NVDA Options History — February 2015

In February 2015, NVDA traded between $0.49 and $0.56. ATM implied volatility averaged 28.7%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 5.1% (HV 20d: 33.8%). Max pain ranged from $0.47 to $0.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.79.

Notable Days

  • 2015-02-25: Highest Volume — 2,415,800 contracts
  • 2015-02-12: Largest IV drop — 24.1% change
  • 2015-02-02: Highest IV Rank — 60.6%
  • 2015-02-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.54$0.49$0.56$0.49$0.55
Max Pain$0.48$0.47$0.50$0.50$0.49
ATM IV28.7%23.3%36.9%36.9%23.3%
Expected Move8.3%6.7%11.8%11.7%6.7%
HV 20d33.8%29.1%37.6%33.1%31.1%
HV 60d28.0%26.0%29.7%26.0%28.9%
IV Rank27.2%5.4%60.6%60.6%5.4%
IV Percentile43.8%4.0%88.9%88.9%4.0%
Term Structure-0.6%-2.1%1.0%-1.4%0.0%
VWIV30.8%23.1%43.4%41.8%23.5%
Skew 25d4.1%2.1%7.1%5.3%2.6%
Skew 10d9.7%4.7%15.1%14.2%5.8%
Call IV 25d27.6%22.6%34.9%34.9%22.9%
Put IV 25d31.7%25.3%40.2%40.2%25.5%
Bid-Ask Spread %12.578.5631.1016.2910.59
Gamma HHI0.190.140.270.270.19
Net GEX2.4M-63.6K3.7M1.5M-63.6K
Net DEX-88.0M-146.0M-33.5M-33.5M-67.5M
Net VEX-324.5K-369.2K-284.5K-369.2K-309.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.288.210.288.21
Total Volume938,218.947136,9602,415,800194,2001,965,720
Total OI7,196,412.6324,210,8409,087,7207,076,7605,664,960

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$0.49$0.5036.9%11.7%33.1%60.6%41.8%5.3%-1.4%1.5M-33.5M-369.2K0.2816.29N/AN/A151,48042,7202,930,3204,146,440
2015-02-03$0.50$0.5035.8%11.8%33.7%56.2%43.4%6.0%-1.3%2.2M-52.0M-367.2K0.6312.79N/AN/A358,520225,0003,018,4404,158,640
2015-02-04$0.50$0.5035.0%11.5%31.6%53.1%40.2%4.4%-1.3%2.7M-56.9M-368.7K0.3114.32N/AN/A524,400163,7203,116,2804,236,600
2015-02-05$0.51$0.4734.5%9.1%31.8%50.9%33.1%5.5%-2.1%3.2M-67.0M-359.0K1.778.91N/AN/A161,080284,4403,109,4004,264,800
2015-02-06$0.51$0.4733.9%9.1%29.1%48.3%33.7%3.8%-1.7%2.1M-59.5M-358.5K1.3711.06N/AN/A181,640249,6803,110,7604,415,880
2015-02-09$0.51$0.4733.2%9.4%29.1%45.7%32.4%5.6%-0.1%2.3M-58.4M-349.9K1.0410.85N/AN/A311,760323,2402,982,2404,342,920
2015-02-10$0.52$0.4732.3%8.8%29.8%42.0%31.9%7.1%-1.7%2.9M-79.3M-344.1K1.5315.67N/AN/A267,000409,2403,111,1204,359,560
2015-02-11$0.52$0.4733.1%9.5%29.9%45.4%35.3%6.7%-0.6%2.4M-71.1M-358.7K2.0231.10N/AN/A607,4401,228,8403,165,8804,487,160
2015-02-12$0.56$0.4725.1%7.3%37.6%13.0%26.4%3.6%1.0%3.3M-146.0M-290.2K0.4813.30N/AN/A946,040456,8403,479,8805,465,040
2015-02-13$0.56$0.4724.9%7.2%37.4%12.1%26.2%3.1%0.3%3.2M-142.0M-298.4K1.0211.46N/AN/A357,080364,6803,533,1605,554,560
2015-02-17$0.56$0.4725.6%7.4%37.2%14.8%29.2%3.3%-0.9%3.3M-129.1M-309.3K1.479.83N/AN/A235,800345,8403,359,4005,310,040
2015-02-18$0.55$0.4725.1%7.2%37.6%12.7%31.0%3.8%0.1%3.7M-123.5M-310.2K1.3611.85N/AN/A218,840298,2403,390,1205,361,480
2015-02-19$0.55$0.4724.9%7.1%37.5%11.8%26.6%3.1%-0.2%3.4M-128.7M-302.5K0.4212.08N/AN/A96,32040,6403,409,2005,368,760
2015-02-20$0.56$0.4724.6%7.0%37.3%10.7%26.0%3.1%-0.3%1.9M-137.9M-296.8K0.4711.74N/AN/A156,44073,8803,468,5605,385,320
2015-02-23$0.55$0.4724.5%7.0%37.5%10.5%28.4%2.9%-0.3%1.8M-87.9M-294.3K0.408.56N/AN/A631,120252,0802,577,0801,781,960
2015-02-24$0.56$0.4724.0%6.8%37.4%8.3%23.1%2.1%-0.1%1.7M-82.9M-284.5K1.5110.12N/AN/A630,400950,0802,402,2401,808,600
2015-02-25$0.55$0.4724.2%7.0%32.1%9.0%29.0%3.4%-0.2%1.7M-73.7M-295.6K2.318.82N/AN/A730,5601,685,2402,341,9602,482,560
2015-02-26$0.56$0.4723.4%6.8%31.3%6.1%23.7%2.7%0.3%1.4M-74.8M-298.1K7.469.59N/AN/A224,6001,675,5202,374,8403,255,680
2015-02-27$0.55$0.4923.3%6.7%31.1%5.4%23.5%2.6%0.0%-63.6K-67.5M-309.4K8.2110.59N/AN/A213,4801,752,2402,384,6003,280,360