.1%2.7%23.9%1.2%0.5%836.4K-51.8M-581.2K0.498.37N/AN/A142,76070,4405,645,7605,603,760
2013-09-27$0.39$0.4023.7%6.8%13.4%2.2%23.9%0.7%-0.4%609.3K-45.3M-585.2K0.848.04N/AN/A214,640180,6405,689,0805,627,720
2013-09-30$0.39$0.3825.2%7.2%13.4%4.1%25.4%0.2%5.9%661.3K-44.5M-576.2K0.6910.54N/AN/A234,560162,2805,595,8405,530,840