NVDA Options History — July 2016

In July 2016, NVDA traded between $1.17 and $1.43. ATM implied volatility averaged 41.9%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 13.1% (HV 20d: 28.8%). Max pain ranged from $1.15 to $1.23. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-07-29: Highest Volume — 1,908,760 contracts
  • 2016-07-11: Largest IV spike — 17.8% change
  • 2016-07-29: Highest IV Rank — 57.7%
  • 2016-07-29: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.32$1.17$1.43$1.17$1.43
Max Pain$1.20$1.15$1.23$1.15$1.23
ATM IV41.9%29.2%49.5%29.2%49.5%
Expected Move12.6%7.9%15.9%7.9%15.9%
HV 20d28.8%21.5%32.0%28.9%23.0%
HV 60d38.6%37.7%39.2%38.1%37.7%
IV Rank38.7%6.8%57.7%6.8%57.7%
IV Percentile73.6%12.3%96.4%12.3%96.4%
Term Structure0.3%-4.1%11.7%2.2%-3.9%
VWIV45.6%29.3%56.3%29.3%56.3%
Skew 25d4.0%2.9%5.3%5.1%3.3%
Skew 10d9.5%3.5%24.6%8.0%7.7%
Call IV 25d40.4%26.3%49.0%26.3%49.0%
Put IV 25d44.4%31.4%52.3%31.4%52.3%
Bid-Ask Spread %15.698.8226.8511.3114.51
Gamma HHI0.130.080.200.080.19
Net GEX6.4M1.4M13.2M1.4M13.2M
Net DEX-451.0M-604.8M-234.1M-234.1M-604.8M
Net VEX-1.6M-1.7M-1.4M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.492.081.490.49
Total Volume1,309,392851,0801,908,760851,0801,908,760
Total OI11,600,83410,163,16013,375,64011,477,84012,185,440

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$1.17$1.1529.2%7.9%28.9%6.8%29.3%5.1%2.2%1.4M-234.1M-1.7M1.4911.31N/AN/A341,880509,2005,374,5206,103,320
2016-07-05$1.18$1.1830.6%11.7%29.2%10.4%41.6%4.6%11.7%2.0M-256.6M-1.7M1.6610.44N/AN/A381,080631,8405,159,7205,968,120
2016-07-06$1.19$1.1830.9%11.4%29.3%11.0%42.2%5.2%10.8%3.0M-274.3M-1.6M1.969.98N/AN/A347,240679,8005,236,3606,162,760
2016-07-07$1.22$1.1832.0%11.4%30.4%14.0%40.0%4.8%11.4%7.3M-350.1M-1.6M1.029.98N/AN/A600,720612,5205,285,6006,293,960
2016-07-08$1.27$1.1834.6%11.6%32.0%20.5%41.0%3.8%11.5%6.2M-462.5M-1.5M0.7110.22N/AN/A838,360595,6805,443,0806,445,040
2016-07-11$1.30$1.2040.8%12.3%30.9%35.9%44.0%5.3%-0.9%5.2M-490.6M-1.4M0.8010.33N/AN/A908,560722,3205,378,7206,426,240
2016-07-12$1.32$1.2043.2%11.7%31.0%41.8%43.9%4.4%-3.4%5.8M-519.0M-1.5M0.9815.59N/AN/A694,560680,4005,652,7606,699,320
2016-07-13$1.32$1.2044.2%11.8%31.1%44.5%44.2%4.6%-2.9%6.2M-518.7M-1.6M1.0819.07N/AN/A477,440515,4405,796,6406,895,920
2016-07-14$1.33$1.2044.7%12.1%31.1%45.7%44.5%4.5%-2.9%6.4M-539.2M-1.5M1.5821.66N/AN/A631,080999,4005,777,1206,937,560
2016-07-15$1.32$1.2044.0%11.8%31.9%44.0%42.3%3.4%-4.1%5.5M-490.5M-1.6M1.0621.49N/AN/A817,520864,0005,921,8407,453,800
2016-07-18$1.32$1.2044.3%12.4%30.8%44.7%45.2%4.0%-2.1%4.3M-392.4M-1.6M1.4326.85N/AN/A510,360727,5204,999,2405,163,920
2016-07-19$1.34$1.2044.2%12.5%30.7%44.5%45.2%3.6%-2.3%5.9M-418.8M-1.6M2.0822.79N/AN/A357,080743,1205,187,7605,317,200
2016-07-20$1.36$1.2044.4%12.7%30.5%44.8%45.8%2.9%-2.3%7.6M-451.4M-1.6M1.3421.18N/AN/A581,000780,7605,269,4005,448,560
2016-07-21$1.33$1.2344.4%12.9%31.8%44.9%47.6%3.3%-2.6%5.9M-402.7M-1.6M1.4317.68N/AN/A529,520757,4805,466,0405,613,880
2016-07-22$1.36$1.2344.3%13.0%31.8%44.8%46.9%3.3%-2.6%9.5M-478.0M-1.6M1.0217.19N/AN/A793,440812,8405,538,2005,733,760
2016-07-25$1.39$1.2346.7%14.1%23.5%50.7%50.3%3.8%-3.1%7.6M-511.0M-1.6M0.818.82N/AN/A748,520606,4005,520,7605,255,320
2016-07-26$1.42$1.2347.9%14.7%21.5%53.8%53.0%3.3%-2.8%6.8M-550.7M-1.6M0.5814.61N/AN/A873,880510,2005,759,1605,517,200
2016-07-27$1.40$1.2349.0%15.2%23.0%56.3%54.4%3.6%-2.6%7.8M-529.2M-1.7M0.6217.54N/AN/A693,720428,5606,036,1205,638,600
2016-07-28$1.41$1.2349.0%15.4%22.9%56.4%54.7%3.7%-3.3%9.8M-545.8M-1.7M0.7612.55N/AN/A555,280420,3606,252,3605,701,360
2016-07-29$1.43$1.2349.5%15.9%23.0%57.7%56.3%3.3%-3.9%13.2M-604.8M-1.7M0.4914.51N/AN/A1,281,080627,6806,415,5605,769,880