NVDA Options History — April 2017

In April 2017, NVDA traded between $2.40 and $2.71. ATM implied volatility averaged 39.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.7% (HV 20d: 33.5%). Max pain ranged from $2.50 to $2.63. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-04-04: Highest Volume — 10,775,920 contracts
  • 2017-04-10: Largest IV spike — 18.5% change
  • 2017-04-18: Highest IV Rank — 62.0%
  • 2017-04-28: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.53$2.40$2.71$2.71$2.61
Max Pain$2.60$2.50$2.63$2.58$2.63
ATM IV39.2%30.1%44.6%30.1%40.1%
Expected Move11.6%8.2%12.9%8.2%12.9%
HV 20d33.5%21.1%35.7%21.1%33.3%
HV 60d37.8%35.8%39.0%35.8%36.9%
IV Rank43.4%12.3%62.0%12.3%46.4%
IV Percentile56.6%18.7%76.2%18.7%59.5%
Term Structure1.3%-4.5%12.1%11.9%-3.1%
VWIV40.8%29.0%45.6%29.0%45.6%
Skew 25d0.5%-0.8%2.0%0.7%0.5%
Skew 10d0.8%-3.5%8.6%5.6%0.3%
Call IV 25d39.1%28.9%45.7%30.1%41.1%
Put IV 25d39.6%30.5%44.9%30.7%41.6%
Bid-Ask Spread %5.393.6317.266.123.79
Gamma HHI0.090.060.180.100.11
Net GEX951.2K-59.2M43.0M30.7M28.6M
Net DEX-185.5M-973.6M715.9M-973.6M-721.0M
Net VEX-7.9M-8.3M-7.0M-7.2M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.530.970.660.90
Total Volume4,365,983.1581,090,44010,775,9203,463,9203,146,080
Total OI28,116,473.68423,023,24032,603,08023,023,24027,549,360

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$2.71$2.5830.1%8.2%21.1%12.3%29.0%0.7%11.9%30.7M-973.6M-7.2M0.666.12N/AN/A2,090,4401,373,48011,631,16011,392,080
2017-04-04$2.52$2.5832.5%9.1%35.6%20.5%32.3%2.0%9.3%-22.6M115.1M-7.0M0.684.35N/AN/A6,417,0804,358,84012,205,96012,060,880
2017-04-05$2.50$2.5533.0%8.8%35.7%22.4%30.9%1.7%8.7%-18.5M125.5M-7.5M0.855.58N/AN/A3,411,5202,914,04013,582,64013,198,640
2017-04-06$2.52$2.5031.4%11.6%35.7%16.9%40.6%1.6%12.1%-18.0M54.1M-7.7M0.904.11N/AN/A2,903,8402,612,48014,197,00013,890,040
2017-04-07$2.51$2.5035.0%11.8%35.7%29.0%41.4%0.9%11.8%-26.9M65.1M-7.7M0.924.59N/AN/A2,005,3601,839,52014,485,32014,097,840
2017-04-10$2.45$2.5041.4%12.0%35.5%51.0%42.1%1.7%-2.7%-22.2M262.1M-7.5M0.954.22N/AN/A3,869,8003,689,96012,718,76013,058,920
2017-04-11$2.44$2.6343.5%11.8%35.5%58.3%41.7%1.3%-4.5%-26.5M386.7M-8.1M0.864.00N/AN/A2,606,6802,249,60014,344,72014,920,160
2017-04-12$2.43$2.6343.6%12.1%35.2%58.6%42.2%1.3%-1.0%-31.0M449.0M-8.1M0.753.63N/AN/A1,555,1601,172,68014,776,64015,189,840
2017-04-13$2.40$2.6342.3%11.8%35.2%53.9%41.5%0.9%-1.4%-59.2M715.9M-7.8M0.973.93N/AN/A2,033,0401,979,08015,081,16015,395,640
2017-04-17$2.42$2.6343.2%12.3%34.4%57.1%43.2%0.5%-1.2%-19.6M411.0M-7.8M0.7017.26N/AN/A640,280450,16014,321,92014,698,280
2017-04-18$2.48$2.6344.6%12.7%33.4%62.0%45.0%-0.7%-1.1%4.8M-53.8M-8.3M0.874.20N/AN/A1,473,6801,283,84015,266,16015,235,240
2017-04-19$2.49$2.6344.4%12.7%32.3%61.3%45.1%-0.8%-2.6%10.1M-101.3M-8.2M0.753.73N/AN/A2,093,1601,566,84015,505,52015,606,920
2017-04-20$2.53$2.6342.0%12.2%32.5%52.9%42.9%-0.2%-2.1%33.7M-514.9M-8.0M0.624.75N/AN/A3,162,1201,950,88015,736,32015,791,480
2017-04-21$2.54$2.6341.7%12.1%32.6%52.0%42.6%-0.1%-1.3%41.6M-658.5M-8.1M0.847.05N/AN/A2,967,8402,489,64016,583,28016,019,800
2017-04-24$2.58$2.6338.7%11.5%33.0%41.9%40.5%-0.8%-1.9%14.4M-578.5M-8.1M0.684.54N/AN/A1,942,8401,326,04012,643,40013,054,360
2017-04-25$2.61$2.6338.2%11.9%33.3%40.0%41.6%-0.7%-2.2%28.7M-800.2M-8.1M0.534.84N/AN/A2,567,2001,356,64012,864,68013,318,880
2017-04-26$2.61$2.6338.8%12.0%33.3%42.0%42.5%0.4%-2.2%27.2M-741.2M-8.1M0.653.87N/AN/A1,446,920946,20013,220,60013,564,080
2017-04-27$2.64$2.6339.7%12.5%33.7%45.3%44.2%-0.6%-2.5%43.0M-965.8M-8.1M0.717.75N/AN/A1,789,3201,271,40013,344,84013,660,480
2017-04-28$2.61$2.6340.1%12.9%33.3%46.4%45.6%0.5%-3.1%28.6M-721.0M-8.1M0.903.79N/AN/A1,658,6401,487,44013,510,96014,038,400