NVDA Options History — November 2017 In November 2017, NVDA traded between $4.91 and $5.42. ATM implied volatility averaged 35.9%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 10.2% (HV 20d: 25.7%). Max pain ranged from $4.38 to $5.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2017-11-10 : Highest Volume — 19,403,000 contracts2017-11-29 : Largest IV spike — 32.2% change2017-11-01 : Highest IV Rank — 70.3%2017-11-01 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $5.26 $4.91 $5.42 $5.18 $5.02 Max Pain $4.69 $4.38 $5.00 $4.63 $5.00 ATM IV 35.9% 25.3% 48.9% 48.9% 34.2% Expected Move 10.3% 7.1% 16.7% 16.7% 10.4% HV 20d 25.7% 18.5% 36.8% 19.2% 36.8% HV 60d 30.0% 27.4% 35.3% 35.3% 32.2% IV Rank 29.1% 0.0% 70.3% 70.3% 27.5% IV Percentile 32.2% 0.0% 79.4% 77.8% 28.2% Term Structure -0.6% -3.9% 1.1% -1.5% -0.3% VWIV 36.1% 25.7% 58.4% 58.4% 36.6% Skew 25d 1.4% 0.2% 3.5% 0.4% 2.5% Skew 10d 2.4% -0.3% 7.5% 1.5% 4.9% Call IV 25d 35.1% 25.0% 48.3% 48.3% 32.3% Put IV 25d 36.5% 26.2% 50.2% 48.6% 34.9% Bid-Ask Spread % 5.98 2.26 12.47 6.77 7.44 Gamma HHI 0.10 0.05 0.23 0.11 0.06 Net GEX 65.3M -30.6M 161.7M 80.4M 31.0M Net DEX -4.50B -6.37B -1.29B -4.99B -2.20B Net VEX -15.6M -19.4M -13.5M -14.8M -19.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.57 0.98 0.78 0.59 Total Volume 6,143,590.476 2,952,080 19,403,000 5,167,240 6,212,160 Total OI 37,417,493.333 34,338,800 41,551,320 36,084,720 40,713,800
Daily Data (21 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 2017-11-01 $5.18 $4.63 48.9% 16.7% 19.2% 70.3% 58.4% 0.4% -1.5% 80.4M -4.99B -14.8M 0.78 6.77 N/A N/A 2,902,720 2,264,520 16,641,520 19,443,200 2017-11-02 $5.15 $4.38 47.4% 12.8% 19.6% 65.4% 44.7% 2.8% -2.5% 56.5M -4.74B -15.0M 0.70 3.24 N/A N/A 2,235,880 1,567,320 16,888,880 19,950,960 2017-11-03 $5.21 $4.38 47.2% 12.8% 19.6% 64.8% 44.8% 0.8% -1.0% 43.6M -5.23B -14.5M 0.58 7.60 N/A N/A 3,184,320 1,861,920 17,131,280 20,109,000 2017-11-06 $5.24 $4.38 47.4% 13.0% 18.9% 65.5% 45.7% 0.8% -1.3% 50.2M -4.88B -14.2M 0.98 2.80 N/A N/A 2,065,560 2,021,440 15,753,720 18,585,080 2017-11-07 $5.30 $4.38 46.4% 12.8% 18.5% 62.1% 44.5% 1.0% -1.2% 54.5M -5.19B -14.2M 0.68 6.09 N/A N/A 2,177,840 1,490,680 16,371,840 19,333,880 2017-11-08 $5.23 $4.38 48.6% 13.2% 19.5% 69.3% 46.4% 0.2% -2.4% 45.8M -4.79B -14.8M 0.74 12.12 N/A N/A 2,551,160 1,898,080 16,674,120 19,727,200 2017-11-09 $5.13 $4.38 48.5% 13.0% 21.3% 68.9% 44.8% 3.5% -3.9% 40.8M -4.34B -15.1M 0.69 12.47 N/A N/A 6,271,840 4,341,880 17,267,120 20,187,360 2017-11-10 $5.40 $4.50 33.0% 9.7% 26.7% 17.2% 34.0% 0.5% 1.1% 85.6M -6.37B -13.5M 0.80 3.33 N/A N/A 10,790,840 8,612,160 19,568,360 21,912,200 2017-11-13 $5.31 $4.63 32.3% 9.3% 27.2% 14.9% 32.4% 0.8% -0.3% 74.9M -5.10B -14.2M 0.71 4.36 N/A N/A 3,559,440 2,543,720 17,635,480 20,377,520 2017-11-14 $5.36 $4.63 31.2% 9.0% 27.2% 11.3% 31.4% 1.1% 0.5% 90.9M -5.37B -14.4M 0.60 6.45 N/A N/A 2,936,000 1,758,680 18,271,760 20,987,680 2017-11-15 $5.24 $4.63 32.1% 9.2% 28.7% 14.3% 32.2% 1.5% 0.2% 50.4M -4.54B -14.9M 0.69 4.61 N/A N/A 3,246,920 2,246,200 18,721,280 21,216,240 2017-11-16 $5.29 $4.75 30.5% 8.7% 28.7% 8.9% 30.8% 1.1% -0.1% 97.6M -5.02B -15.4M 0.76 4.17 N/A N/A 2,996,640 2,287,360 19,426,320 21,717,520 2017-11-17 $5.28 $4.75 29.8% 8.5% 28.6% 6.8% 29.9% 0.9% 1.0% 49.1M -4.78B -16.1M 0.70 6.78 N/A N/A 4,464,520 3,132,040 19,485,760 22,065,560 2017-11-20 $5.35 $4.88 27.8% 7.9% 28.8% 0.0% 28.3% 2.0% -0.3% 72.7M -4.43B -16.1M 0.81 6.12 N/A N/A 2,582,440 2,089,720 15,778,080 18,560,920 2017-11-21 $5.39 $4.88 27.4% 7.6% 28.7% 0.0% 26.7% 1.9% -1.5% 117.1M -4.80B -16.5M 0.70 5.83 N/A N/A 2,375,120 1,666,080 16,495,760 19,285,840 2017-11-22 $5.38 $5.00 26.2% 7.3% 26.8% 0.0% 25.7% 1.5% -0.3% 115.3M -4.36B -16.6M 0.58 6.38 N/A N/A 2,129,280 1,241,600 16,297,800 19,573,080 2017-11-24 $5.42 $5.00 25.3% 7.1% 26.7% 0.0% 25.8% 1.1% 0.4% 161.7M -4.71B -16.6M 0.80 6.28 N/A N/A 1,637,440 1,314,640 16,542,920 19,911,320 2017-11-27 $5.35 $5.00 26.8% 7.9% 25.8% 4.6% 28.2% 1.0% 0.6% 63.4M -4.06B -16.5M 0.97 2.26 N/A N/A 1,763,160 1,711,680 15,497,160 18,926,320 2017-11-28 $5.26 $5.00 27.3% 8.2% 26.6% 6.1% 28.6% 1.1% 0.5% 20.6M -3.37B -16.9M 0.63 3.05 N/A N/A 3,249,440 2,034,720 15,940,680 19,663,440 2017-11-29 $4.91 $5.00 36.1% 11.3% 35.8% 33.1% 39.1% 3.2% -0.5% -30.6M -1.29B -17.6M 0.57 7.46 N/A N/A 8,647,560 4,950,680 16,711,280 20,418,120 2017-11-30 $5.02 $5.00 34.2% 10.4% 36.8% 27.5% 36.6% 2.5% -0.3% 31.0M -2.20B -19.4M 0.59 7.44 N/A N/A 3,917,080 2,295,080 19,183,800 21,530,000
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