NVDA Options History — May 2015

In May 2015, NVDA traded between $0.52 and $0.57. ATM implied volatility averaged 26.9%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 3.7% (HV 20d: 30.6%). Max pain ranged from $0.50 to $0.55. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2015-05-07: Highest Volume — 1,846,240 contracts
  • 2015-05-08: Largest IV drop — 29.6% change
  • 2015-05-06: Highest IV Rank — 57.1%
  • 2015-05-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.54$0.52$0.57$0.57$0.55
Max Pain$0.51$0.50$0.55$0.55$0.50
ATM IV26.9%22.7%36.0%33.0%25.1%
Expected Move7.6%6.4%11.5%11.5%7.0%
HV 20d30.6%17.9%38.5%19.6%38.5%
HV 60d29.2%27.6%32.1%27.7%30.4%
IV Rank20.1%2.9%57.1%44.8%12.9%
IV Percentile36.6%0.8%86.9%70.2%36.1%
Term Structure-0.3%-1.8%1.4%-1.5%0.2%
VWIV27.7%23.7%41.7%41.7%24.6%
Skew 25d2.7%1.6%4.5%3.6%1.7%
Skew 10d6.6%3.3%11.4%11.4%5.5%
Call IV 25d26.4%22.3%35.0%33.2%24.8%
Put IV 25d29.1%24.6%39.3%36.7%26.5%
Bid-Ask Spread %13.669.6122.9010.8812.05
Gamma HHI0.150.110.280.120.15
Net GEX696.8K-1.9M4.2M1.6M3.4M
Net DEX-33.0M-91.7M31.5M-73.1M-91.7M
Net VEX-448.3K-492.7K-405.6K-466.8K-491.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.114.460.860.91
Total Volume864,236149,4401,846,240654,760476,920
Total OI7,635,4206,778,7609,076,3607,337,7607,834,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$0.57$0.5533.0%11.5%19.6%44.8%41.7%3.6%-1.5%1.6M-73.1M-466.8K0.8610.88N/AN/A352,680302,0803,285,2404,052,520
2015-05-04$0.57$0.5034.0%8.9%17.9%48.9%32.5%4.2%-1.7%1.5M-65.9M-459.2K0.5110.63N/AN/A99,28050,1603,192,0403,837,160
2015-05-05$0.55$0.5035.0%9.2%20.1%52.8%32.4%3.6%-1.8%952.2K-48.2M-454.3K1.1415.30N/AN/A244,880278,9603,213,6003,866,040
2015-05-06$0.55$0.5036.0%9.4%20.0%57.1%34.5%4.5%-1.4%942.5K-47.7M-455.1K4.4616.56N/AN/A227,9201,016,9603,235,3203,881,120
2015-05-07$0.56$0.5035.7%9.7%19.6%55.6%35.3%3.2%-1.0%470.8K-56.4M-472.0K1.6822.90N/AN/A690,1201,156,1203,290,4004,575,080
2015-05-08$0.52$0.5325.1%7.3%33.1%12.8%26.5%2.8%-0.1%-1.4M31.5M-405.6K1.1518.52N/AN/A741,040849,3603,456,2805,424,360
2015-05-11$0.52$0.5026.0%7.3%33.2%16.5%26.3%3.2%-0.7%-1.1M10.2M-425.5K1.4213.98N/AN/A152,720216,7203,555,3604,327,560
2015-05-12$0.52$0.5025.4%7.3%33.5%14.1%25.2%2.5%-0.0%-810.9K3.7M-428.4K1.1915.45N/AN/A246,640293,0403,624,3204,410,240
2015-05-13$0.52$0.5025.1%7.2%33.1%12.9%27.4%2.4%-0.1%-763.2K-1.4M-425.4K3.5315.43N/AN/A330,1201,164,8803,631,1604,429,240
2015-05-14$0.53$0.5024.2%7.1%33.7%9.3%24.9%2.3%0.6%-1.9M-14.9M-441.1K3.9312.04N/AN/A284,6401,118,7203,711,1205,329,600
2015-05-15$0.53$0.5323.4%7.0%33.5%6.0%24.0%2.6%1.4%897.3K-13.8M-435.4K4.3012.14N/AN/A270,2401,160,8403,713,9205,362,440
2015-05-18$0.53$0.5322.9%6.5%33.5%3.7%24.1%2.6%0.5%783.6K-30.8M-423.7K0.8510.67N/AN/A121,640103,1603,094,9603,683,800
2015-05-19$0.53$0.5323.0%6.6%33.6%4.3%24.3%2.9%0.2%428.7K-20.7M-424.8K0.1110.56N/AN/A449,52050,3603,047,2403,752,560
2015-05-20$0.53$0.5323.0%6.6%33.2%4.4%23.7%2.1%0.1%867.4K-28.9M-459.8K3.6211.33N/AN/A285,7601,034,4003,373,4403,787,080
2015-05-21$0.52$0.5322.7%6.5%33.3%3.2%25.3%2.5%-0.2%662.6K-23.6M-447.3K1.1210.80N/AN/A230,200257,3203,414,7603,793,040
2015-05-22$0.52$0.5322.7%6.4%33.2%2.9%23.8%2.3%0.4%497.2K-20.4M-445.7K1.029.61N/AN/A256,240262,2403,446,0003,852,120
2015-05-26$0.52$0.5324.6%6.8%33.0%10.9%24.9%2.4%-0.7%363.2K-19.0M-437.9K1.1110.77N/AN/A183,200203,2003,391,7603,795,640
2015-05-27$0.55$0.5325.9%7.5%38.2%16.1%27.0%1.6%-0.6%2.4M-59.9M-473.2K0.2718.96N/AN/A1,186,280323,9603,407,2403,818,200
2015-05-28$0.55$0.5125.3%7.3%38.5%13.8%26.5%1.7%0.4%4.2M-88.7M-492.7K0.7114.67N/AN/A357,000255,2003,928,0803,884,320
2015-05-29$0.55$0.5025.1%7.0%38.5%12.9%24.6%1.7%0.2%3.4M-91.7M-491.9K0.9112.05N/AN/A250,200226,7203,945,6403,888,400