NVDA Options History — April 2015 In April 2015, NVDA traded between $0.53 and $0.57. ATM implied volatility averaged 33.5%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.7% (HV 20d: 28.8%). Max pain ranged from $0.55 to $0.55. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.24.
Notable Days 2015-04-02 : Highest Volume — 1,492,280 contracts2015-04-06 : Largest IV spike — 9.0% change2015-04-17 : Highest IV Rank — 53.5%2015-04-30 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.55 $0.53 $0.57 $0.53 $0.55 Max Pain $0.55 $0.55 $0.55 $0.55 $0.55 ATM IV 33.5% 30.6% 35.1% 31.8% 34.6% Expected Move 10.1% 9.3% 11.9% 9.6% 11.9% HV 20d 28.8% 17.6% 33.8% 32.1% 17.6% HV 60d 30.1% 27.2% 31.7% 31.7% 27.2% IV Rank 47.0% 35.0% 53.5% 40.1% 51.4% IV Percentile 72.8% 62.7% 80.6% 67.5% 79.8% Term Structure -0.8% -2.5% 5.1% 4.2% -2.2% VWIV 36.7% 33.5% 42.5% 35.4% 42.3% Skew 25d 3.9% 1.2% 13.9% 4.0% 4.0% Skew 10d 7.8% 3.8% 11.4% 11.4% 8.7% Call IV 25d 32.7% 28.7% 35.5% 30.9% 33.8% Put IV 25d 36.6% 32.2% 44.5% 35.0% 37.7% Bid-Ask Spread % 11.52 6.42 14.87 14.87 12.50 Gamma HHI 0.14 0.11 0.17 0.14 0.15 Net GEX 333.4K -2.1M 2.1M -1.6M -94.8K Net DEX -49.9M -82.1M 1.3M 1.3M -51.0M Net VEX -441.5K -472.6K -404.6K -440.5K -471.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.55 2.82 0.92 0.63 Total Volume 691,518.095 332,480 1,492,280 686,760 607,560 Total OI 7,975,620.952 6,754,640 9,190,920 7,417,800 7,290,680
Daily Data (21 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 2015-04-01 $0.53 $0.55 31.8% 9.6% 32.1% 40.1% 35.4% 4.0% 4.2% -1.6M 1.3M -440.5K 0.92 14.87 N/A N/A 358,560 328,200 2,814,920 4,602,880 2015-04-02 $0.53 $0.55 30.6% 10.0% 31.2% 35.0% 37.1% 3.5% 5.1% -1.3M -6.5M -451.9K 2.52 14.74 N/A N/A 424,520 1,067,760 3,016,720 4,648,760 2015-04-06 $0.54 $0.55 33.3% 9.7% 32.9% 46.1% 34.6% 1.2% -0.5% -1.4M -32.2M -440.7K 1.36 13.16 N/A N/A 377,160 513,960 2,925,200 5,316,520 2015-04-07 $0.55 $0.55 31.8% 9.3% 33.0% 40.0% 33.9% 3.8% 2.0% -2.1M -37.2M -437.3K 1.02 10.11 N/A N/A 372,160 379,120 3,046,640 5,553,920 2015-04-08 $0.55 $0.55 34.3% 9.6% 32.5% 49.9% 34.3% 4.5% -1.4% -1.7M -46.4M -426.6K 1.42 9.48 N/A N/A 137,520 194,960 3,109,120 5,600,400 2015-04-09 $0.56 $0.55 33.5% 9.5% 33.6% 46.8% 33.5% 2.4% -1.3% 238.1K -70.9M -421.6K 1.01 9.90 N/A N/A 352,200 357,080 3,134,160 5,633,240 2015-04-10 $0.57 $0.55 34.1% 9.5% 33.6% 49.2% 33.7% 5.7% -2.5% 1.2M -82.1M -412.7K 1.01 6.42 N/A N/A 276,240 278,000 3,182,080 5,621,840 2015-04-13 $0.56 $0.55 34.5% 9.7% 33.8% 51.0% 35.0% 3.0% -0.9% 1.3M -72.9M -404.6K 0.68 7.80 N/A N/A 583,080 395,160 3,051,400 5,408,520 2015-04-14 $0.56 $0.55 34.6% 9.9% 33.6% 51.5% 35.9% 3.0% -1.8% 385.6K -60.3M -454.6K 0.80 9.34 N/A N/A 241,920 192,560 3,418,280 5,618,120 2015-04-15 $0.57 $0.55 34.0% 9.7% 33.7% 48.8% 34.6% 2.7% -2.0% 1.2M -75.0M -448.4K 0.55 9.55 N/A N/A 471,880 257,920 3,427,240 5,650,720 2015-04-16 $0.56 $0.55 34.8% 10.1% 33.3% 52.1% 35.3% 2.5% -2.1% 1.8M -62.0M -437.0K 0.73 12.09 N/A N/A 352,280 258,160 3,446,360 5,718,560 2015-04-17 $0.55 $0.55 35.1% 10.2% 33.1% 53.5% 36.9% 3.4% -1.6% 1.1M -57.2M -436.6K 1.27 12.72 N/A N/A 317,160 402,560 3,523,280 5,667,640 2015-04-20 $0.55 $0.55 34.2% 10.0% 32.7% 49.6% 35.7% 3.5% -1.9% 1.7M -48.4M -430.4K 0.97 10.59 N/A N/A 334,280 323,360 3,141,960 3,612,680 2015-04-21 $0.55 $0.55 33.8% 10.2% 30.7% 48.2% 39.1% 13.9% -1.5% 1.6M -49.0M -424.8K 2.82 14.58 N/A N/A 198,800 560,720 3,266,880 3,669,080 2015-04-22 $0.56 $0.55 32.3% 9.8% 30.7% 41.9% 38.6% 3.6% -1.7% 2.1M -51.0M -446.0K 1.95 11.73 N/A N/A 201,880 394,600 3,279,520 3,911,600 2015-04-23 $0.56 $0.55 33.2% 10.2% 20.1% 45.6% 35.7% 3.0% -1.9% 1.9M -50.8M -441.5K 1.07 14.37 N/A N/A 269,680 288,560 3,346,240 3,989,360 2015-04-24 $0.55 $0.55 33.3% 10.2% 20.5% 45.9% 36.3% 4.0% -2.0% -167.3K -43.8M -458.9K 1.36 11.15 N/A N/A 292,280 397,720 3,454,280 4,037,360 2015-04-27 $0.55 $0.55 33.5% 11.2% 19.6% 46.7% 39.5% 3.9% -0.8% 207.6K -49.8M -458.3K 2.04 13.32 N/A N/A 207,480 423,560 3,082,840 3,911,440 2015-04-28 $0.56 $0.55 33.0% 11.0% 19.6% 44.8% 39.7% 3.1% -0.9% 383.3K -52.2M -455.9K 0.89 10.08 N/A N/A 326,080 289,440 3,110,560 3,988,040 2015-04-29 $0.55 $0.55 34.1% 11.5% 17.6% 49.2% 42.5% 3.1% -1.1% 135.8K -50.0M -472.6K 1.01 13.49 N/A N/A 256,400 259,360 3,260,000 3,999,000 2015-04-30 $0.55 $0.55 34.6% 11.9% 17.6% 51.4% 42.3% 4.0% -2.2% -94.8K -51.0M -471.4K 0.63 12.50 N/A N/A 373,760 233,800 3,264,240 4,026,440
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