NVDA Options History — May 2017 In May 2017, NVDA traded between $2.56 and $3.61. ATM implied volatility averaged 38.6%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 15.0% (HV 20d: 53.6%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2017-05-11 : Highest Volume — 19,854,680 contracts2017-05-10 : Largest IV drop — 26.1% change2017-05-08 : Highest IV Rank — 70.4%2017-05-03 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.13 $2.56 $3.61 $2.67 $3.59 Max Pain $2.69 $2.50 $3.00 $2.63 $3.00 ATM IV 38.6% 33.4% 47.1% 44.6% 34.8% Expected Move 11.2% 9.3% 16.5% 15.2% 9.7% HV 20d 53.6% 22.7% 68.7% 34.4% 65.9% HV 60d 45.0% 36.9% 52.2% 37.1% 46.1% IV Rank 41.5% 23.3% 70.4% 61.8% 28.4% IV Percentile 56.3% 35.7% 80.2% 75.8% 43.3% Term Structure -1.0% -3.5% 0.9% -2.3% -0.8% VWIV 39.6% 33.1% 58.3% 53.3% 34.1% Skew 25d 0.7% -1.0% 3.8% -0.3% -0.2% Skew 10d 1.1% -1.5% 6.4% 2.1% -1.2% Call IV 25d 38.8% 33.8% 46.6% 43.4% 35.4% Put IV 25d 39.5% 33.7% 49.7% 43.1% 35.2% Bid-Ask Spread % 6.37 3.86 21.96 3.86 5.98 Gamma HHI 0.10 0.05 0.30 0.07 0.10 Net GEX 49.3M -4.1M 131.0M 22.1M 59.1M Net DEX -2.35B -4.14B -255.0M -922.3M -3.00B Net VEX -8.3M -9.5M -6.7M -8.1M -9.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.43 1.13 0.70 0.68 Total Volume 8,401,254.545 1,680,280 19,854,680 3,708,360 7,583,080 Total OI 31,686,300 25,915,040 39,441,920 25,915,040 31,417,680
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-05-01 $2.67 $2.63 44.6% 15.2% 34.4% 61.8% 53.3% -0.3% -2.3% 22.1M -922.3M -8.1M 0.70 3.86 N/A N/A 2,179,520 1,528,840 12,622,520 13,292,520 2017-05-02 $2.58 $2.63 45.4% 16.2% 36.3% 64.6% 56.7% 1.2% -1.9% 3.7M -436.0M -8.3M 1.05 3.96 N/A N/A 2,660,880 2,781,480 13,257,440 13,915,040 2017-05-03 $2.60 $2.63 45.5% 16.5% 24.1% 64.9% 58.3% 1.0% -2.5% 9.1M -532.9M -8.5M 0.71 7.38 N/A N/A 1,613,520 1,150,400 13,851,680 15,254,840 2017-05-04 $2.59 $2.50 45.1% 11.7% 24.0% 63.5% 41.4% 2.0% -2.8% 6.3M -469.9M -8.5M 0.87 4.09 N/A N/A 900,480 779,800 14,224,400 15,567,760 2017-05-05 $2.59 $2.50 46.1% 11.9% 24.0% 67.1% 43.3% 3.1% -3.3% 13.2M -439.8M -8.4M 0.77 4.38 N/A N/A 1,819,920 1,395,320 14,282,280 15,775,920 2017-05-08 $2.56 $2.50 47.1% 12.2% 24.5% 70.4% 43.7% 3.8% -3.5% -4.1M -255.0M -8.1M 1.13 7.71 N/A N/A 1,549,040 1,757,800 13,090,640 14,835,080 2017-05-09 $2.58 $2.50 45.6% 12.1% 22.7% 65.3% 42.5% 2.4% -2.6% -2.9M -359.0M -8.2M 0.80 21.96 N/A N/A 5,216,360 4,151,320 13,556,360 15,645,040 2017-05-10 $3.04 $2.50 33.7% 9.4% 61.4% 24.7% 33.6% -0.4% -0.6% 82.4M -3.43B -6.7M 0.62 5.74 N/A N/A 12,227,120 7,556,640 15,945,920 18,014,640 2017-05-11 $3.18 $2.50 35.2% 9.8% 62.2% 29.7% 35.0% 0.5% -0.1% 63.1M -4.03B -7.1M 0.49 6.44 N/A N/A 13,332,440 6,522,240 16,930,120 19,648,080 2017-05-12 $3.19 $2.63 33.6% 9.6% 61.4% 24.2% 34.0% -0.6% -0.3% 78.8M -3.91B -7.6M 0.63 6.86 N/A N/A 6,341,440 3,998,360 18,249,440 21,192,480 2017-05-15 $3.35 $2.63 35.3% 10.2% 62.5% 30.3% 35.6% -1.0% 0.1% 52.8M -3.86B -7.2M 0.69 4.16 N/A N/A 6,438,600 4,433,240 15,480,000 16,865,880 2017-05-16 $3.41 $2.63 34.7% 9.9% 62.4% 28.1% 35.4% -0.6% 0.9% 55.8M -4.14B -7.8M 0.69 4.08 N/A N/A 5,580,800 3,876,960 16,740,840 18,598,160 2017-05-17 $3.22 $2.75 36.7% 10.5% 67.7% 34.8% 37.2% 1.4% -0.3% 10.0M -2.73B -8.6M 0.90 6.82 N/A N/A 5,847,200 5,254,760 17,017,720 19,731,920 2017-05-18 $3.32 $2.63 37.9% 10.9% 68.0% 38.8% 38.6% 1.4% -0.7% 49.7M -3.53B -8.6M 0.45 4.85 N/A N/A 7,605,480 3,411,960 17,866,840 20,009,160 2017-05-19 $3.39 $2.75 37.4% 10.8% 68.0% 37.3% 38.2% 0.0% -1.0% 131.0M -2.76B -8.6M 0.43 4.23 N/A N/A 8,310,840 3,597,840 14,495,840 20,574,760 2017-05-22 $3.46 $2.75 36.5% 10.3% 68.0% 34.2% 36.4% 0.5% 0.1% 67.3M -2.75B -8.8M 0.63 4.94 N/A N/A 3,929,440 2,461,560 13,591,280 14,297,240 2017-05-23 $3.42 $2.88 35.1% 10.0% 68.7% 29.2% 35.4% 0.2% 0.5% 59.0M -2.51B -8.9M 0.55 4.05 N/A N/A 3,872,720 2,147,680 14,030,520 15,114,160 2017-05-24 $3.46 $2.88 34.4% 9.8% 68.4% 27.0% 34.4% 0.4% -0.0% 70.5M -2.72B -8.7M 0.66 3.87 N/A N/A 3,744,560 2,471,480 14,181,520 15,619,680 2017-05-25 $3.46 $2.88 33.4% 9.3% 68.7% 23.3% 33.1% 0.1% 0.3% 70.0M -2.63B -8.9M 0.69 4.17 N/A N/A 3,963,360 2,726,600 14,737,080 16,280,760 2017-05-26 $3.53 $2.88 34.8% 9.5% 68.0% 28.3% 33.7% -0.4% 0.4% 123.0M -3.17B -8.9M 0.51 14.82 N/A N/A 6,630,400 3,379,760 14,932,040 16,909,400 2017-05-30 $3.61 $3.00 37.2% 10.5% 68.0% 36.5% 37.1% 0.0% -1.8% 65.4M -3.14B -9.2M 0.72 5.83 N/A N/A 4,715,480 3,380,880 13,850,680 15,603,240 2017-05-31 $3.59 $3.00 34.8% 9.7% 65.9% 28.4% 34.1% -0.2% -0.8% 59.1M -3.00B -9.5M 0.68 5.98 N/A N/A 4,518,240 3,064,840 14,635,800 16,781,880
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