NVDA Options History — March 2018 In March 2018, NVDA traded between $5.56 and $6.28. ATM implied volatility averaged 40.1%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 1.4% (HV 20d: 38.7%). Max pain ranged from $5.75 to $6.13. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2018-03-27 : Highest Volume — 13,110,680 contracts2018-03-27 : Largest IV spike — 22.2% change2018-03-27 : Highest IV Rank — 65.8%2018-03-27 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.02 $5.56 $6.28 $5.81 $5.82 Max Pain $5.96 $5.75 $6.13 $5.75 $6.13 ATM IV 40.1% 36.3% 48.5% 41.8% 42.6% Expected Move 11.5% 10.3% 14.3% 12.4% 12.3% HV 20d 38.7% 27.0% 53.2% 53.2% 48.5% HV 60d 39.8% 37.5% 45.2% 40.5% 45.2% IV Rank 41.9% 31.3% 65.8% 46.9% 49.0% IV Percentile 57.5% 41.7% 85.3% 63.5% 65.1% Term Structure -0.1% -1.6% 2.7% -1.1% 1.6% VWIV 40.0% 35.9% 48.7% 42.8% 42.9% Skew 25d 4.7% 2.5% 12.0% 5.0% 7.7% Skew 10d 8.8% 4.5% 21.1% 10.0% 12.2% Call IV 25d 37.7% 35.0% 41.8% 39.6% 37.8% Put IV 25d 42.4% 38.0% 53.5% 44.7% 45.6% Bid-Ask Spread % 6.59 1.93 19.63 3.91 8.26 Gamma HHI 0.09 0.04 0.56 0.05 0.05 Net GEX 85.2M -29.0M 478.8M -20.3M 26.4M Net DEX -3.41B -6.09B 603.9M -1.92B -1.23B Net VEX -26.7M -29.8M -25.1M -25.1M -29.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.38 0.89 0.69 0.71 Total Volume 7,006,533.333 4,052,240 13,110,680 9,002,480 10,978,960 Total OI 37,908,899.048 32,041,280 42,192,400 36,553,400 40,443,040
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 2018-03-01 $5.81 $5.75 41.8% 12.4% 53.2% 46.9% 42.8% 5.0% -1.1% -20.3M -1.92B -25.1M 0.69 3.91 N/A N/A 5,319,840 3,682,640 18,031,000 18,522,400 2018-03-02 $5.92 $5.75 39.7% 11.2% 53.1% 40.8% 39.9% 4.8% -0.7% 41.0M -2.83B -25.4M 0.72 2.55 N/A N/A 5,688,240 4,083,200 19,050,000 19,194,720 2018-03-05 $5.89 $5.75 41.2% 11.7% 52.1% 45.0% 40.7% 4.4% -0.4% 45.0M -2.99B -25.7M 0.55 2.04 N/A N/A 3,005,760 1,641,680 17,813,920 18,364,880 2018-03-06 $6.05 $5.75 39.7% 11.5% 43.9% 41.0% 40.0% 4.0% 0.2% 93.0M -4.27B -25.6M 0.38 1.99 N/A N/A 4,655,120 1,782,040 18,502,000 18,767,920 2018-03-07 $6.05 $5.75 38.7% 11.3% 41.9% 38.0% 39.2% 3.9% 0.2% 111.1M -4.33B -25.7M 0.51 1.93 N/A N/A 3,068,400 1,569,480 19,270,800 19,182,080 2018-03-08 $6.02 $5.75 38.5% 11.2% 41.5% 37.4% 39.0% 3.4% 0.3% 108.8M -4.07B -25.8M 0.63 2.77 N/A N/A 2,593,720 1,642,960 19,654,320 19,542,320 2018-03-09 $6.13 $5.88 36.4% 10.5% 37.6% 31.5% 36.9% 3.0% 0.1% 478.8M -5.21B -25.4M 0.56 16.66 N/A N/A 4,675,200 2,594,760 20,146,680 20,089,160 2018-03-12 $6.25 $5.88 38.0% 10.8% 32.3% 36.2% 38.0% 2.5% -0.2% 125.9M -5.79B -25.1M 0.53 4.38 N/A N/A 4,691,520 2,470,800 19,060,960 19,404,440 2018-03-13 $6.19 $5.88 38.5% 10.8% 31.1% 37.5% 37.9% 2.9% -0.7% 118.4M -5.23B -25.6M 0.64 11.08 N/A N/A 4,273,960 2,737,080 19,783,800 20,077,160 2018-03-14 $6.22 $5.88 37.8% 10.7% 30.3% 35.5% 37.7% 3.2% -0.5% 135.2M -5.42B -26.1M 0.68 4.66 N/A N/A 2,407,240 1,645,000 20,219,280 20,362,360 2018-03-15 $6.23 $6.00 37.5% 10.6% 27.6% 34.7% 37.2% 2.6% -0.6% 159.1M -5.80B -25.7M 0.75 9.51 N/A N/A 3,648,800 2,729,400 20,692,440 20,774,640 2018-03-16 $6.28 $6.00 36.3% 10.3% 27.0% 31.3% 35.9% 2.6% -0.7% 72.8M -6.09B -26.2M 0.61 4.46 N/A N/A 3,780,360 2,311,200 20,918,600 21,273,800 2018-03-19 $6.03 $6.13 39.7% 11.3% 30.7% 41.0% 39.1% 4.0% -0.4% 42.2M -2.55B -26.9M 0.74 6.67 N/A N/A 4,190,800 3,117,840 15,927,080 16,114,200 2018-03-20 $6.24 $6.13 37.6% 10.8% 32.4% 35.0% 38.0% 3.4% -0.2% 99.6M -4.06B -27.3M 0.60 3.65 N/A N/A 3,986,560 2,406,160 16,909,200 17,225,000 2018-03-21 $6.22 $6.13 36.8% 10.5% 30.5% 32.5% 36.6% 3.1% -1.0% 103.9M -3.87B -27.9M 0.66 6.81 N/A N/A 2,565,840 1,686,800 17,640,360 17,844,160 2018-03-22 $6.06 $6.13 40.7% 11.6% 32.0% 43.7% 40.0% 4.5% 0.9% 36.5M -2.52B -28.6M 0.65 4.10 N/A N/A 3,537,200 2,306,880 18,130,200 18,266,680 2018-03-23 $5.84 $6.13 44.1% 12.6% 34.0% 53.3% 43.0% 5.1% 1.0% -9.0M -954.4M -28.3M 0.77 9.27 N/A N/A 5,312,400 4,110,560 18,770,720 18,654,640 2018-03-26 $6.11 $6.13 39.7% 11.4% 38.0% 40.8% 39.6% 5.7% 2.7% 58.1M -3.09B -28.1M 0.64 5.53 N/A N/A 3,565,040 2,279,480 17,230,360 17,688,600 2018-03-27 $5.63 $6.13 48.5% 14.3% 47.6% 65.8% 47.3% 12.0% -1.6% -9.4M -68.4M -28.4M 0.70 19.63 N/A N/A 7,730,560 5,380,120 18,454,800 18,619,400 2018-03-28 $5.56 $6.13 47.7% 14.1% 47.5% 63.5% 48.7% 10.5% -0.6% -29.0M 603.9M -28.4M 0.89 8.57 N/A N/A 3,844,360 3,439,240 19,689,200 19,779,560 2018-03-29 $5.82 $6.13 42.6% 12.3% 48.5% 49.0% 42.9% 7.7% 1.6% 26.4M -1.23B -29.8M 0.71 8.26 N/A N/A 6,430,600 4,548,360 20,181,480 20,261,560
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