NVDA Options History — November 2019 In November 2019, NVDA traded between $5.05 and $5.53. ATM implied volatility averaged 36.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.9% (HV 20d: 29.8%). Max pain ranged from $4.13 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.62.
Notable Days 2019-11-15 : Highest Volume — 16,178,000 contracts2019-11-15 : Largest IV drop — 23.0% change2019-11-07 : Highest IV Rank — 26.2%2019-11-01 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.26 $5.05 $5.53 $5.05 $5.41 Max Pain $4.54 $4.13 $5.00 $4.75 $5.00 ATM IV 36.7% 29.9% 42.3% 40.3% 30.8% Expected Move 10.4% 8.7% 13.9% 13.9% 9.1% HV 20d 29.8% 24.9% 34.6% 32.7% 31.2% HV 60d 35.2% 31.2% 39.8% 39.5% 31.2% IV Rank 13.6% 0.0% 26.2% 20.9% 2.4% IV Percentile 26.4% 0.0% 57.5% 41.7% 0.4% Term Structure -1.0% -1.9% 0.1% -1.3% 0.1% VWIV 36.5% 30.4% 48.2% 48.2% 31.9% Skew 25d 3.7% 2.3% 5.2% 5.0% 2.9% Skew 10d 6.5% 3.9% 9.0% 8.5% 5.1% Call IV 25d 34.9% 28.8% 39.7% 37.9% 29.8% Put IV 25d 38.6% 31.3% 44.8% 42.9% 32.7% Bid-Ask Spread % 2.68 1.61 4.17 2.53 2.45 Gamma HHI 0.07 0.05 0.14 0.12 0.06 Net GEX 78.6M 10.4M 114.6M 94.0M 77.1M Net DEX -3.43B -4.69B -2.50B -2.80B -3.71B Net VEX -22.2M -22.9M -21.6M -22.6M -22.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.43 0.83 0.53 0.64 Total Volume 5,160,278 2,206,800 16,178,000 3,074,640 2,206,800 Total OI 35,880,352 32,978,200 40,654,400 34,809,960 37,337,840
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 2019-11-01 $5.05 $4.75 40.3% 13.9% 32.7% 20.9% 48.2% 5.0% -1.3% 94.0M -2.80B -22.6M 0.53 2.53 N/A N/A 2,006,040 1,068,600 17,636,520 17,173,440 2019-11-04 $5.25 $4.13 42.0% 11.3% 34.6% 25.4% 39.8% 5.0% -1.1% 78.4M -3.61B -22.1M 0.43 2.78 N/A N/A 2,902,360 1,255,840 16,489,240 16,488,960 2019-11-05 $5.27 $4.25 41.9% 11.4% 30.3% 25.4% 40.4% 5.0% -1.1% 85.9M -3.72B -22.1M 0.68 4.09 N/A N/A 2,094,280 1,434,280 16,859,080 16,847,160 2019-11-06 $5.19 $4.25 42.0% 11.6% 31.1% 25.4% 39.8% 4.9% -1.1% 65.6M -3.21B -22.5M 0.56 2.56 N/A N/A 2,041,440 1,134,640 17,173,640 17,200,480 2019-11-07 $5.19 $4.38 42.3% 11.4% 31.2% 26.2% 39.9% 5.2% -1.5% 73.6M -3.25B -22.5M 0.46 4.17 N/A N/A 2,748,040 1,275,480 17,540,080 17,326,000 2019-11-08 $5.18 $4.38 41.9% 11.5% 30.6% 25.2% 39.5% 4.9% -1.4% 56.5M -3.13B -22.5M 0.68 3.03 N/A N/A 1,970,280 1,333,800 17,915,680 17,562,200 2019-11-11 $5.21 $4.38 41.1% 11.2% 30.4% 23.1% 38.9% 4.7% -1.8% 60.8M -3.25B -22.0M 0.74 2.08 N/A N/A 1,752,720 1,305,120 17,034,040 16,942,040 2019-11-12 $5.24 $4.38 41.5% 11.4% 25.1% 24.2% 39.8% 4.5% -1.7% 66.2M -3.44B -22.1M 0.83 2.89 N/A N/A 1,617,800 1,349,840 17,608,040 17,403,760 2019-11-13 $5.20 $4.38 41.2% 11.3% 25.0% 24.7% 38.9% 4.0% -1.9% 62.5M -3.24B -22.2M 0.59 2.30 N/A N/A 2,315,760 1,360,080 17,953,200 17,916,320 2019-11-14 $5.23 $4.50 41.3% 11.4% 24.9% 25.0% 40.0% 3.5% -1.8% 70.0M -3.47B -22.2M 0.76 3.49 N/A N/A 5,266,440 4,005,440 18,662,840 18,378,360 2019-11-15 $5.09 $4.50 31.8% 9.1% 26.5% 0.0% 31.9% 2.3% -0.3% 10.4M -2.50B -21.9M 0.69 1.97 N/A N/A 9,557,640 6,620,360 20,368,440 20,285,960 2019-11-18 $5.31 $4.50 31.3% 9.0% 29.1% 0.0% 31.9% 2.5% -0.8% 103.4M -3.64B -21.8M 0.59 2.35 N/A N/A 4,643,720 2,732,360 17,593,440 17,124,840 2019-11-19 $5.20 $4.63 31.6% 9.1% 30.4% 0.7% 31.6% 2.6% -0.7% 76.9M -2.91B -22.0M 0.63 1.61 N/A N/A 3,148,280 1,996,880 18,048,320 17,651,320 2019-11-20 $5.27 $4.63 34.1% 9.8% 30.4% 8.5% 34.2% 3.1% -1.0% 99.4M -3.34B -22.6M 0.47 2.84 N/A N/A 5,588,960 2,625,920 18,483,600 18,075,240 2019-11-21 $5.26 $4.63 34.4% 9.9% 30.4% 9.6% 34.7% 3.0% -1.2% 91.5M -3.18B -22.9M 0.56 2.25 N/A N/A 2,423,880 1,351,320 18,845,920 18,723,720 2019-11-22 $5.27 $4.75 32.7% 9.5% 27.4% 4.2% 33.1% 3.1% -0.8% 109.2M -3.37B -22.4M 0.56 2.64 N/A N/A 2,839,880 1,578,240 19,124,040 18,922,440 2019-11-25 $5.53 $4.75 31.2% 9.2% 31.8% 0.0% 32.9% 2.6% -0.1% 114.6M -4.69B -21.6M 0.62 2.47 N/A N/A 4,819,600 2,974,840 17,760,640 17,635,360 2019-11-26 $5.45 $4.75 31.0% 9.0% 31.6% 0.0% 31.5% 2.7% 0.0% 79.7M -4.03B -22.1M 0.63 2.28 N/A N/A 3,000,080 1,891,400 18,181,840 18,365,680 2019-11-27 $5.45 $4.94 29.9% 8.7% 31.6% 0.0% 30.4% 2.5% 0.0% 97.3M -4.02B -22.1M 0.64 2.79 N/A N/A 1,805,960 1,161,160 18,416,080 18,551,240 2019-11-29 $5.41 $5.00 30.8% 9.1% 31.2% 2.4% 31.9% 2.9% 0.1% 77.1M -3.71B -22.3M 0.64 2.45 N/A N/A 1,345,000 861,800 18,655,560 18,682,280
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