NVDA Options History — January 2016

In January 2016, NVDA traded between $0.68 and $0.82. ATM implied volatility averaged 43.4%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 10.3% (HV 20d: 33.1%). Max pain ranged from $0.75 to $0.80. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-01-04: Highest Volume — 1,505,160 contracts
  • 2016-01-13: Largest IV spike — 9.9% change
  • 2016-01-20: Highest IV Rank — 100.0%
  • 2016-01-20: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.73$0.68$0.82$0.81$0.73
Max Pain$0.78$0.75$0.80$0.80$0.75
ATM IV43.4%32.7%50.9%35.3%45.4%
Expected Move13.3%11.4%14.6%11.9%14.2%
HV 20d33.1%23.4%40.5%26.3%40.5%
HV 60d37.9%34.6%39.5%34.6%39.2%
IV Rank75.3%37.5%100.0%47.3%80.4%
IV Percentile89.9%51.6%100.0%69.4%95.6%
Term Structure0.5%-2.6%5.6%1.7%-2.6%
VWIV46.2%39.8%50.0%41.8%50.0%
Skew 25d5.3%2.3%8.5%5.8%4.5%
Skew 10d9.6%4.4%13.9%10.1%13.9%
Call IV 25d41.2%32.4%48.3%33.1%44.2%
Put IV 25d46.5%34.7%54.4%38.8%48.7%
Bid-Ask Spread %11.448.3514.5014.5013.52
Gamma HHI0.140.100.250.130.10
Net GEX2.8M845.6K11.0M6.7M2.0M
Net DEX-52.7M-213.2M-320.0K-157.4M-53.0M
Net VEX-726.8K-788.2K-656.5K-730.6K-788.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.201.660.310.20
Total Volume707,898.947346,0001,505,1601,505,160539,240
Total OI7,214,5205,281,0808,877,4007,967,1605,962,880

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$0.81$0.8035.3%11.9%26.3%47.3%41.8%5.8%1.7%6.7M-157.4M-730.6K0.3114.50N/AN/A1,150,840354,3205,042,8002,924,360
2016-01-05$0.82$0.8032.7%11.4%23.4%37.5%39.8%2.3%1.2%11.0M-213.2M-774.2K0.4511.02N/AN/A590,560265,4005,568,7603,017,360
2016-01-06$0.79$0.8035.5%11.7%27.8%47.7%40.8%5.2%3.0%5.9M-129.3M-749.3K0.7213.40N/AN/A515,280369,7605,529,3603,051,680
2016-01-07$0.76$0.8038.4%12.6%29.6%58.5%43.6%3.5%1.1%3.3M-70.1M-723.5K0.9313.90N/AN/A479,920444,2005,596,0403,214,960
2016-01-08$0.74$0.8038.6%12.5%29.6%59.3%42.7%2.6%4.8%2.7M-47.3M-709.0K0.9212.29N/AN/A438,880404,0005,709,6803,167,720
2016-01-11$0.74$0.8040.0%12.6%29.5%64.6%43.1%4.5%2.4%2.8M-56.6M-700.9K1.6610.13N/AN/A191,600318,4405,215,8403,073,560
2016-01-12$0.76$0.8040.1%12.5%30.3%64.9%43.7%4.9%2.9%3.3M-74.9M-715.7K0.6111.77N/AN/A603,040368,9605,264,3203,090,640
2016-01-13$0.73$0.8044.0%13.7%31.9%79.7%46.0%8.5%5.6%2.8M-43.4M-693.6K0.6111.67N/AN/A558,800339,8405,200,8803,104,600
2016-01-14$0.72$0.8044.7%13.3%31.5%82.1%45.0%5.2%2.0%2.5M-29.5M-693.9K0.969.12N/AN/A478,480458,5205,554,4403,124,760
2016-01-15$0.68$0.7846.7%14.1%35.5%89.6%48.8%6.1%3.5%845.6K-320.0K-656.5K1.1612.25N/AN/A384,240447,3205,649,3203,085,080
2016-01-19$0.69$0.7848.9%14.1%36.2%97.7%50.0%5.8%-2.5%989.8K-3.3M-684.3K1.1011.70N/AN/A260,720285,5203,351,2401,929,840
2016-01-20$0.69$0.7850.9%14.6%36.4%100.0%49.9%6.1%-2.1%1.0M-6.6M-707.0K0.6711.61N/AN/A265,920177,4003,457,7602,038,080
2016-01-21$0.70$0.7848.7%14.1%35.9%92.2%49.0%6.5%-2.1%1.4M-14.6M-728.2K1.0110.88N/AN/A172,040173,9603,567,6402,089,280
2016-01-22$0.71$0.7546.3%13.5%37.2%83.6%47.2%5.8%-2.1%1.5M-25.0M-745.6K1.3510.51N/AN/A217,320292,6803,605,8802,142,440
2016-01-25$0.71$0.7548.2%14.2%37.0%90.4%50.0%7.7%-1.3%1.1M-20.4M-754.3K1.328.80N/AN/A168,520223,1603,547,5602,277,120
2016-01-26$0.71$0.7547.1%14.1%37.2%86.6%48.3%5.6%-1.0%1.3M-24.7M-760.3K0.7510.85N/AN/A229,040171,9603,608,7202,309,880
2016-01-27$0.71$0.7546.7%14.3%37.2%85.1%48.9%6.0%-1.9%1.4M-17.9M-759.3K0.3611.14N/AN/A437,840156,2803,701,8802,333,960
2016-01-28$0.70$0.7546.1%14.1%36.0%83.0%48.2%4.6%-2.4%1.4M-14.2M-735.7K0.418.35N/AN/A367,040149,0403,649,4402,316,120
2016-01-29$0.73$0.7545.4%14.2%40.5%80.4%50.0%4.5%-2.6%2.0M-53.0M-788.2K0.2013.52N/AN/A448,08091,1603,686,5202,276,360