NVDA Options History — November 2014

In November 2014, NVDA traded between $0.49 and $0.52. ATM implied volatility averaged 28.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.3% (HV 20d: 28.9%). Max pain ranged from $0.42 to $0.55. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.99.

Notable Days

  • 2014-11-06: Highest Volume — 1,944,760 contracts
  • 2014-11-07: Largest IV drop — 32.9% change
  • 2014-11-05: Highest IV Rank — 82.5%
  • 2014-11-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.50$0.49$0.52$0.50$0.52
Max Pain$0.47$0.42$0.55$0.42$0.53
ATM IV28.6%22.9%42.2%41.5%24.6%
Expected Move8.2%7.6%9.0%9.0%7.9%
HV 20d28.9%23.6%39.2%39.2%23.6%
HV 60d26.7%26.1%27.2%26.1%26.9%
IV Rank28.2%4.9%82.5%79.7%11.5%
IV Percentile49.6%7.1%96.8%96.4%34.1%
Term Structure-0.7%-2.7%0.9%-2.1%-0.6%
VWIV28.9%26.8%33.2%31.7%27.1%
Skew 25d2.6%1.0%5.7%1.0%2.5%
Skew 10d5.8%-1.2%8.5%5.9%6.3%
Call IV 25d28.4%23.1%42.4%41.5%24.3%
Put IV 25d30.9%24.7%45.5%42.5%26.8%
Bid-Ask Spread %12.065.7930.0011.669.01
Gamma HHI0.220.160.440.200.44
Net GEX3.8M2.5M7.8M2.5M7.8M
Net DEX-106.6M-127.2M-74.7M-106.2M-115.7M
Net VEX-528.7K-579.2K-466.6K-578.3K-474.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.203.630.810.29
Total Volume770,052.632114,6401,944,760585,800114,640
Total OI9,642,4808,027,72011,180,7209,227,2008,673,920

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$0.50$0.4241.5%9.0%39.2%79.7%31.7%1.0%-2.1%2.5M-106.2M-578.3K0.8111.66N/AN/A324,000261,8005,485,8003,741,400
2014-11-04$0.50$0.4241.5%8.9%38.9%79.7%33.2%5.7%-2.7%2.6M-120.9M-575.0K0.8030.00N/AN/A294,920237,2405,574,6003,818,720
2014-11-05$0.50$0.4242.2%8.9%38.6%82.5%31.8%2.0%-2.2%2.6M-122.2M-579.2K0.7923.73N/AN/A470,320371,3205,672,3203,881,480
2014-11-06$0.51$0.4540.1%9.0%37.5%74.2%31.5%2.8%-1.8%2.7M-127.2M-578.0K0.6919.51N/AN/A1,150,320794,4405,842,7204,088,560
2014-11-07$0.49$0.4726.9%8.1%30.3%21.7%28.9%3.3%-1.4%3.0M-107.7M-555.8K0.6910.69N/AN/A1,003,920691,8006,579,9604,490,560
2014-11-10$0.50$0.4726.7%8.2%30.0%21.0%29.2%2.7%-0.0%3.5M-112.9M-543.3K0.8410.53N/AN/A294,520246,6805,944,4004,242,440
2014-11-11$0.49$0.4725.6%8.0%27.1%16.4%28.6%2.0%0.2%3.4M-99.0M-530.2K0.919.95N/AN/A246,480223,4805,904,5604,235,040
2014-11-12$0.49$0.4725.5%7.9%27.2%15.9%28.1%1.1%-0.1%3.5M-88.2M-530.2K0.6810.31N/AN/A369,640249,5606,043,2004,283,560
2014-11-13$0.49$0.4725.4%7.9%27.2%15.7%28.2%2.5%-0.1%3.6M-80.1M-523.2K0.2011.77N/AN/A1,062,280210,7606,061,0804,307,200
2014-11-14$0.49$0.4724.4%7.9%27.2%11.7%28.0%2.9%0.9%3.6M-114.3M-573.6K0.489.78N/AN/A135,60065,2006,822,8004,357,920
2014-11-17$0.49$0.4726.2%8.1%27.5%18.9%28.7%3.2%-0.7%2.9M-83.6M-541.1K3.6311.19N/AN/A210,600764,5605,718,1204,082,400
2014-11-18$0.50$0.4726.0%8.0%26.1%18.0%28.0%2.1%-0.4%3.6M-117.4M-529.2K0.717.11N/AN/A801,640565,4805,742,8804,561,920
2014-11-19$0.50$0.4725.8%8.0%25.3%17.1%28.6%2.6%-0.5%3.0M-74.7M-529.3K0.269.93N/AN/A113,08029,8005,065,4804,579,440
2014-11-20$0.51$0.4725.8%8.0%25.0%17.1%28.5%3.0%-1.2%4.4M-101.7M-516.5K1.748.34N/AN/A332,960578,5605,084,0004,474,360
2014-11-21$0.51$0.4724.8%7.9%24.9%13.4%27.8%2.8%-0.9%6.3M-114.1M-485.4K1.9411.12N/AN/A288,800561,6005,077,9604,509,400
2014-11-24$0.51$0.0023.7%7.8%24.9%8.7%26.8%1.7%-0.0%4.5M-108.5M-466.6K0.405.79N/AN/A167,20067,4404,508,5203,519,200
2014-11-25$0.51$0.5522.9%7.6%24.0%4.9%26.8%1.6%0.5%4.5M-109.0M-469.8K0.679.18N/AN/A238,600159,0404,579,0803,544,760
2014-11-26$0.52$0.5323.4%7.9%24.0%7.0%28.3%2.9%0.7%5.0M-122.6M-466.7K2.249.45N/AN/A287,840644,8804,542,8403,564,520
2014-11-28$0.52$0.5324.6%7.9%23.6%11.5%27.1%2.5%-0.6%7.8M-115.7M-474.7K0.299.01N/AN/A88,96025,6804,523,8404,150,080