NVDA Options History — September 2018 In September 2018, NVDA traded between $6.57 and $7.11. ATM implied volatility averaged 28.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.2% (HV 20d: 27.6%). Max pain ranged from $6.25 to $6.88. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.69.
Notable Days 2018-09-28 : Highest Volume — 13,051,240 contracts2018-09-05 : Largest IV spike — 6.5% change2018-09-06 : Highest IV Rank — 17.6%2018-09-07 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $6.80 $6.57 $7.11 $7.11 $7.02 Max Pain $6.77 $6.25 $6.88 $6.25 $6.81 ATM IV 28.9% 27.3% 30.9% 27.9% 28.6% Expected Move 8.2% 7.6% 8.9% 7.9% 8.0% HV 20d 27.6% 20.2% 33.4% 31.0% 27.4% HV 60d 27.4% 25.1% 29.0% 28.2% 26.7% IV Rank 11.8% 7.3% 17.6% 9.2% 10.9% IV Percentile 18.4% 10.3% 26.6% 15.1% 19.4% Term Structure 0.1% -0.3% 0.9% 0.1% -0.2% VWIV 29.2% 26.8% 31.3% 29.0% 28.7% Skew 25d 4.4% 2.7% 5.6% 2.8% 2.7% Skew 10d 8.8% 4.9% 10.9% 5.4% 4.9% Call IV 25d 27.1% 25.6% 28.7% 27.1% 27.7% Put IV 25d 31.5% 29.8% 34.2% 29.9% 30.4% Bid-Ask Spread % 4.86 3.23 5.96 4.63 3.87 Gamma HHI 0.08 0.05 0.27 0.07 0.19 Net GEX 84.7M -109.8M 195.9M 173.9M 195.9M Net DEX -4.49B -7.30B -2.40B -7.30B -5.63B Net VEX -29.3M -31.0M -27.9M -27.9M -28.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.38 1.22 0.64 0.38 Total Volume 5,003,317.895 2,285,080 13,051,240 6,068,320 13,051,240 Total OI 40,522,728.421 33,882,640 43,921,120 39,531,480 36,509,800
Daily Data (19 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 2018-09-04 $7.11 $6.25 27.9% 7.9% 31.0% 9.2% 29.0% 2.8% 0.1% 173.9M -7.30B -27.9M 0.64 4.63 N/A N/A 3,699,640 2,368,680 18,718,680 20,812,800 2018-09-05 $6.96 $6.25 29.8% 8.5% 32.3% 14.3% 30.6% 4.6% -0.1% 124.8M -5.99B -29.6M 0.94 4.54 N/A N/A 3,187,240 2,996,240 19,656,240 22,167,560 2018-09-06 $6.82 $6.50 30.9% 8.8% 33.3% 17.6% 31.2% 5.5% -0.3% 48.9M -4.75B -30.6M 1.22 5.33 N/A N/A 2,433,200 2,959,920 19,926,160 22,606,600 2018-09-07 $6.80 $6.75 30.3% 8.9% 33.1% 15.8% 31.0% 5.4% 0.2% 30.0M -4.62B -31.0M 1.02 5.05 N/A N/A 2,904,320 2,969,840 20,403,960 22,980,120 2018-09-10 $6.87 $6.75 30.1% 8.7% 32.7% 15.3% 31.3% 5.2% 0.2% 113.5M -5.25B -30.2M 0.74 4.59 N/A N/A 2,053,280 1,519,800 19,168,680 21,626,560 2018-09-11 $6.82 $6.75 29.9% 8.5% 32.9% 14.6% 30.0% 4.8% -0.2% 104.5M -4.90B -29.7M 0.66 5.06 N/A N/A 2,583,480 1,713,120 19,647,840 21,954,480 2018-09-12 $6.70 $6.88 30.5% 8.7% 33.1% 16.4% 30.8% 5.6% -0.3% 51.7M -3.85B -30.3M 0.71 5.75 N/A N/A 3,341,960 2,356,440 19,991,240 22,391,840 2018-09-13 $6.78 $6.88 29.2% 8.4% 33.0% 12.7% 29.6% 4.7% 0.2% 100.5M -4.69B -30.2M 0.60 5.35 N/A N/A 3,086,440 1,859,480 20,430,320 22,643,240 2018-09-14 $6.90 $6.88 27.7% 8.0% 33.4% 8.6% 28.1% 4.0% 0.3% 194.5M -5.97B -29.5M 0.46 5.28 N/A N/A 5,394,880 2,505,640 20,766,960 22,946,680 2018-09-17 $6.84 $6.88 28.9% 8.3% 25.2% 11.8% 29.8% 4.4% 0.9% 120.1M -5.10B -29.1M 0.54 5.48 N/A N/A 2,131,280 1,148,200 19,706,400 22,114,560 2018-09-18 $6.80 $6.88 28.8% 8.3% 25.2% 11.5% 29.7% 4.4% 0.1% 106.2M -4.88B -29.0M 0.61 4.72 N/A N/A 2,414,560 1,473,640 20,027,040 22,312,840 2018-09-19 $6.80 $6.88 28.2% 8.1% 24.7% 10.0% 28.4% 4.4% 0.2% 96.4M -4.82B -28.7M 0.57 4.90 N/A N/A 1,977,880 1,124,880 20,181,160 22,517,760 2018-09-20 $6.66 $6.88 28.8% 8.3% 22.2% 11.7% 29.1% 4.4% 0.2% 23.3M -3.57B -28.6M 0.62 4.69 N/A N/A 2,931,280 1,815,760 20,465,040 22,649,480 2018-09-21 $6.57 $6.88 28.4% 8.1% 22.3% 10.6% 28.3% 4.1% 0.8% -109.8M -2.86B -28.6M 0.91 5.17 N/A N/A 2,633,240 2,401,760 20,903,400 23,017,720 2018-09-24 $6.63 $6.88 28.4% 8.0% 21.0% 10.5% 28.0% 4.2% -0.1% 31.1M -2.40B -28.6M 0.64 5.96 N/A N/A 1,997,640 1,272,280 15,717,160 18,165,480 2018-09-25 $6.73 $6.88 27.5% 7.7% 21.1% 7.9% 27.2% 4.5% 0.2% 82.3M -3.10B -28.6M 0.55 3.23 N/A N/A 2,397,040 1,314,560 16,370,360 18,507,600 2018-09-26 $6.69 $6.88 27.4% 7.7% 21.1% 7.7% 27.4% 4.0% 0.0% 70.7M -2.87B -28.9M 0.66 4.74 N/A N/A 1,665,120 1,094,000 16,840,280 18,934,960 2018-09-27 $6.68 $6.88 27.3% 7.6% 20.2% 7.3% 26.8% 4.3% 0.1% 51.4M -2.74B -28.6M 0.67 4.04 N/A N/A 1,366,440 918,640 16,942,640 19,208,200 2018-09-28 $7.02 $6.81 28.6% 8.0% 27.4% 10.9% 28.7% 2.7% -0.2% 195.9M -5.63B -28.2M 0.38 3.87 N/A N/A 9,484,440 3,566,800 17,198,040 19,311,760
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