NVDA Options History — December 2013

In December 2013, NVDA traded between $0.38 and $0.40. ATM implied volatility averaged 23.1%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.0% (HV 20d: 24.2%). Max pain ranged from $0.38 to $0.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2013-12-17: Highest Volume — 600,240 contracts
  • 2013-12-09: Largest IV spike — 5.9% change
  • 2013-12-17: Highest IV Rank — 7.7%
  • 2013-12-05: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.39$0.38$0.40$0.39$0.40
Max Pain$0.38$0.38$0.38$0.38$0.38
ATM IV23.1%21.7%25.1%22.7%23.0%
Expected Move8.8%8.4%8.9%8.7%8.4%
HV 20d24.2%19.5%34.3%34.3%19.8%
HV 60d23.4%22.3%24.1%22.7%24.0%
IV Rank3.5%0.4%7.7%2.7%3.2%
IV Percentile9.2%0.4%23.8%5.6%10.3%
Term Structure2.0%-0.1%4.9%0.4%4.7%
VWIV30.9%29.1%34.7%31.0%30.4%
Skew 25d0.9%0.1%2.1%0.4%1.2%
Skew 10d1.3%-0.5%2.9%-0.5%2.6%
Call IV 25d23.5%21.9%25.0%22.9%23.3%
Put IV 25d24.4%22.5%27.0%23.3%24.5%
Bid-Ask Spread %12.916.1519.116.1515.34
Gamma HHI0.380.250.500.310.50
Net GEX2.2M1.2M3.5M2.8M2.6M
Net DEX-26.4M-52.7M9.7M-41.9M-52.7M
Net VEX-392.8K-435.5K-361.5K-410.2K-371.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.101.660.710.31
Total Volume298,571.42956,920600,240440,880236,040
Total OI10,202,954.2868,983,44011,229,5209,945,4409,148,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$0.39$0.3822.7%8.7%34.3%2.7%31.0%0.4%0.4%2.8M-41.9M-410.2K0.716.15N/AN/A257,280183,6005,832,0004,113,440
2013-12-03$0.39$0.3823.2%8.9%32.4%3.6%31.1%0.7%0.5%2.9M-40.6M-431.4K1.6612.00N/AN/A178,960297,4405,998,8804,228,240
2013-12-04$0.40$0.3822.8%8.9%32.5%2.9%30.8%0.4%1.0%3.5M-50.6M-435.5K1.6410.51N/AN/A155,640254,5606,101,0804,282,360
2013-12-05$0.39$0.3823.0%8.9%33.3%3.2%30.4%0.6%0.9%2.9M-35.7M-434.0K1.096.58N/AN/A114,840124,6806,197,9604,320,480
2013-12-06$0.39$0.3822.3%8.9%32.5%1.8%30.5%1.2%2.1%2.3M-18.6M-419.3K1.658.82N/AN/A78,920130,4006,237,6404,375,880
2013-12-09$0.38$0.3823.6%8.9%22.8%4.6%34.7%0.8%0.7%1.3M-2.2M-395.7K0.506.98N/AN/A190,24095,8006,091,3604,361,120
2013-12-10$0.39$0.3823.2%8.9%24.1%3.7%31.3%1.1%0.8%2.1M-22.1M-410.0K0.628.43N/AN/A152,72095,2806,166,8004,410,000
2013-12-11$0.39$0.3822.8%8.9%24.3%2.9%0.0%1.5%1.3%2.0M-15.6M-410.3K0.9510.22N/AN/A29,16027,7606,239,7204,442,160
2013-12-12$0.38$0.3823.8%8.9%22.8%5.0%29.6%1.0%-0.1%1.2M4.4M-385.7K1.346.43N/AN/A105,400141,5206,240,8804,444,400
2013-12-13$0.38$0.3824.2%8.8%22.6%5.8%30.4%0.8%0.3%1.2M9.7M-385.6K0.248.83N/AN/A224,60053,8806,270,8804,510,960
2013-12-16$0.38$0.3824.8%8.9%22.7%7.0%29.4%2.1%4.2%1.5M5.9M-374.5K0.7615.53N/AN/A82,92063,2806,252,6404,414,160
2013-12-17$0.38$0.3825.1%8.8%21.4%7.7%0.0%1.9%4.3%1.7M1.3M-374.1K0.3516.68N/AN/A444,360155,8806,275,4404,446,680
2013-12-18$0.38$0.3824.0%8.8%20.8%5.5%33.5%1.2%4.6%2.5M-18.4M-390.4K0.8018.61N/AN/A218,520173,9606,526,4804,532,240
2013-12-19$0.38$0.3823.7%8.9%20.2%4.8%31.0%1.5%0.2%2.4M-21.5M-381.7K0.2618.26N/AN/A215,20055,9206,584,6404,544,320
2013-12-20$0.39$0.3822.5%8.7%21.2%2.1%29.1%0.1%1.3%2.3M-42.1M-390.9K0.1014.96N/AN/A454,64045,2006,664,5604,564,960
2013-12-23$0.39$0.3821.9%8.8%20.8%0.9%30.7%0.6%4.9%2.2M-42.7M-378.6K0.4018.75N/AN/A273,880110,7205,385,2003,646,760
2013-12-24$0.40$0.3821.7%8.7%19.5%0.4%0.0%0.5%4.9%2.2M-45.7M-361.5K0.6219.11N/AN/A74,44046,1605,446,8803,685,320
2013-12-26$0.39$0.3822.3%8.7%19.6%1.8%30.5%0.1%0.8%2.1M-36.5M-372.8K0.5915.29N/AN/A124,64073,8805,461,7603,683,040
2013-12-27$0.39$0.3822.1%8.8%19.7%1.3%30.3%0.8%0.2%2.0M-41.9M-369.3K0.3718.90N/AN/A122,28044,6805,457,7603,691,480
2013-12-30$0.40$0.3822.8%8.8%20.0%2.8%30.7%0.4%4.4%2.1M-48.1M-366.3K0.2914.84N/AN/A278,80081,9205,308,2803,675,160
2013-12-31$0.40$0.3823.0%8.4%19.8%3.2%30.4%1.2%4.7%2.6M-52.7M-371.2K0.3115.34N/AN/A180,56055,4805,424,2403,723,800