NVDA Options History — March 2015 In March 2015, NVDA traded between $0.52 and $0.59. ATM implied volatility averaged 26.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.6% (HV 20d: 27.0%). Max pain ranged from $0.50 to $0.55. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.90.
Notable Days 2015-03-02 : Highest Volume — 1,849,960 contracts2015-03-25 : Largest IV spike — 25.2% change2015-03-30 : Highest IV Rank — 36.6%2015-03-30 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $0.56 $0.52 $0.59 $0.56 $0.52 Max Pain $0.54 $0.50 $0.55 $0.50 $0.55 ATM IV 26.4% 23.2% 31.0% 23.2% 30.9% Expected Move 7.7% 6.7% 9.4% 6.7% 9.4% HV 20d 27.0% 18.2% 33.6% 28.8% 32.5% HV 60d 29.3% 27.4% 31.9% 29.3% 31.9% IV Rank 18.2% 5.0% 36.6% 5.0% 36.5% IV Percentile 36.8% 3.2% 64.7% 3.2% 64.3% Term Structure 0.2% -0.7% 4.0% 0.0% 2.9% VWIV 28.3% 24.0% 34.8% 24.0% 34.7% Skew 25d 3.8% 2.4% 5.7% 2.4% 4.0% Skew 10d 9.5% 5.4% 15.5% 7.2% 7.4% Call IV 25d 25.7% 23.0% 31.2% 23.3% 31.2% Put IV 25d 29.5% 25.6% 35.3% 25.6% 35.3% Bid-Ask Spread % 11.63 7.71 24.17 11.76 14.02 Gamma HHI 0.19 0.09 0.33 0.18 0.12 Net GEX 1.2M -1.2M 3.9M 1.8M -1.2M Net DEX -68.7M -135.1M 3.9M -84.5M 436.8K Net VEX -360.3K -445.1K -286.6K -286.6K -423.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.90 0.10 16.50 5.24 1.48 Total Volume 822,121.818 242,680 1,849,960 1,849,960 575,960 Total OI 6,811,063.636 5,442,960 8,705,640 5,442,960 7,205,480
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-03-02 $0.56 $0.50 23.2% 6.7% 28.8% 5.0% 24.0% 2.4% 0.0% 1.8M -84.5M -286.6K 5.24 11.76 N/A N/A 296,680 1,553,280 2,347,280 3,095,680 2015-03-03 $0.55 $0.50 23.9% 7.1% 29.9% 7.9% 24.7% 2.8% 0.4% 1.6M -75.5M -307.3K 8.16 9.92 N/A N/A 190,200 1,552,520 2,397,080 3,119,160 2015-03-04 $0.56 $0.50 23.5% 6.9% 29.2% 6.5% 25.4% 3.2% -0.5% 1.9M -82.6M -309.2K 5.28 12.40 N/A N/A 208,560 1,100,280 2,456,400 3,124,080 2015-03-05 $0.57 $0.55 23.5% 6.9% 29.5% 6.4% 29.1% 3.3% -0.4% 1.7M -93.2M -301.7K 5.32 9.41 N/A N/A 281,000 1,494,040 2,516,920 3,633,680 2015-03-06 $0.56 $0.55 24.5% 7.0% 30.2% 10.2% 28.7% 2.5% 0.3% 27.3K -88.5M -319.1K 9.35 10.16 N/A N/A 165,640 1,548,760 2,610,200 3,653,400 2015-03-09 $0.57 $0.55 25.4% 7.2% 29.9% 14.2% 27.1% 3.6% 0.2% 1.6M -85.1M -326.3K 0.81 7.71 N/A N/A 159,120 128,720 2,548,840 3,663,720 2015-03-10 $0.57 $0.55 26.3% 7.6% 30.1% 17.5% 28.3% 3.4% 0.4% 1.7M -92.7M -330.3K 0.64 8.36 N/A N/A 247,520 159,040 2,623,040 3,778,080 2015-03-11 $0.57 $0.55 25.7% 7.5% 29.4% 15.0% 26.0% 3.4% 0.5% 1.4M -89.8M -337.9K 0.10 12.14 N/A N/A 341,120 33,880 2,676,400 3,904,960 2015-03-12 $0.57 $0.55 26.6% 7.5% 29.6% 19.0% 26.5% 3.7% -0.5% 2.4M -86.3M -350.6K 1.10 9.86 N/A N/A 177,200 194,160 2,862,720 3,918,200 2015-03-13 $0.57 $0.55 26.5% 7.5% 18.2% 18.5% 28.4% 4.3% -0.5% 2.3M -86.8M -355.4K 16.50 9.65 N/A N/A 49,400 815,200 2,898,400 4,057,680 2015-03-16 $0.57 $0.55 26.5% 7.6% 18.6% 18.5% 26.9% 3.9% 0.1% 2.1M -90.4M -360.6K 0.52 8.62 N/A N/A 236,240 123,000 2,843,800 4,586,000 2015-03-17 $0.58 $0.55 27.9% 8.0% 18.9% 24.3% 32.3% 4.8% -0.4% 2.0M -103.7M -355.6K 0.36 11.31 N/A N/A 892,200 321,200 2,995,000 4,663,840 2015-03-18 $0.57 $0.55 26.3% 7.5% 19.5% 17.7% 27.0% 4.0% -0.5% 3.9M -92.8M -392.2K 0.39 8.77 N/A N/A 519,280 201,680 3,482,160 4,926,400 2015-03-19 $0.58 $0.55 25.2% 7.2% 20.1% 13.3% 26.2% 4.4% -0.1% 3.8M -114.1M -371.3K 0.81 10.32 N/A N/A 234,440 190,600 3,671,880 4,981,480 2015-03-20 $0.59 $0.55 24.1% 7.0% 20.2% 8.7% 25.2% 3.8% -0.7% -596.6K -135.1M -362.0K 0.59 10.04 N/A N/A 232,800 137,840 3,759,600 4,946,040 2015-03-23 $0.57 $0.55 24.5% 7.1% 23.6% 10.5% 25.4% 3.3% 0.2% 903.0K -44.7M -376.5K 0.47 11.52 N/A N/A 272,640 129,440 2,248,080 3,873,840 2015-03-24 $0.56 $0.55 24.6% 7.1% 24.0% 10.6% 25.4% 3.7% 0.1% 648.4K -43.1M -365.5K 0.84 11.00 N/A N/A 147,120 123,520 2,418,800 3,962,800 2015-03-25 $0.53 $0.55 30.8% 9.1% 32.8% 35.7% 31.2% 5.5% -0.2% -682.4K -2.9M -401.5K 2.60 18.65 N/A N/A 327,880 853,720 2,470,560 4,017,280 2015-03-26 $0.52 $0.55 30.6% 9.1% 32.7% 34.9% 33.4% 5.7% -0.6% -997.4K 3.9M -425.8K 1.71 11.63 N/A N/A 313,680 535,560 2,643,400 4,303,520 2015-03-27 $0.53 $0.55 29.8% 8.9% 33.6% 31.9% 31.1% 3.7% -0.7% -510.1K -8.1M -445.1K 0.34 24.17 N/A N/A 181,760 60,920 2,697,520 4,352,480 2015-03-30 $0.54 $0.55 31.0% 9.4% 32.2% 36.6% 34.8% 5.3% 4.0% -63.4K -16.9M -422.5K 1.23 14.41 N/A N/A 348,840 430,040 2,645,320 4,262,200 2015-03-31 $0.52 $0.55 30.9% 9.4% 32.5% 36.5% 34.7% 4.0% 2.9% -1.2M 436.8K -423.7K 1.48 14.02 N/A N/A 232,480 343,480 2,733,240 4,472,240
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