NVDA Options History — August 2017 In August 2017, NVDA traded between $3.88 and $4.30. ATM implied volatility averaged 41.1%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 2.6% (HV 20d: 38.5%). Max pain ranged from $3.50 to $3.88. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.71.
Notable Days 2017-08-11 : Highest Volume — 16,723,920 contracts2017-08-11 : Largest IV drop — 29.3% change2017-08-10 : Highest IV Rank — 100.0%2017-08-02 : Largest Expected Move — 17.2%Monthly Statistics Metric Avg Min Max Open Close Price $4.13 $3.88 $4.30 $4.10 $4.23 Max Pain $3.68 $3.50 $3.88 $3.88 $3.88 ATM IV 41.1% 30.6% 57.8% 50.2% 30.6% Expected Move 11.7% 8.2% 17.2% 17.0% 8.2% HV 20d 38.5% 22.6% 46.5% 30.4% 45.3% HV 60d 41.3% 37.0% 50.4% 50.4% 40.8% IV Rank 47.2% 10.4% 100.0% 81.0% 10.4% IV Percentile 52.2% 8.3% 100.0% 83.3% 8.3% Term Structure -0.6% -3.4% 1.0% -1.9% 0.4% VWIV 41.1% 29.1% 60.5% 59.6% 29.3% Skew 25d 1.0% 0.0% 2.0% 1.1% 1.4% Skew 10d 2.4% 0.4% 4.9% 2.2% 2.8% Call IV 25d 41.0% 30.5% 57.7% 49.6% 30.5% Put IV 25d 42.0% 31.9% 57.7% 50.7% 31.9% Bid-Ask Spread % 4.89 2.46 8.64 7.61 4.12 Gamma HHI 0.11 0.06 0.41 0.07 0.20 Net GEX 40.4M -127.7M 151.1M 43.3M 151.1M Net DEX -2.52B -3.29B -798.8M -2.60B -3.26B Net VEX -14.2M -14.8M -13.2M -13.7M -13.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.55 0.90 0.67 0.62 Total Volume 5,800,622.609 3,188,080 16,723,920 3,296,160 6,361,440 Total OI 34,984,575.652 31,394,960 39,580,440 32,192,400 35,766,240
Daily Data (23 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 2017-08-01 $4.10 $3.88 50.2% 17.0% 30.4% 81.0% 59.6% 1.1% -1.9% 43.3M -2.60B -13.7M 0.67 7.61 N/A N/A 1,968,680 1,327,480 15,443,200 16,749,200 2017-08-02 $4.10 $3.88 50.5% 17.2% 29.7% 81.9% 60.5% 1.4% -2.3% 41.2M -2.52B -13.6M 0.73 3.10 N/A N/A 2,247,680 1,630,960 15,591,840 17,059,560 2017-08-03 $4.15 $3.50 50.6% 13.4% 29.6% 82.2% 47.1% 1.4% -2.3% 61.6M -2.84B -13.5M 0.71 5.02 N/A N/A 2,634,640 1,858,120 15,817,400 17,270,240 2017-08-04 $4.17 $3.50 50.8% 13.5% 29.0% 83.1% 47.6% 1.2% -3.1% 120.4M -3.01B -13.6M 0.70 3.83 N/A N/A 3,885,720 2,725,640 16,091,440 17,663,440 2017-08-07 $4.30 $3.50 51.3% 14.0% 26.0% 84.6% 49.3% 0.7% -1.7% 39.2M -3.29B -13.2M 0.55 4.15 N/A N/A 3,764,600 2,076,520 14,812,960 16,582,000 2017-08-08 $4.24 $3.50 54.8% 14.9% 26.6% 96.7% 52.0% 0.3% -2.2% 35.9M -3.04B -13.9M 0.63 8.64 N/A N/A 3,518,080 2,228,360 15,771,960 17,274,000 2017-08-09 $4.30 $3.63 55.2% 14.7% 22.6% 97.9% 51.6% 0.5% -3.4% 41.2M -3.26B -14.3M 0.60 7.19 N/A N/A 3,018,880 1,824,280 16,549,000 18,150,040 2017-08-10 $4.13 $3.63 57.8% 15.7% 26.8% 100.0% 54.6% 0.0% -3.2% 26.9M -2.47B -14.7M 0.80 7.18 N/A N/A 5,499,120 4,382,440 17,495,720 18,685,280 2017-08-11 $3.88 $3.63 40.9% 11.8% 33.9% 45.8% 41.5% 0.5% 0.4% -127.7M -798.8M -14.1M 0.84 3.96 N/A N/A 9,089,400 7,634,520 19,258,080 20,322,360 2017-08-14 $4.19 $3.63 37.8% 10.9% 44.4% 35.9% 38.4% 0.3% 0.3% 60.9M -3.12B -14.4M 0.67 6.19 N/A N/A 5,900,080 3,932,320 17,383,800 18,526,960 2017-08-15 $4.18 $3.63 36.8% 10.6% 44.3% 32.7% 37.5% 0.2% 0.5% 74.0M -3.11B -14.6M 0.60 6.42 N/A N/A 3,585,480 2,167,040 18,243,640 19,105,280 2017-08-16 $4.13 $3.63 35.8% 10.3% 44.6% 29.6% 36.3% 0.3% 0.5% 60.0M -2.70B -14.7M 0.69 5.31 N/A N/A 2,881,000 1,976,960 18,565,040 19,502,400 2017-08-17 $4.05 $3.63 36.9% 10.6% 44.9% 31.0% 37.5% 1.3% -0.1% 10.9M -2.01B -14.8M 0.85 5.38 N/A N/A 3,196,000 2,703,240 18,750,840 19,821,960 2017-08-18 $4.06 $3.63 35.6% 10.1% 44.9% 26.7% 35.6% 1.2% 1.0% 608.9K -2.10B -14.6M 0.90 3.03 N/A N/A 3,120,920 2,804,120 18,960,400 20,173,840 2017-08-21 $3.98 $3.75 36.2% 10.4% 45.3% 28.7% 36.5% 1.4% -0.0% -1.8M -1.57B -14.4M 0.83 6.25 N/A N/A 2,795,080 2,315,600 14,979,840 17,282,920 2017-08-22 $4.07 $3.75 35.2% 10.0% 46.0% 25.4% 35.3% 1.5% 0.5% 21.8M -2.00B -14.6M 0.57 3.23 N/A N/A 2,603,160 1,492,560 15,436,600 17,911,880 2017-08-23 $4.15 $3.75 35.2% 10.0% 46.5% 25.4% 35.4% 1.5% 0.4% 62.9M -2.59B -14.6M 0.55 2.56 N/A N/A 3,513,120 1,919,640 15,950,000 18,211,400 2017-08-24 $4.13 $3.75 34.6% 9.9% 44.9% 23.6% 34.9% 0.9% 0.9% 62.9M -2.51B -14.7M 0.77 3.65 N/A N/A 2,420,360 1,852,080 16,603,400 18,626,280 2017-08-25 $4.10 $3.75 33.0% 9.3% 44.7% 18.2% 32.9% 1.4% 0.1% 25.7M -2.18B -14.5M 0.76 3.86 N/A N/A 2,336,520 1,774,040 16,925,040 18,970,680 2017-08-28 $4.12 $3.75 32.9% 9.1% 44.7% 18.0% 32.4% 1.7% 0.7% 30.9M -2.26B -14.3M 0.86 2.46 N/A N/A 1,958,200 1,684,920 15,396,720 17,682,440 2017-08-29 $4.12 $3.75 31.8% 8.3% 44.7% 14.1% 30.0% 2.0% -0.1% 35.8M -2.25B -14.1M 0.84 5.69 N/A N/A 1,732,240 1,455,840 16,026,280 18,274,360 2017-08-30 $4.13 $3.81 31.0% 8.3% 44.7% 11.7% 29.1% 1.5% 0.2% 52.6M -2.35B -14.0M 0.62 3.60 N/A N/A 2,233,800 1,383,440 16,418,640 18,560,640 2017-08-31 $4.23 $3.88 30.6% 8.2% 45.3% 10.4% 29.3% 1.4% 0.4% 151.1M -3.26B -13.8M 0.62 4.12 N/A N/A 3,917,880 2,443,560 16,804,120 18,962,120
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