NVDA Options History — July 2017 In July 2017, NVDA traded between $3.48 and $4.20. ATM implied volatility averaged 50.9%, placing in the 83.3% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 11.1% (HV 20d: 39.8%). Max pain ranged from $3.63 to $3.88. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.69.
Notable Days 2017-07-13 : Highest Volume — 14,816,800 contracts2017-07-10 : Largest IV spike — 12.1% change2017-07-18 : Highest IV Rank — 98.7%2017-07-31 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $3.98 $3.48 $4.20 $3.48 $4.08 Max Pain $3.76 $3.63 $3.88 $3.63 $3.88 ATM IV 50.9% 42.1% 55.4% 43.3% 51.7% Expected Move 15.2% 12.0% 17.1% 12.3% 17.1% HV 20d 39.8% 35.6% 46.3% 45.0% 35.6% HV 60d 50.2% 49.2% 50.5% 49.4% 50.4% IV Rank 83.3% 53.1% 98.7% 57.4% 85.9% IV Percentile 88.6% 61.5% 99.2% 65.9% 88.5% Term Structure 0.3% -3.0% 9.1% 8.2% -3.0% VWIV 53.5% 42.4% 59.8% 43.3% 59.8% Skew 25d -0.0% -1.8% 2.1% 2.0% 1.2% Skew 10d 0.0% -4.2% 3.9% 3.8% 1.6% Call IV 25d 51.4% 42.0% 56.5% 42.7% 50.4% Put IV 25d 51.4% 42.8% 56.2% 44.7% 51.6% Bid-Ask Spread % 4.43 2.64 8.11 5.24 6.24 Gamma HHI 0.09 0.05 0.25 0.05 0.06 Net GEX 50.0M -18.1M 112.6M -18.1M 29.2M Net DEX -2.79B -4.16B -436.4M -436.4M -2.40B Net VEX -13.5M -13.9M -13.1M -13.1M -13.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.53 0.90 0.84 0.69 Total Volume 6,840,326 3,439,560 14,816,800 5,097,280 4,344,000 Total OI 33,899,738 30,292,320 37,916,440 30,908,080 31,031,360
Daily Data (20 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 2017-07-03 $3.48 $3.63 43.3% 12.3% 45.0% 57.4% 43.3% 2.0% 8.2% -18.1M -436.4M -13.1M 0.84 5.24 N/A N/A 2,769,840 2,327,440 14,882,760 16,025,320 2017-07-05 $3.58 $3.63 42.1% 12.0% 46.3% 53.1% 42.4% 1.3% 8.1% -1.3M -962.2M -13.1M 0.83 3.36 N/A N/A 2,789,200 2,308,280 15,499,800 16,336,000 2017-07-06 $3.58 $3.75 44.2% 14.7% 46.0% 60.4% 51.9% 1.6% 9.1% -683.2K -935.2M -13.4M 0.90 5.12 N/A N/A 3,263,600 2,928,640 16,100,560 16,775,520 2017-07-07 $3.66 $3.63 45.5% 14.6% 39.5% 64.7% 51.4% 0.0% 8.9% 66.3M -1.56B -13.6M 0.82 2.94 N/A N/A 3,501,280 2,855,680 16,766,360 17,479,840 2017-07-10 $3.84 $3.63 51.0% 15.3% 37.5% 83.5% 53.9% -0.7% -0.0% 40.3M -2.45B -13.5M 0.53 3.97 N/A N/A 5,004,280 2,647,960 15,420,040 16,328,680 2017-07-11 $3.90 $3.63 52.1% 15.2% 37.8% 87.3% 53.3% -0.0% -0.7% 66.2M -2.93B -13.7M 0.70 2.92 N/A N/A 3,521,080 2,470,320 16,579,880 17,073,920 2017-07-12 $4.07 $3.75 53.8% 15.5% 40.3% 93.0% 54.7% -1.8% 0.5% 71.8M -3.91B -13.5M 0.69 4.20 N/A N/A 6,581,080 4,558,120 16,780,400 17,570,280 2017-07-13 $4.02 $3.75 52.3% 14.9% 40.6% 88.0% 52.9% -0.2% -0.4% 62.3M -3.46B -13.8M 0.62 4.85 N/A N/A 9,134,760 5,682,040 17,674,360 18,590,960 2017-07-14 $4.12 $3.75 52.7% 15.0% 41.2% 89.4% 53.3% -1.1% -0.5% 112.6M -4.14B -13.5M 0.66 8.11 N/A N/A 6,310,480 4,167,520 18,522,920 19,337,440 2017-07-17 $4.12 $3.75 53.5% 15.2% 41.2% 92.1% 53.6% -1.2% -2.4% 60.9M -3.66B -13.5M 0.68 6.51 N/A N/A 4,345,360 2,939,400 17,015,640 17,691,800 2017-07-18 $4.14 $3.75 55.4% 15.9% 39.8% 98.7% 55.8% -0.8% -2.4% 68.0M -3.78B -13.6M 0.68 4.16 N/A N/A 3,741,120 2,525,840 17,600,280 18,422,040 2017-07-19 $4.14 $3.75 52.7% 15.1% 39.8% 89.4% 53.1% -1.6% -2.7% 67.0M -3.78B -13.6M 0.73 5.98 N/A N/A 2,943,200 2,151,960 17,866,600 19,009,760 2017-07-20 $4.18 $3.75 53.2% 15.4% 39.9% 91.2% 54.1% -0.9% -3.0% 76.7M -4.00B -13.4M 0.67 3.30 N/A N/A 3,509,000 2,341,320 17,981,640 19,340,840 2017-07-21 $4.20 $3.75 53.0% 15.4% 39.8% 90.5% 54.4% -0.9% -2.4% 100.0M -4.16B -13.4M 0.53 5.02 N/A N/A 4,646,000 2,485,120 18,333,360 19,583,080 2017-07-24 $4.16 $3.88 53.2% 16.0% 38.8% 91.2% 56.4% -0.9% -2.3% 42.5M -2.88B -13.4M 0.64 2.64 N/A N/A 2,387,520 1,536,080 14,607,960 15,684,360 2017-07-25 $4.13 $3.88 51.6% 15.6% 38.1% 85.8% 54.9% -0.1% -2.2% 39.2M -2.73B -13.5M 0.58 2.95 N/A N/A 2,175,280 1,264,280 15,032,160 16,169,000 2017-07-26 $4.17 $3.88 51.9% 15.6% 35.7% 86.8% 55.0% -0.5% -2.1% 63.2M -2.98B -13.5M 0.57 3.01 N/A N/A 3,867,120 2,189,400 15,658,520 16,419,520 2017-07-27 $4.04 $3.88 54.1% 16.9% 37.3% 94.4% 59.1% 2.1% -2.5% 12.7M -2.14B -13.9M 0.74 3.77 N/A N/A 4,872,240 3,624,320 15,998,480 16,735,880 2017-07-28 $4.10 $3.88 50.8% 15.9% 35.9% 83.0% 56.2% 2.1% -2.4% 41.6M -2.59B -13.8M 0.78 4.24 N/A N/A 3,422,520 2,673,840 16,665,720 17,401,720 2017-07-31 $4.08 $3.88 51.7% 17.1% 35.6% 85.9% 59.8% 1.2% -3.0% 29.2M -2.40B -13.8M 0.69 6.24 N/A N/A 2,568,480 1,775,520 14,789,960 16,241,400
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