NVDA Options History — February 2017

In February 2017, NVDA traded between $2.50 and $2.97. ATM implied volatility averaged 41.7%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 7.6% (HV 20d: 34.1%). Max pain ranged from $2.38 to $2.63. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-02-10: Highest Volume — 15,913,360 contracts
  • 2017-02-10: Largest IV drop — 34.0% change
  • 2017-02-08: Highest IV Rank — 73.4%
  • 2017-02-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.76$2.50$2.97$2.84$2.53
Max Pain$2.51$2.38$2.63$2.63$2.63
ATM IV41.7%32.9%55.8%51.3%36.0%
Expected Move11.9%9.4%18.2%18.2%10.4%
HV 20d34.1%26.6%50.2%31.1%50.2%
HV 60d52.2%41.7%70.3%70.3%48.3%
IV Rank42.2%21.0%73.4%62.2%32.5%
IV Percentile64.5%38.9%98.0%92.5%51.2%
Term Structure-1.0%-4.0%0.6%-2.3%-0.0%
VWIV42.1%33.5%64.0%64.0%37.3%
Skew 25d0.4%-0.4%1.7%0.8%0.5%
Skew 10d0.6%-1.0%3.3%2.3%1.9%
Call IV 25d42.2%33.2%55.6%51.6%36.2%
Put IV 25d42.6%33.9%57.1%52.4%36.7%
Bid-Ask Spread %5.323.578.665.765.36
Gamma HHI0.080.050.160.070.06
Net GEX11.5M-22.2M45.1M37.1M1.7M
Net DEX-863.5M-1.64B308.0M-1.43B-113.5M
Net VEX-6.0M-7.1M-5.4M-5.4M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.571.130.660.86
Total Volume6,325,296.8423,083,04015,913,3605,268,4804,232,960
Total OI23,596,364.21119,212,76027,889,44019,930,76025,731,200

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$2.84$2.6351.3%18.2%31.1%62.2%64.0%0.8%-2.3%37.1M-1.43B-5.4M0.665.76N/AN/A3,171,8402,096,6409,980,1609,950,600
2017-02-02$2.89$2.3852.9%14.0%30.3%66.3%49.4%0.4%-2.6%45.1M-1.64B-5.5M0.574.73N/AN/A2,987,6001,704,20010,514,28010,398,560
2017-02-03$2.86$2.3852.7%14.0%28.7%65.8%49.4%0.1%-3.3%35.2M-1.53B-5.6M0.705.11N/AN/A1,810,8001,272,24011,041,08010,771,840
2017-02-06$2.92$2.3853.1%14.5%29.1%66.7%51.1%-0.0%-1.4%20.6M-1.49B-5.4M0.805.52N/AN/A2,060,0401,650,0009,764,6809,448,080
2017-02-07$2.97$2.3854.2%14.6%27.0%69.5%51.8%0.8%-2.8%22.3M-1.62B-5.6M1.044.22N/AN/A2,622,1602,723,92010,486,84010,192,680
2017-02-08$2.97$2.3855.8%15.1%26.6%73.4%53.3%1.5%-3.3%17.9M-1.55B-6.0M0.923.72N/AN/A1,835,1201,683,08011,061,20011,258,040
2017-02-09$2.90$2.3853.7%14.4%28.0%68.2%50.5%0.4%-4.0%13.3M-1.30B-6.0M1.137.79N/AN/A3,660,1204,136,80011,568,64011,831,880
2017-02-10$2.84$2.5035.4%10.3%28.0%22.5%36.9%0.4%0.6%5.7M-1.07B-5.6M0.998.66N/AN/A8,013,2407,900,12013,303,60014,033,480
2017-02-13$2.72$2.5034.8%10.0%33.1%21.0%35.7%-0.0%-0.3%-4.2M-575.5M-5.8M0.825.16N/AN/A4,134,8003,375,44011,633,60011,492,880
2017-02-14$2.71$2.5034.5%9.9%31.8%26.6%35.5%-0.4%-0.6%-5.2M-545.5M-6.0M0.704.70N/AN/A3,329,0802,333,04012,572,20012,368,720
2017-02-15$2.72$2.5033.3%9.5%31.5%23.2%34.1%-0.4%0.2%-1.2M-638.7M-6.1M0.763.88N/AN/A1,813,4401,377,88013,260,08012,908,320
2017-02-16$2.67$2.5032.9%9.4%31.2%21.9%33.5%0.7%-0.1%-22.2M-310.5M-6.0M0.803.73N/AN/A3,279,7202,609,08013,574,24013,215,800
2017-02-17$2.68$2.5033.6%9.7%30.7%24.4%34.3%-0.1%-0.1%-15.4M-394.4M-6.2M0.933.57N/AN/A3,370,6403,145,48014,317,48013,571,960
2017-02-21$2.77$2.6333.8%9.8%32.6%25.2%35.3%0.0%0.1%25.5M-1.02B-6.3M0.786.13N/AN/A2,777,7202,161,76011,064,84010,040,440
2017-02-22$2.76$2.6334.5%10.0%31.9%27.3%35.7%-0.0%0.2%30.7M-910.9M-6.5M0.616.29N/AN/A2,110,4401,281,20011,394,12010,828,560
2017-02-23$2.50$2.6337.9%11.0%48.4%39.1%38.9%1.7%0.1%-19.6M308.0M-6.0M0.815.55N/AN/A7,670,4406,220,24011,862,72011,170,920
2017-02-24$2.53$2.6336.6%10.3%48.3%34.8%36.4%0.9%0.4%7.1M8.1M-6.8M0.875.71N/AN/A5,310,4804,643,04014,209,16012,614,120
2017-02-27$2.61$2.6335.8%10.3%49.3%31.8%36.4%0.6%0.2%23.6M-584.3M-7.1M0.765.48N/AN/A3,217,7602,458,08013,093,04011,800,880
2017-02-28$2.53$2.6336.0%10.4%50.2%32.5%37.3%0.5%-0.0%1.7M-113.5M-6.9M0.865.36N/AN/A2,270,2801,962,68013,363,88012,367,320