NVDA Options History — February 2016

In February 2016, NVDA traded between $0.63 and $0.80. ATM implied volatility averaged 47.9%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 1.4% (HV 20d: 46.5%). Max pain ranged from $0.68 to $0.72. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2016-02-17: Highest Volume — 2,481,920 contracts
  • 2016-02-18: Largest IV drop — 29.6% change
  • 2016-02-05: Highest IV Rank — 100.0%
  • 2016-02-12: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.72$0.63$0.80$0.73$0.79
Max Pain$0.70$0.68$0.72$0.72$0.72
ATM IV47.9%33.4%66.4%46.6%33.4%
Expected Move13.7%9.7%18.0%15.3%9.7%
HV 20d46.5%38.7%53.0%40.6%50.8%
HV 60d37.7%31.2%40.6%39.2%40.0%
IV Rank67.2%24.6%100.0%84.8%24.6%
IV Percentile82.3%47.2%100.0%96.4%47.2%
Term Structure-2.2%-5.9%-0.2%-2.2%-0.2%
VWIV48.2%34.1%62.8%53.1%34.1%
Skew 25d5.3%3.5%7.8%5.0%3.7%
Skew 10d10.4%7.0%19.3%10.8%7.8%
Call IV 25d45.6%31.8%64.6%44.1%31.8%
Put IV 25d51.0%35.5%71.4%49.2%35.5%
Bid-Ask Spread %12.248.0316.759.9512.83
Gamma HHI0.120.090.250.100.11
Net GEX2.2M-386.7K6.3M2.3M3.1M
Net DEX-69.4M-186.1M26.8M-62.3M-116.2M
Net VEX-803.7K-872.0K-694.8K-797.0K-858.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.282.520.520.82
Total Volume937,910405,3602,481,920422,360486,800
Total OI7,334,7426,089,0009,600,5606,089,0006,491,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$0.73$0.7246.6%15.3%40.6%84.8%53.1%5.0%-2.2%2.3M-62.3M-797.0K0.529.95N/AN/A277,480144,8803,847,8402,241,160
2016-02-02$0.70$0.7249.4%16.4%42.3%94.5%55.1%6.0%-2.3%1.4M-32.7M-780.2K0.3910.40N/AN/A497,240193,6803,954,6802,277,400
2016-02-03$0.70$0.7249.4%16.7%41.2%94.5%56.2%5.4%-3.0%1.6M-36.5M-798.0K0.4311.62N/AN/A346,920150,8004,095,2402,349,360
2016-02-04$0.70$0.7049.5%13.0%38.7%95.0%46.9%5.5%-2.5%1.6M-36.8M-791.0K0.728.03N/AN/A250,880181,8404,107,2402,341,800
2016-02-05$0.66$0.7056.9%14.9%42.9%100.0%52.2%6.3%-3.3%1.1M1.1M-730.4K2.5213.62N/AN/A284,680717,7604,215,8402,370,880
2016-02-08$0.63$0.7062.4%16.6%44.5%100.0%58.4%6.2%-3.0%261.0K23.2M-694.8K1.2715.68N/AN/A317,680404,9604,214,4402,620,680
2016-02-09$0.64$0.7062.5%16.8%44.6%100.0%57.9%6.6%-3.1%-89.0K23.8M-727.6K0.8013.64N/AN/A334,840267,8804,352,4002,931,160
2016-02-10$0.64$0.7061.2%16.4%43.8%96.7%56.4%6.9%-3.9%-46.6K25.8M-724.4K1.2813.90N/AN/A267,240343,1204,494,8402,998,400
2016-02-11$0.63$0.7061.5%16.8%42.9%97.7%57.5%7.8%-3.1%-386.7K26.8M-732.0K0.7811.44N/AN/A227,160178,2004,607,7203,100,240
2016-02-12$0.64$0.7066.4%18.0%43.1%100.0%62.8%6.8%-5.9%577.4K9.6M-762.2K1.3315.38N/AN/A986,9601,312,1204,712,1203,116,520
2016-02-16$0.67$0.6856.5%16.0%42.7%77.5%57.7%6.6%-2.3%1.8M-36.2M-828.7K0.2810.95N/AN/A1,563,320436,7605,267,4003,508,960
2016-02-17$0.69$0.6854.9%15.7%43.6%73.6%54.6%5.5%-2.0%2.7M-69.0M-849.1K0.5616.75N/AN/A1,595,360886,5605,373,3203,414,240
2016-02-18$0.75$0.6838.6%11.1%52.3%36.5%40.1%4.3%-1.0%6.3M-186.1M-845.4K0.5014.39N/AN/A1,230,200620,2805,797,3603,803,200
2016-02-19$0.76$0.7036.8%10.7%52.3%32.4%37.2%4.2%-1.0%5.0M-180.8M-845.0K0.3510.02N/AN/A761,680262,8805,602,3203,994,400
2016-02-22$0.79$0.7035.6%10.3%53.0%29.5%37.0%3.8%-0.8%2.9M-143.3M-849.3K0.3712.17N/AN/A618,440226,8803,834,9602,703,160
2016-02-23$0.79$0.7034.6%10.2%52.9%27.3%37.1%3.8%-0.8%3.5M-149.1M-854.1K1.1010.01N/AN/A289,720319,8404,005,7202,770,560
2016-02-24$0.79$0.7034.8%10.3%52.9%27.7%36.9%3.5%-1.0%3.4M-150.4M-866.6K0.8215.33N/AN/A317,920259,8404,066,5202,863,760
2016-02-25$0.80$0.7034.4%9.9%52.5%26.9%35.6%3.9%-1.0%3.6M-150.3M-868.1K0.618.26N/AN/A320,400196,2004,143,6802,916,160
2016-02-26$0.79$0.7033.6%9.8%52.5%25.1%37.4%4.6%-0.9%2.9M-147.8M-872.0K0.6510.36N/AN/A411,440267,3604,256,2802,931,120
2016-02-29$0.79$0.7233.4%9.7%50.8%24.6%34.1%3.7%-0.2%3.1M-116.2M-858.5K0.8212.83N/AN/A267,320219,4803,764,0402,727,720