NVDA Options History — October 2017 In October 2017, NVDA traded between $4.47 and $5.17. ATM implied volatility averaged 43.3%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 15.0% (HV 20d: 28.2%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2017-10-10 : Highest Volume — 9,429,440 contracts2017-10-09 : Largest IV spike — 14.2% change2017-10-30 : Highest IV Rank — 67.6%2017-10-31 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $4.81 $4.47 $5.17 $4.47 $5.17 Max Pain $4.41 $4.25 $4.50 $4.25 $4.50 ATM IV 43.3% 34.0% 48.1% 34.2% 47.9% Expected Move 13.0% 8.9% 16.3% 9.6% 16.3% HV 20d 28.2% 15.7% 39.1% 39.1% 19.1% HV 60d 35.8% 34.9% 38.0% 38.0% 35.5% IV Rank 51.6% 20.6% 67.6% 21.3% 67.1% IV Percentile 63.2% 24.6% 77.0% 26.2% 76.2% Term Structure 0.9% -2.5% 11.0% 9.2% -1.3% VWIV 45.5% 31.7% 57.0% 33.9% 57.0% Skew 25d 0.6% -1.0% 1.7% 0.4% -1.0% Skew 10d 0.9% -1.5% 3.6% -1.1% 0.2% Call IV 25d 43.2% 33.9% 48.7% 34.8% 48.7% Put IV 25d 43.7% 34.3% 47.8% 35.2% 47.7% Bid-Ask Spread % 4.59 1.88 8.28 6.69 3.83 Gamma HHI 0.11 0.07 0.23 0.07 0.10 Net GEX 68.9M 12.8M 116.5M 47.2M 81.2M Net DEX -4.21B -5.28B -2.86B -2.86B -5.04B Net VEX -15.1M -16.4M -14.3M -16.2M -14.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.45 0.93 0.63 0.59 Total Volume 5,654,294.545 3,284,840 9,429,440 4,260,920 4,976,320 Total OI 36,812,618.182 33,178,560 40,362,280 34,831,120 35,267,680
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 2017-10-02 $4.47 $4.25 34.2% 9.6% 39.1% 21.3% 33.9% 0.4% 9.2% 47.2M -2.86B -16.2M 0.63 6.69 N/A N/A 2,618,880 1,642,040 16,402,200 18,428,920 2017-10-03 $4.48 $4.25 34.0% 9.1% 37.5% 20.6% 33.2% 0.9% 11.0% 54.5M -2.90B -16.4M 0.81 5.81 N/A N/A 2,002,560 1,617,720 16,996,400 18,880,520 2017-10-04 $4.52 $4.25 35.4% 8.9% 37.5% 25.3% 31.7% 0.9% 9.5% 75.7M -3.21B -16.1M 0.68 1.88 N/A N/A 2,462,160 1,679,160 17,220,040 19,086,400 2017-10-05 $4.52 $4.38 36.5% 12.7% 37.5% 29.1% 44.5% 0.3% 9.9% 78.2M -3.21B -16.0M 0.65 5.56 N/A N/A 2,493,240 1,615,080 17,481,800 19,409,160 2017-10-06 $4.53 $4.38 36.9% 12.2% 36.8% 30.2% 42.8% 0.4% 9.7% 46.3M -3.35B -16.0M 0.61 5.20 N/A N/A 2,828,240 1,724,160 17,845,560 19,857,320 2017-10-09 $4.63 $4.38 42.1% 12.5% 36.2% 47.7% 43.8% 0.6% -0.8% 69.3M -3.74B -15.3M 0.63 4.18 N/A N/A 4,666,760 2,959,840 16,512,560 18,840,120 2017-10-10 $4.72 $4.38 45.6% 13.1% 36.5% 59.4% 46.2% 0.1% -1.0% 85.4M -4.24B -15.5M 0.45 2.72 N/A N/A 6,515,960 2,913,480 17,305,840 19,716,000 2017-10-11 $4.77 $4.38 45.5% 12.8% 36.6% 59.0% 44.9% 0.1% -0.7% 116.5M -4.65B -15.3M 0.55 4.71 N/A N/A 3,343,640 1,845,120 18,490,200 20,426,480 2017-10-12 $4.77 $4.38 45.6% 12.9% 36.4% 59.3% 45.1% 0.0% -1.1% 111.8M -4.61B -15.4M 0.48 4.92 N/A N/A 4,250,320 2,027,440 18,630,080 20,726,560 2017-10-13 $4.86 $4.38 44.9% 12.6% 30.6% 57.0% 44.2% 0.3% -1.6% 72.3M -5.28B -14.7M 0.49 5.11 N/A N/A 5,920,520 2,913,840 18,847,800 21,020,600 2017-10-16 $4.95 $4.38 46.3% 13.1% 27.5% 61.5% 46.0% -0.2% -2.1% 82.2M -5.09B -14.5M 0.67 3.03 N/A N/A 4,062,000 2,703,000 17,119,400 19,768,320 2017-10-17 $4.95 $4.38 46.0% 13.1% 27.5% 60.5% 46.0% 0.2% -2.1% 83.0M -5.06B -14.5M 0.74 2.83 N/A N/A 2,948,800 2,188,920 17,540,040 20,475,280 2017-10-18 $4.94 $4.50 45.1% 12.9% 27.2% 57.5% 45.4% 0.7% -2.2% 89.5M -4.92B -14.6M 0.70 5.43 N/A N/A 3,098,600 2,169,000 18,044,840 20,973,400 2017-10-19 $4.94 $4.50 46.2% 13.4% 25.0% 61.3% 46.7% 1.0% -2.3% 94.9M -4.93B -14.7M 0.61 3.26 N/A N/A 3,688,400 2,263,200 18,172,160 21,443,400 2017-10-20 $4.91 $4.50 44.8% 13.0% 24.6% 56.5% 45.6% 0.9% -2.4% 45.8M -4.81B -14.5M 0.63 6.23 N/A N/A 3,540,800 2,232,960 18,676,760 21,685,520 2017-10-23 $4.91 $4.50 44.7% 13.6% 15.7% 56.4% 47.5% 0.9% -1.8% 46.3M -3.91B -14.4M 0.79 3.71 N/A N/A 2,495,800 1,980,960 15,191,680 17,986,880 2017-10-24 $4.96 $4.50 44.4% 13.6% 15.7% 55.5% 47.5% 1.0% -2.0% 63.8M -4.17B -14.5M 0.93 2.96 N/A N/A 1,700,200 1,584,640 15,806,440 18,603,680 2017-10-25 $4.84 $4.50 46.6% 14.5% 18.2% 62.6% 50.7% 1.7% -2.3% 12.8M -3.32B -15.2M 0.71 6.92 N/A N/A 3,942,800 2,782,280 16,017,920 18,989,920 2017-10-26 $4.89 $4.50 45.6% 14.4% 17.9% 59.3% 50.6% 1.7% -1.7% 51.6M -3.76B -15.1M 0.79 3.74 N/A N/A 1,944,480 1,532,960 16,478,640 19,487,040 2017-10-27 $5.04 $4.50 46.1% 14.7% 19.1% 61.1% 51.3% 0.9% -2.4% 47.7M -4.92B -14.5M 0.50 8.28 N/A N/A 5,556,480 2,785,560 16,611,360 19,748,880 2017-10-30 $5.09 $4.50 48.1% 16.0% 19.0% 67.6% 56.0% 0.9% -2.5% 58.9M -4.57B -14.3M 0.51 3.97 N/A N/A 4,096,800 2,079,360 15,229,440 18,434,360 2017-10-31 $5.17 $4.50 47.9% 16.3% 19.1% 67.1% 57.0% -1.0% -1.3% 81.2M -5.04B -14.5M 0.59 3.83 N/A N/A 3,127,320 1,849,000 16,259,040 19,008,640
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