NVDA Options History — December 2014

In December 2014, NVDA traded between $0.48 and $0.53. ATM implied volatility averaged 27.4%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.2% (HV 20d: 23.1%). Max pain ranged from $0.53 to $0.53. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.25.

Notable Days

  • 2014-12-24: Highest Volume — 2,867,920 contracts
  • 2014-12-12: Largest IV spike — 10.4% change
  • 2014-12-16: Highest IV Rank — 38.9%
  • 2014-12-16: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.51$0.48$0.53$0.51$0.50
Max Pain$0.53$0.53$0.53$0.53$0.53
ATM IV27.4%23.7%31.4%25.5%29.0%
Expected Move8.7%7.9%9.6%8.1%9.4%
HV 20d23.1%19.5%25.8%20.4%25.0%
HV 60d28.1%27.1%28.9%27.2%28.9%
IV Rank22.6%8.1%38.9%15.2%28.6%
IV Percentile50.3%16.7%70.6%42.5%61.9%
Term Structure0.1%-1.6%1.4%0.2%-1.3%
VWIV33.2%27.0%53.0%27.9%34.6%
Skew 25d3.1%0.8%5.2%2.7%4.8%
Skew 10d6.4%2.1%11.6%5.3%9.9%
Call IV 25d26.7%22.6%30.8%25.2%27.8%
Put IV 25d29.8%25.1%34.5%27.8%32.6%
Bid-Ask Spread %12.197.7931.4111.3813.53
Gamma HHI0.200.170.290.220.19
Net GEX2.8M126.9K4.8M3.1M2.1M
Net DEX-82.9M-128.3M-22.3M-95.6M-51.4M
Net VEX-436.2K-470.6K-399.6K-470.6K-417.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.3116.760.930.86
Total Volume595,098.18278,2002,867,920304,160220,840
Total OI8,882,347.2737,069,7609,966,4408,478,8409,892,840

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$0.51$0.5325.5%8.1%20.4%15.2%27.9%2.7%0.2%3.1M-95.6M-470.6K0.9311.38N/AN/A157,720146,4404,432,8804,045,960
2014-12-02$0.52$0.5325.2%8.0%19.5%14.0%28.5%4.0%-0.5%3.4M-96.6M-463.0K1.448.21N/AN/A126,320182,1604,476,0004,055,800
2014-12-03$0.53$0.5324.4%8.0%20.9%10.9%27.0%4.1%0.6%4.0M-128.3M-431.4K0.667.79N/AN/A207,400135,9204,504,2404,117,760
2014-12-04$0.52$0.5323.9%8.0%21.3%9.1%29.0%3.0%0.9%3.9M-116.4M-447.4K1.599.43N/AN/A30,24047,9604,547,0004,127,040
2014-12-05$0.53$0.5323.7%7.9%21.3%8.1%27.2%2.4%1.1%4.5M-127.4M-426.5K0.839.17N/AN/A212,320176,4804,570,0804,138,360
2014-12-08$0.52$0.5325.0%8.2%20.0%13.2%28.3%0.8%1.2%2.8M-104.3M-439.8K0.349.04N/AN/A557,360191,7204,428,6004,124,640
2014-12-09$0.52$0.5326.4%8.1%19.7%19.1%29.1%2.8%-0.9%3.4M-104.0M-445.9K0.738.08N/AN/A207,600151,1604,753,2004,165,200
2014-12-10$0.51$0.5327.2%8.7%20.9%22.2%30.6%1.1%0.8%2.3M-76.6M-455.5K1.5511.42N/AN/A172,560266,9604,755,8804,179,640
2014-12-11$0.51$0.5327.4%8.8%20.7%23.2%30.5%1.3%0.6%1.9M-72.6M-451.7K1.479.33N/AN/A189,120277,2404,801,2404,260,200
2014-12-12$0.49$0.5330.3%9.0%23.7%34.6%33.4%1.8%0.1%715.9K-32.3M-460.7K1.3111.78N/AN/A246,600324,0404,806,8004,356,880
2014-12-15$0.49$0.5330.2%9.2%23.2%34.3%33.9%3.4%0.3%471.2K-35.1M-440.6K1.6711.01N/AN/A195,240326,4404,672,7604,286,440
2014-12-16$0.48$0.5331.4%9.6%23.6%38.9%34.3%3.7%-1.6%126.9K-22.3M-435.2K0.7811.84N/AN/A289,720226,6404,726,4804,281,080
2014-12-17$0.50$0.5330.9%9.5%25.8%37.1%38.4%3.1%0.3%1.5M-70.4M-433.6K1.4531.41N/AN/A377,840549,5204,798,6004,330,200
2014-12-18$0.51$0.5328.4%9.1%25.6%27.1%34.0%2.7%0.4%1.9M-78.3M-433.8K1.169.68N/AN/A258,360299,0004,890,0404,661,520
2014-12-19$0.51$0.5328.1%9.0%25.2%25.7%30.5%2.7%-1.2%2.3M-94.5M-423.5K0.3110.77N/AN/A411,200129,0004,892,1204,697,800
2014-12-22$0.52$0.5326.9%8.6%25.8%20.8%31.0%3.2%-0.6%4.5M-100.7M-399.6K1.1013.60N/AN/A164,520180,5604,105,1602,964,600
2014-12-23$0.52$0.5326.5%8.6%25.8%19.5%40.6%3.5%0.1%4.8M-94.0M-405.5K4.5115.24N/AN/A186,600841,0804,133,9203,002,080
2014-12-24$0.51$0.5327.8%9.0%25.8%24.7%53.0%4.0%0.9%4.4M-86.1M-421.9K16.7611.90N/AN/A161,5202,706,4004,159,4003,682,080
2014-12-26$0.52$0.5328.1%9.0%25.1%24.8%33.5%3.2%1.4%3.5M-87.9M-432.7K3.7111.41N/AN/A170,080630,2404,176,2405,790,200
2014-12-29$0.51$0.5327.8%9.0%25.1%23.7%35.2%4.7%1.2%3.9M-82.5M-413.8K4.8315.80N/AN/A106,520514,9604,044,4805,749,960
2014-12-30$0.51$0.5327.6%9.4%24.5%23.0%40.1%5.2%-0.9%3.2M-66.7M-447.4K1.4616.34N/AN/A56,24082,3204,057,8805,768,360
2014-12-31$0.50$0.5329.0%9.4%25.0%28.6%34.6%4.8%-1.3%2.1M-51.4M-417.2K0.8613.53N/AN/A118,840102,0004,071,5605,821,280