NVDA Options History — November 2013

In November 2013, NVDA traded between $0.36 and $0.41. ATM implied volatility averaged 24.6%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.8% (HV 20d: 28.5%). Max pain ranged from $0.25 to $0.38. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2013-11-08: Highest Volume — 1,352,720 contracts
  • 2013-11-08: Largest IV drop — 29.7% change
  • 2013-11-07: Highest IV Rank — 22.3%
  • 2013-11-07: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.39$0.36$0.41$0.38$0.39
Max Pain$0.34$0.25$0.38$0.36$0.38
ATM IV24.6%21.5%32.7%29.6%22.0%
Expected Move8.6%6.6%9.4%8.6%8.8%
HV 20d28.5%14.2%34.2%14.2%34.2%
HV 60d20.3%15.1%22.7%15.8%22.7%
IV Rank4.4%0.0%22.3%9.9%1.2%
IV Percentile15.0%0.0%67.5%43.7%2.0%
Term Structure-0.3%-3.0%1.2%-1.1%0.2%
VWIV29.9%23.5%32.9%30.7%30.2%
Skew 25d0.8%-0.2%2.5%0.8%-0.0%
Skew 10d1.7%-0.6%9.9%0.7%-0.6%
Call IV 25d25.1%21.4%34.6%30.6%22.7%
Put IV 25d25.9%22.5%34.4%31.4%22.7%
Bid-Ask Spread %7.134.6916.107.327.80
Gamma HHI0.280.180.490.180.30
Net GEX1.7M-1.8M5.3M-174.8K2.4M
Net DEX-36.0M-107.7M23.9M-26.7M-33.9M
Net VEX-395.9K-443.2K-362.6K-443.2K-421.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.142.431.280.56
Total Volume612,628103,5601,352,720356,240103,560
Total OI10,547,6389,066,00012,157,96011,164,64010,080,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$0.38$0.3629.6%8.6%14.2%9.9%30.7%0.8%-1.1%-174.8K-26.7M-443.2K1.287.32N/AN/A156,560199,6805,801,6405,363,000
2013-11-04$0.37$0.3831.4%8.9%17.4%12.1%31.3%1.1%-1.9%-1.3M5.7M-419.4K1.1610.67N/AN/A446,680517,8805,609,1205,292,920
2013-11-05$0.37$0.3631.1%8.8%17.3%11.7%31.0%1.1%-2.0%-1.5M11.0M-422.7K0.588.78N/AN/A253,520146,6005,646,8005,484,120
2013-11-06$0.37$0.3631.2%8.9%16.8%11.9%31.1%0.9%-2.7%-1.3M1.3M-421.9K0.654.69N/AN/A219,400143,3605,742,2805,468,920
2013-11-07$0.36$0.3632.7%9.4%17.9%22.3%32.9%-0.2%-3.0%-1.8M23.9M-401.9K0.817.48N/AN/A620,600500,2005,857,0005,486,320
2013-11-08$0.39$0.3623.0%6.6%30.5%2.0%23.5%0.7%0.5%2.0M-60.5M-387.9K0.608.05N/AN/A843,360509,3606,112,6805,739,360
2013-11-11$0.39$0.0023.2%8.5%30.1%2.4%29.9%0.8%-0.3%2.2M-58.5M-372.8K2.4316.10N/AN/A212,360515,4405,671,6005,531,560
2013-11-12$0.39$0.3322.9%8.6%30.1%1.9%29.8%0.5%-0.3%2.3M-57.1M-390.4K0.836.77N/AN/A112,52093,2805,695,0005,864,680
2013-11-13$0.40$0.3323.6%8.4%31.2%3.3%29.9%0.0%0.3%4.5M-90.3M-371.6K0.146.63N/AN/A757,400106,4805,695,2405,901,200
2013-11-14$0.41$0.3323.1%8.4%31.2%2.2%28.4%0.5%-0.2%5.3M-102.9M-382.2K0.175.97N/AN/A699,360121,0405,907,6805,905,840
2013-11-15$0.40$0.2522.5%8.5%31.1%0.9%30.1%0.4%0.1%5.1M-107.7M-390.9K0.155.93N/AN/A1,058,640160,7606,209,2405,948,720
2013-11-18$0.39$0.2522.4%8.6%32.4%0.8%29.5%0.8%0.9%2.6M-53.7M-390.8K0.235.12N/AN/A1,021,200231,4805,662,4003,622,760
2013-11-19$0.39$0.3323.0%8.6%33.2%2.1%29.7%1.8%0.9%1.7M-23.0M-372.6K0.685.32N/AN/A182,600125,0005,344,4003,721,600
2013-11-20$0.38$0.3322.2%8.7%33.1%0.4%29.4%2.5%0.9%1.2M-11.7M-372.0K1.688.00N/AN/A98,880165,9605,382,1203,773,680
2013-11-21$0.38$0.3821.8%8.6%33.1%0.0%30.3%1.8%-0.5%1.5M-19.0M-380.0K0.265.76N/AN/A224,80057,3605,409,8403,801,360
2013-11-22$0.38$0.3821.5%8.6%33.2%0.0%30.0%0.9%0.1%1.2M-9.7M-362.6K1.445.59N/AN/A76,200110,0405,542,2803,821,080
2013-11-25$0.39$0.3321.9%8.6%34.0%0.9%0.0%0.5%1.2%2.0M-28.3M-372.4K0.725.95N/AN/A477,200342,0005,364,3603,740,000
2013-11-26$0.39$0.3321.9%8.7%34.1%0.9%30.2%-0.1%0.9%2.6M-38.3M-413.5K0.705.10N/AN/A214,720149,5205,744,0404,012,160
2013-11-27$0.39$0.3821.9%8.7%34.1%1.0%0.0%0.9%-0.3%2.8M-39.9M-427.1K0.855.51N/AN/A149,800127,7605,863,6804,131,480
2013-11-29$0.39$0.3822.0%8.8%34.2%1.2%0.0%-0.0%0.2%2.4M-33.9M-421.5K0.567.80N/AN/A66,60036,9605,888,9604,191,640