NVDA Options History — September 2019 In September 2019, NVDA traded between $4.12 and $4.62. ATM implied volatility averaged 35.0%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 7.6% (HV 20d: 42.6%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.65.
Notable Days 2019-09-05 : Highest Volume — 8,333,440 contracts2019-09-27 : Largest IV spike — 12.6% change2019-09-27 : Highest IV Rank — 20.9%2019-09-27 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.43 $4.12 $4.62 $4.12 $4.35 Max Pain $4.22 $4.00 $4.25 $4.13 $4.25 ATM IV 35.0% 32.9% 40.0% 39.1% 36.8% Expected Move 10.0% 9.4% 11.4% 11.3% 10.4% HV 20d 42.6% 32.5% 52.9% 48.5% 35.8% HV 60d 40.4% 39.2% 42.2% 40.3% 40.6% IV Rank 12.6% 9.3% 20.9% 20.4% 14.0% IV Percentile 15.0% 6.0% 39.3% 34.1% 24.2% Term Structure 0.2% -0.4% 1.0% -0.2% 0.8% VWIV 35.4% 32.6% 40.3% 40.3% 36.5% Skew 25d 5.5% 4.3% 7.8% 6.4% 7.1% Skew 10d 10.6% 8.4% 15.5% 12.2% 13.8% Call IV 25d 32.4% 30.4% 36.2% 36.2% 34.0% Put IV 25d 38.0% 35.3% 43.8% 42.6% 41.0% Bid-Ask Spread % 2.52 1.92 3.55 1.92 2.51 Gamma HHI 0.07 0.04 0.11 0.04 0.05 Net GEX 38.3M -6.9M 89.7M -2.3M 10.6M Net DEX -1.15B -2.49B 161.6M 127.3M -276.0M Net VEX -21.6M -22.4M -20.8M -21.7M -21.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.36 0.94 0.85 0.76 Total Volume 4,026,188 1,777,080 8,333,440 2,779,480 1,777,080 Total OI 35,011,972 29,638,480 38,257,440 34,758,760 31,508,240
Daily Data (20 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 2019-09-03 $4.12 $4.13 39.1% 11.3% 48.5% 20.4% 40.3% 6.4% -0.2% -2.3M 127.3M -21.7M 0.85 1.92 N/A N/A 1,503,600 1,275,880 16,766,800 17,991,960 2019-09-04 $4.22 $4.13 36.0% 10.3% 49.0% 14.3% 36.8% 5.6% -0.0% 23.9M -439.8M -21.9M 0.94 2.19 N/A N/A 1,471,720 1,389,560 17,123,280 18,375,280 2019-09-05 $4.49 $4.00 35.0% 10.1% 52.9% 12.8% 35.3% 4.8% 0.0% 58.9M -2.03B -22.2M 0.66 2.08 N/A N/A 5,019,760 3,313,680 17,264,080 18,543,000 2019-09-06 $4.47 $4.25 34.2% 9.9% 52.7% 11.4% 35.4% 4.5% 0.0% 56.5M -1.88B -22.4M 0.65 2.48 N/A N/A 3,062,960 1,994,880 18,112,920 19,323,560 2019-09-09 $4.52 $4.25 35.9% 10.2% 51.9% 14.3% 36.4% 5.0% -0.1% 56.0M -1.87B -22.4M 0.84 2.66 N/A N/A 2,893,040 2,438,040 17,301,680 18,448,360 2019-09-10 $4.56 $4.25 35.4% 10.2% 50.7% 13.5% 35.9% 5.1% 0.2% 67.4M -2.09B -22.4M 0.60 2.97 N/A N/A 2,756,320 1,651,600 17,706,040 18,947,360 2019-09-11 $4.60 $4.25 33.3% 9.6% 50.2% 10.0% 34.2% 5.0% 0.1% 82.3M -2.36B -22.1M 0.65 2.61 N/A N/A 2,412,240 1,566,160 17,973,640 19,119,760 2019-09-12 $4.62 $4.25 32.9% 9.4% 47.4% 9.3% 33.8% 4.3% -0.1% 89.7M -2.49B -22.0M 0.73 2.10 N/A N/A 3,042,400 2,227,600 18,183,800 19,438,320 2019-09-13 $4.55 $4.25 32.9% 9.5% 47.9% 9.3% 33.2% 4.7% 0.3% 50.3M -1.93B -22.0M 0.64 2.43 N/A N/A 2,281,400 1,470,960 18,486,440 19,771,000 2019-09-16 $4.51 $4.25 34.0% 9.7% 42.9% 11.1% 34.6% 5.1% 0.4% 45.2M -1.55B -21.6M 0.78 2.38 N/A N/A 1,274,800 994,600 17,285,160 18,633,200 2019-09-17 $4.52 $4.25 33.3% 9.5% 37.2% 9.9% 35.3% 5.3% 0.4% 48.7M -1.61B -21.4M 0.58 2.79 N/A N/A 1,751,200 1,015,360 17,470,440 18,860,200 2019-09-18 $4.49 $4.25 33.3% 9.5% 37.0% 9.9% 34.6% 5.4% 0.3% 52.7M -1.42B -21.3M 0.63 3.55 N/A N/A 2,102,840 1,328,880 17,810,440 19,046,120 2019-09-19 $4.43 $4.25 33.1% 9.5% 37.3% 9.5% 33.5% 5.2% 0.1% 43.2M -977.8M -21.1M 0.36 2.67 N/A N/A 3,181,040 1,133,040 18,051,920 19,159,920 2019-09-20 $4.33 $4.25 33.5% 9.5% 38.3% 10.2% 34.1% 5.5% 1.0% -6.9M -293.3M -20.8M 0.65 2.88 N/A N/A 2,433,000 1,590,880 18,457,120 19,269,800 2019-09-23 $4.38 $4.25 33.4% 9.5% 32.5% 10.0% 32.6% 5.4% 0.5% 10.0M -372.8M -20.9M 0.53 1.94 N/A N/A 1,894,800 1,011,080 14,250,800 15,387,680 2019-09-24 $4.30 $4.25 36.6% 10.4% 33.4% 15.3% 36.8% 6.0% 0.2% -447.5K -24.0M -20.9M 0.43 2.69 N/A N/A 2,409,800 1,038,440 14,766,800 15,737,840 2019-09-25 $4.47 $4.25 35.0% 10.0% 34.9% 12.7% 34.6% 6.0% 0.1% 43.6M -908.6M -21.3M 0.44 2.15 N/A N/A 2,391,480 1,055,920 15,185,360 15,956,760 2019-09-26 $4.44 $4.25 35.5% 10.0% 34.9% 13.6% 35.5% 6.1% 0.3% 40.4M -809.5M -21.4M 0.57 2.44 N/A N/A 2,540,520 1,444,080 15,507,360 16,172,360 2019-09-27 $4.28 $4.25 40.0% 11.4% 35.4% 20.9% 38.8% 7.8% -0.4% -4.2M 161.6M -21.2M 0.76 2.91 N/A N/A 3,625,680 2,757,440 16,141,840 16,702,800 2019-09-30 $4.35 $4.25 36.8% 10.4% 35.8% 14.0% 36.5% 7.1% 0.8% 10.6M -276.0M -21.2M 0.76 2.51 N/A N/A 1,011,960 765,120 15,348,360 16,159,880
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