NVDA Options History — June 2017 In June 2017, NVDA traded between $3.59 and $3.98. ATM implied volatility averaged 39.3%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 7.9% (HV 20d: 47.2%). Max pain ranged from $3.00 to $3.63. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2017-06-09 : Highest Volume — 34,989,880 contracts2017-06-09 : Largest IV spike — 30.8% change2017-06-09 : Highest IV Rank — 81.1%2017-06-09 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.78 $3.59 $3.98 $3.60 $3.64 Max Pain $3.49 $3.00 $3.63 $3.00 $3.63 ATM IV 39.3% 32.3% 50.2% 34.0% 40.5% Expected Move 11.2% 8.8% 13.3% 9.6% 11.5% HV 20d 47.2% 37.9% 66.1% 66.1% 43.8% HV 60d 48.7% 46.1% 50.7% 46.1% 48.3% IV Rank 43.7% 19.7% 81.1% 25.5% 47.7% IV Percentile 55.3% 28.6% 90.1% 36.5% 59.1% Term Structure 0.3% -1.6% 1.7% -1.1% 0.1% VWIV 39.7% 31.3% 47.1% 34.1% 40.7% Skew 25d 0.5% -0.3% 1.8% -0.1% 1.8% Skew 10d 0.9% -1.8% 3.4% -1.0% 3.4% Call IV 25d 39.7% 33.1% 50.6% 34.7% 40.3% Put IV 25d 40.2% 33.2% 50.5% 34.6% 42.1% Bid-Ask Spread % 6.49 2.49 20.99 6.13 4.61 Gamma HHI 0.09 0.04 0.20 0.12 0.11 Net GEX 36.0M -38.1M 90.3M 66.9M -38.1M Net DEX -2.67B -4.48B -936.7M -3.02B -936.7M Net VEX -11.9M -13.4M -9.1M -9.6M -13.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.62 1.07 0.82 1.07 Total Volume 8,826,110.909 3,594,760 34,989,880 5,395,720 6,786,920 Total OI 33,688,378.182 28,912,400 41,717,760 32,531,520 34,497,320
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 2017-06-01 $3.60 $3.00 34.0% 9.6% 66.1% 25.5% 34.1% -0.1% -1.1% 66.9M -3.02B -9.6M 0.82 6.13 N/A N/A 2,961,960 2,433,760 15,138,200 17,393,320 2017-06-02 $3.59 $3.00 32.3% 8.8% 66.0% 19.7% 31.3% 0.1% -0.4% 90.3M -2.95B -9.5M 0.62 7.48 N/A N/A 3,503,240 2,184,640 15,523,400 18,100,120 2017-06-05 $3.70 $3.25 32.9% 9.5% 65.9% 21.7% 33.6% 0.1% 0.4% 60.2M -3.28B -9.1M 0.71 2.52 N/A N/A 4,477,040 3,191,120 13,765,280 16,379,520 2017-06-06 $3.68 $3.38 33.6% 9.6% 65.5% 24.2% 33.9% 0.2% 0.0% 55.5M -3.09B -9.5M 0.73 7.01 N/A N/A 4,032,640 2,933,360 14,254,600 17,269,080 2017-06-07 $3.73 $3.38 33.0% 9.9% 65.5% 22.0% 34.9% 0.3% 0.3% 67.8M -3.32B -9.7M 0.88 3.63 N/A N/A 2,757,600 2,433,200 14,623,520 17,927,160 2017-06-08 $3.98 $3.38 38.4% 11.0% 41.6% 40.7% 38.8% -0.3% -0.1% 53.5M -4.48B -9.2M 0.65 4.95 N/A N/A 8,915,760 5,831,360 14,907,480 18,427,960 2017-06-09 $3.74 $3.50 50.2% 13.3% 47.9% 81.1% 47.1% -0.0% -1.6% 38.5M -2.85B -11.3M 0.86 20.99 N/A N/A 18,770,200 16,219,680 15,860,360 20,124,520 2017-06-12 $3.74 $3.50 45.5% 12.9% 47.9% 64.7% 45.7% 0.6% -0.5% 14.8M -2.61B -12.3M 0.71 7.12 N/A N/A 6,419,320 4,530,200 16,442,120 19,643,520 2017-06-13 $3.80 $3.50 44.7% 12.7% 45.7% 62.2% 44.6% 1.1% -0.4% 36.3M -3.09B -12.5M 0.73 6.33 N/A N/A 6,711,800 4,878,720 17,638,520 20,463,760 2017-06-14 $3.77 $3.50 44.0% 12.5% 45.6% 59.5% 44.4% 0.9% -0.2% 36.1M -3.02B -13.0M 0.72 5.97 N/A N/A 5,435,160 3,935,480 18,496,640 21,344,880 2017-06-15 $3.80 $3.50 42.7% 12.4% 38.9% 55.2% 43.8% 1.1% 0.9% 47.0M -3.21B -13.1M 0.78 8.42 N/A N/A 4,712,520 3,687,960 19,058,400 21,891,960 2017-06-16 $3.80 $3.63 41.4% 12.0% 38.0% 50.7% 42.7% 0.8% 1.0% 49.3M -3.19B -13.0M 0.73 8.93 N/A N/A 4,291,240 3,137,200 19,271,400 22,446,360 2017-06-19 $3.92 $3.63 38.0% 10.9% 38.9% 39.2% 38.8% 0.1% 1.2% 45.3M -2.75B -12.3M 0.77 3.35 N/A N/A 3,231,240 2,497,760 14,035,520 14,876,880 2017-06-20 $3.94 $3.63 40.0% 11.5% 38.5% 46.2% 40.5% 0.6% 0.6% 44.6M -2.79B -12.6M 0.69 5.21 N/A N/A 4,345,080 3,001,520 14,519,160 15,563,600 2017-06-21 $3.98 $3.63 39.3% 11.3% 37.9% 43.5% 39.7% -0.0% 0.4% 51.7M -2.93B -12.7M 0.72 2.49 N/A N/A 2,828,760 2,031,480 15,023,320 16,263,320 2017-06-22 $3.96 $3.63 37.5% 10.7% 38.1% 37.4% 38.0% 0.2% 0.7% 56.9M -2.87B -12.6M 0.81 5.15 N/A N/A 1,988,960 1,605,800 15,422,040 16,626,800 2017-06-23 $3.87 $3.63 38.2% 10.9% 39.6% 40.0% 38.7% 0.0% 0.5% 9.1M -2.20B -12.9M 0.79 8.80 N/A N/A 4,635,480 3,677,760 15,627,920 16,819,560 2017-06-26 $3.80 $3.63 38.5% 10.9% 40.0% 40.7% 38.9% 0.3% 1.7% 11.6M -1.85B -12.7M 0.78 3.05 N/A N/A 4,142,200 3,249,400 14,115,600 15,111,280 2017-06-27 $3.68 $3.63 39.2% 11.5% 41.3% 43.2% 41.0% 0.8% 1.6% -7.9M -1.22B -13.1M 0.83 6.02 N/A N/A 3,606,440 2,976,360 15,044,480 15,888,440 2017-06-28 $3.78 $3.63 39.0% 11.2% 42.3% 42.5% 39.6% 0.3% 1.1% 18.4M -1.86B -13.1M 0.75 6.36 N/A N/A 3,755,840 2,828,800 15,619,960 16,519,880 2017-06-29 $3.68 $3.63 42.3% 12.0% 43.6% 53.8% 42.6% 1.2% 1.3% -16.8M -1.18B -13.4M 0.77 8.15 N/A N/A 4,860,680 3,738,800 16,101,800 17,075,360 2017-06-30 $3.64 $3.63 40.5% 11.5% 43.8% 47.7% 40.7% 1.8% 0.1% -38.1M -936.7M -13.4M 1.07 4.61 N/A N/A 3,282,760 3,504,160 16,924,320 17,573,000
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