NVDA Options History — November 2015

In November 2015, NVDA traded between $0.70 and $0.79. ATM implied volatility averaged 32.2%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 12.7% (HV 20d: 44.9%). Max pain ranged from $0.55 to $0.70. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-11-05: Highest Volume — 6,173,880 contracts
  • 2015-11-06: Largest IV drop — 33.0% change
  • 2015-11-05: Highest IV Rank — 96.6%
  • 2015-11-04: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.76$0.70$0.79$0.72$0.79
Max Pain$0.63$0.55$0.70$0.63$0.70
ATM IV32.2%27.1%48.6%43.1%28.0%
Expected Move9.6%7.8%15.3%14.2%8.3%
HV 20d44.9%25.3%50.7%25.3%47.1%
HV 60d39.4%34.9%43.0%35.4%37.1%
IV Rank35.5%16.4%96.6%76.1%19.9%
IV Percentile49.3%26.6%99.6%95.6%31.0%
Term Structure-0.5%-3.0%1.2%-2.5%0.8%
VWIV33.9%27.8%55.4%49.7%29.3%
Skew 25d2.8%1.9%4.5%3.0%2.9%
Skew 10d5.8%1.8%10.6%7.0%6.9%
Call IV 25d31.5%26.1%47.4%41.6%26.9%
Put IV 25d34.3%29.1%51.4%44.6%29.8%
Bid-Ask Spread %12.736.6221.7621.7614.31
Gamma HHI0.220.150.260.190.20
Net GEX7.0M4.4M9.5M5.1M5.1M
Net DEX-265.4M-490.6M-189.4M-229.0M-201.8M
Net VEX-634.5K-685.5K-564.8K-660.1K-564.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.183.321.910.23
Total Volume1,205,912160,2406,173,880642,920267,800
Total OI9,163,9106,947,12012,085,1608,705,2006,947,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$0.72$0.6343.1%14.2%25.3%76.1%49.7%3.0%-2.5%5.1M-229.0M-660.1K1.9121.76N/AN/A220,840422,0805,661,5603,043,640
2015-11-03$0.71$0.6342.1%14.7%25.4%72.6%51.6%4.5%-1.6%5.2M-225.7M-661.7K3.3214.70N/AN/A216,920719,9605,724,3203,057,320
2015-11-04$0.70$0.6343.1%15.3%27.1%76.3%55.4%2.6%-2.2%4.4M-198.3M-668.7K1.5919.22N/AN/A271,880433,5605,768,9603,381,280
2015-11-05$0.70$0.5548.6%12.9%27.0%96.6%44.4%4.0%-3.0%4.4M-196.3M-685.5K0.1819.68N/AN/A5,235,560938,3205,868,8003,404,880
2015-11-06$0.79$0.5532.6%9.2%49.1%36.9%33.6%2.0%0.3%7.4M-490.6M-625.7K0.2221.07N/AN/A1,711,640383,7208,234,7203,850,440
2015-11-09$0.79$0.5530.6%9.1%49.3%29.7%32.3%1.9%1.2%9.3M-369.6M-644.5K1.1613.86N/AN/A243,040282,4006,564,7603,724,560
2015-11-10$0.77$0.5729.8%8.2%50.4%26.4%29.5%2.2%-1.4%9.3M-337.7M-637.1K0.9510.77N/AN/A737,480697,8406,679,2003,839,120
2015-11-11$0.77$0.5729.0%8.3%49.5%23.6%29.7%2.0%0.2%9.5M-342.2M-644.8K1.9215.89N/AN/A361,640696,0806,811,6403,930,840
2015-11-12$0.76$0.5728.5%8.2%49.9%21.6%28.6%2.4%0.5%9.1M-314.3M-626.2K2.027.93N/AN/A336,320679,9606,674,7203,955,800
2015-11-13$0.75$0.6030.4%8.6%50.4%29.0%30.8%2.6%-0.3%7.5M-274.7M-658.3K1.4810.78N/AN/A381,680566,6806,747,4804,073,400
2015-11-16$0.76$0.6030.5%8.7%50.7%29.2%30.9%2.9%-0.1%8.4M-303.1M-632.0K0.458.22N/AN/A146,44066,5206,351,0403,661,080
2015-11-17$0.76$0.6030.5%8.8%50.4%29.4%30.2%2.7%-0.7%8.5M-300.8M-633.3K0.286.62N/AN/A1,886,600519,1606,330,0003,651,320
2015-11-18$0.78$0.7028.9%8.3%50.5%23.4%29.7%2.8%-0.1%7.9M-230.8M-623.8K0.7610.87N/AN/A690,120524,9604,961,5603,710,480
2015-11-19$0.78$0.6828.4%8.1%49.3%21.5%30.1%2.1%0.0%7.3M-247.0M-613.6K0.758.87N/AN/A686,840515,2005,076,8003,751,160
2015-11-20$0.78$0.6828.5%8.2%49.3%21.8%28.8%3.5%-0.8%6.4M-256.6M-621.2K0.9310.99N/AN/A639,400597,4005,100,1203,814,120
2015-11-23$0.77$0.7028.3%8.1%49.7%21.2%29.0%3.3%-0.2%6.4M-189.4M-632.8K0.8110.37N/AN/A124,160100,8004,465,7602,711,240
2015-11-24$0.78$0.7028.2%8.1%49.7%20.8%29.0%3.2%-0.3%6.6M-200.3M-635.9K0.458.46N/AN/A110,28049,9604,518,9602,768,960
2015-11-25$0.78$0.7027.1%7.9%49.7%16.4%27.8%3.0%0.5%7.0M-202.8M-636.7K0.479.56N/AN/A716,120335,4804,614,0002,798,280
2015-11-27$0.78$0.7027.2%7.8%47.6%16.8%28.4%2.8%-0.4%5.3M-196.7M-584.4K1.4110.60N/AN/A250,040353,3604,182,6802,866,080
2015-11-30$0.79$0.7028.0%8.3%47.1%19.9%29.3%2.9%0.8%5.1M-201.8M-564.8K0.2314.31N/AN/A216,92050,8804,097,0002,850,120