NVDA Options History — August 2014

In August 2014, NVDA traded between $0.44 and $0.49. ATM implied volatility averaged 29.2%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 4.6% (HV 20d: 33.8%). Max pain ranged from $0.45 to $0.45. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-08-07: Highest Volume — 3,185,280 contracts
  • 2014-08-08: Largest IV drop — 30.7% change
  • 2014-08-04: Highest IV Rank — 100.0%
  • 2014-08-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.47$0.44$0.49$0.44$0.49
Max Pain$0.45$0.45$0.45$0.45$0.45
ATM IV29.2%21.9%46.6%37.1%21.9%
Expected Move8.6%7.9%9.5%8.7%8.1%
HV 20d33.8%23.9%39.6%26.8%32.6%
HV 60d24.9%20.2%26.7%22.0%26.1%
IV Rank34.2%1.9%100.0%97.8%1.9%
IV Percentile48.1%2.4%100.0%98.4%2.4%
Term Structure-0.3%-2.4%1.5%-2.0%1.5%
VWIV30.5%27.6%32.9%29.4%29.3%
Skew 25d1.4%-1.0%3.8%-1.0%1.3%
Skew 10d3.9%-2.8%22.2%0.4%4.5%
Call IV 25d29.6%22.4%45.8%39.3%22.4%
Put IV 25d31.0%23.7%49.4%38.4%23.7%
Bid-Ask Spread %25.8612.7244.2426.1112.72
Gamma HHI0.180.130.340.220.34
Net GEX2.7M-2.4M7.5M1.7M7.5M
Net DEX-69.8M-116.5M15.1M-4.2M-95.8M
Net VEX-610.4K-652.7K-526.3K-533.5K-586.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.252.440.350.76
Total Volume713,580.95296,0803,185,280592,120272,560
Total OI10,506,205.7148,742,44013,440,3609,109,9609,478,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$0.44$0.4537.1%8.7%26.8%97.8%29.4%-1.0%-2.0%1.7M-4.2M-533.5K0.3526.11N/AN/A437,760154,3605,912,1203,197,840
2014-08-04$0.44$0.4539.9%8.9%26.8%100.0%31.0%-0.3%-2.4%1.8M-11.9M-526.3K2.3423.16N/AN/A323,480757,2405,700,9603,041,480
2014-08-05$0.44$0.4544.8%9.5%26.7%100.0%32.6%-0.7%-2.3%960.0K-8.1M-560.1K2.4437.15N/AN/A415,9601,013,6405,872,0003,717,960
2014-08-06$0.44$0.4546.6%9.4%23.9%100.0%32.9%3.8%-2.0%366.2K-1.3M-633.6K1.2132.80N/AN/A841,8001,019,9206,057,8804,614,840
2014-08-07$0.44$0.4543.2%9.5%24.0%86.4%32.7%0.9%-1.4%-198.6K15.1M-652.7K1.8529.52N/AN/A1,117,9202,067,3606,618,7605,321,000
2014-08-08$0.47$0.4529.9%8.8%39.6%33.7%32.7%3.7%-1.2%5.0M-116.5M-650.8K0.4444.24N/AN/A1,015,640448,2407,116,1206,324,240
2014-08-11$0.47$0.4528.7%8.8%39.4%28.9%31.5%1.1%-0.5%1.8M-89.1M-618.6K1.4633.61N/AN/A377,600551,5206,422,6405,605,720
2014-08-12$0.47$0.4528.3%8.9%39.3%27.3%30.7%2.1%-0.7%1.1M-83.0M-652.4K1.5331.14N/AN/A98,080149,7206,609,9206,035,000
2014-08-13$0.48$0.4527.6%8.9%39.4%24.3%31.3%1.6%-0.4%1.6M-97.8M-638.4K0.7924.17N/AN/A229,240181,5206,607,0406,117,320
2014-08-14$0.47$0.4527.2%8.8%39.6%22.6%30.4%1.1%-0.3%1.0M-72.0M-643.7K0.7323.16N/AN/A269,920195,7206,558,0406,132,600
2014-08-15$0.48$0.4526.4%8.7%36.2%19.6%31.4%1.4%-0.0%-2.4M-102.1M-649.1K0.2522.74N/AN/A598,800150,3206,722,1606,276,520
2014-08-18$0.48$0.4525.0%8.6%36.4%14.0%30.9%1.4%1.1%3.6M-100.2M-620.3K0.3127.12N/AN/A384,600120,4805,207,3604,147,720
2014-08-19$0.48$0.4524.3%8.3%36.3%11.1%30.5%1.7%0.4%3.8M-95.3M-614.3K0.5223.88N/AN/A227,240117,7604,967,3604,205,760
2014-08-20$0.48$0.4524.5%8.5%35.4%12.1%28.9%1.1%0.6%3.9M-87.6M-616.8K0.4123.01N/AN/A101,00041,0405,085,2804,262,120
2014-08-21$0.48$0.4523.4%8.1%35.7%7.5%28.1%1.4%1.0%3.4M-74.0M-641.4K0.6121.78N/AN/A200,320121,8005,127,2404,690,400
2014-08-22$0.48$0.4523.7%8.0%34.9%8.8%28.8%1.6%0.8%4.2M-79.6M-613.0K0.3223.38N/AN/A221,48070,5205,172,6404,345,840
2014-08-25$0.48$0.4523.4%8.2%34.8%7.7%28.8%1.5%0.3%3.8M-79.9M-594.6K0.9019.32N/AN/A107,92097,5605,067,4804,132,880
2014-08-26$0.49$0.4522.7%7.9%35.1%4.9%27.6%2.3%0.0%4.7M-100.1M-594.4K1.8619.93N/AN/A86,080160,0405,126,8004,190,560
2014-08-27$0.48$0.4523.0%8.0%35.2%6.2%31.0%1.5%0.3%4.5M-86.7M-586.8K1.0819.85N/AN/A46,28049,8005,157,0404,240,160
2014-08-28$0.48$0.4522.3%8.0%32.6%3.1%30.1%1.8%0.0%5.1M-94.6M-590.4K0.5224.30N/AN/A93,92049,0405,180,5204,262,040
2014-08-29$0.49$0.4521.9%8.1%32.6%1.9%29.3%1.3%1.5%7.5M-95.8M-586.8K0.7612.72N/AN/A154,920117,6405,200,2004,278,760