NVDA Options History — December 2015

In December 2015, NVDA traded between $0.81 and $0.84. ATM implied volatility averaged 32.3%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.2% (HV 20d: 30.1%). Max pain ranged from $0.65 to $0.70. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-12-01: Highest Volume — 1,308,800 contracts
  • 2015-12-11: Largest IV spike — 9.7% change
  • 2015-12-14: Highest IV Rank — 54.3%
  • 2015-12-29: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.82$0.81$0.84$0.82$0.83
Max Pain$0.67$0.65$0.70$0.70$0.70
ATM IV32.3%29.1%37.2%29.4%31.9%
Expected Move9.5%8.6%10.7%9.0%10.0%
HV 20d30.1%24.6%48.4%48.0%24.7%
HV 60d36.9%34.0%38.1%37.1%34.1%
IV Rank35.9%23.8%54.3%25.1%34.2%
IV Percentile52.3%36.5%76.6%37.7%48.0%
Term Structure-0.6%-2.9%1.2%1.0%-1.5%
VWIV33.7%30.5%37.5%32.4%32.9%
Skew 25d2.7%1.6%4.5%2.4%2.7%
Skew 10d6.1%1.4%10.8%10.8%3.7%
Call IV 25d31.6%27.8%35.9%29.0%31.2%
Put IV 25d34.4%30.4%39.2%31.4%33.9%
Bid-Ask Spread %13.089.2627.9610.7614.89
Gamma HHI0.160.130.220.220.20
Net GEX7.6M5.0M10.8M5.0M10.8M
Net DEX-256.5M-311.1M-205.1M-240.3M-227.6M
Net VEX-748.9K-809.3K-574.7K-574.7K-761.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.162.370.160.42
Total Volume887,701.818292,1601,308,8001,308,8001,223,000
Total OI8,770,338.1827,096,52010,149,2407,096,5208,610,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$0.82$0.7029.4%9.0%48.0%25.1%32.4%2.4%1.0%5.0M-240.3M-574.7K0.1610.76N/AN/A1,126,600182,2004,218,0802,878,440
2015-12-02$0.81$0.7029.6%8.8%48.1%26.0%32.3%2.3%1.2%6.7M-255.1M-673.8K0.5710.48N/AN/A623,520355,0404,960,3602,959,000
2015-12-03$0.81$0.6529.8%9.0%47.1%26.5%31.1%2.3%0.7%6.7M-249.6M-684.4K0.699.26N/AN/A511,560351,9605,015,5203,025,520
2015-12-04$0.84$0.6529.1%8.6%48.4%23.8%30.5%2.6%1.1%6.7M-311.1M-683.3K0.6110.38N/AN/A753,160458,2005,244,8403,046,040
2015-12-07$0.83$0.6531.1%9.1%25.9%31.5%31.5%2.1%0.3%7.2M-283.6M-735.3K0.3210.10N/AN/A221,16071,0005,431,4003,087,000
2015-12-08$0.84$0.6531.5%9.1%26.1%33.0%31.8%2.5%-0.0%7.6M-308.5M-727.5K0.3512.34N/AN/A886,960311,8405,552,0803,114,360
2015-12-09$0.82$0.6533.9%9.7%26.9%41.8%33.9%2.6%-0.1%8.1M-274.8M-792.6K0.799.43N/AN/A574,960455,5206,104,3603,180,120
2015-12-10$0.82$0.6532.0%9.3%26.9%34.7%33.1%2.5%0.8%7.9M-284.0M-786.4K0.5810.84N/AN/A534,360312,0806,152,1203,399,520
2015-12-11$0.81$0.6535.1%10.1%27.1%46.3%35.1%3.3%0.7%6.2M-257.6M-809.3K0.8810.53N/AN/A356,000314,5206,223,8003,450,840
2015-12-14$0.81$0.6537.2%10.6%25.8%54.3%37.5%3.3%-1.0%7.3M-259.8M-794.1K2.3710.53N/AN/A232,280551,3606,222,3603,351,440
2015-12-15$0.82$0.6535.4%10.1%25.6%47.4%36.0%3.1%-2.4%7.1M-284.5M-790.3K0.979.99N/AN/A400,440389,5206,233,8803,577,400
2015-12-16$0.83$0.6534.7%10.0%25.6%45.0%34.8%2.4%-2.9%7.7M-299.2M-772.2K0.6727.96N/AN/A456,240307,8806,371,5603,672,040
2015-12-17$0.82$0.6534.0%9.8%25.8%42.3%35.6%2.7%-2.1%6.6M-273.1M-774.0K1.1212.06N/AN/A353,320396,3206,415,0403,719,000
2015-12-18$0.81$0.6533.8%9.8%26.6%41.7%35.2%2.2%-1.5%7.4M-246.7M-768.6K0.9011.86N/AN/A609,400545,7206,320,5203,828,720
2015-12-21$0.82$0.6833.5%9.7%27.2%40.2%33.8%3.1%-1.6%7.1M-205.1M-773.8K0.8812.53N/AN/A388,000340,2005,216,3602,667,760
2015-12-22$0.82$0.6831.5%9.4%26.5%33.0%33.6%2.5%-0.6%7.4M-209.9M-775.4K1.5714.00N/AN/A316,800496,7205,302,6802,783,040
2015-12-23$0.83$0.6831.3%8.8%26.4%32.2%31.6%4.5%-0.4%7.2M-218.9M-777.9K0.6115.37N/AN/A551,240336,6005,410,8003,035,400
2015-12-24$0.83$0.7030.7%8.9%26.4%30.1%31.5%1.6%-0.1%9.4M-229.0M-771.2K0.8412.37N/AN/A539,000453,6805,314,5203,097,400
2015-12-28$0.83$0.7030.9%9.7%26.4%30.9%34.3%3.4%-0.9%8.3M-219.8M-739.2K1.2019.94N/AN/A251,040302,4405,230,7602,839,320
2015-12-29$0.84$0.7032.3%10.7%26.7%36.0%37.3%3.1%-1.1%8.9M-253.1M-752.3K0.3917.95N/AN/A666,600258,7205,332,4402,889,640
2015-12-30$0.84$0.7031.6%9.7%24.6%33.2%34.7%2.9%-2.4%10.3M-252.0M-758.6K0.6614.15N/AN/A458,960303,3205,508,8402,952,520
2015-12-31$0.83$0.7031.9%10.0%24.7%34.2%32.9%2.7%-1.5%10.8M-227.6M-761.2K0.4214.89N/AN/A860,440362,5605,541,5603,069,040