NVDA Options History — December 2019 In December 2019, NVDA traded between $5.17 and $5.97. ATM implied volatility averaged 30.0%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.9% (HV 20d: 28.1%). Max pain ranged from $4.75 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2019-12-13 : Highest Volume — 8,023,000 contracts2019-12-13 : Largest IV drop — 8.7% change2019-12-03 : Highest IV Rank — 14.2%2019-12-03 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $5.61 $5.17 $5.97 $5.25 $5.88 Max Pain $4.88 $4.75 $5.00 $5.00 $5.00 ATM IV 30.0% 27.6% 34.7% 33.1% 29.8% Expected Move 8.8% 7.8% 10.6% 10.0% 8.4% HV 20d 28.1% 19.6% 33.3% 33.3% 19.6% HV 60d 31.1% 28.8% 32.5% 31.9% 28.8% IV Rank 4.3% 0.0% 14.2% 9.4% 7.1% IV Percentile 2.7% 0.0% 13.1% 4.8% 4.8% Term Structure 0.7% -0.2% 2.0% 1.1% 0.3% VWIV 30.9% 27.4% 38.1% 35.4% 30.1% Skew 25d 3.9% 2.5% 5.6% 4.0% 3.7% Skew 10d 7.5% 4.9% 11.0% 7.7% 7.4% Call IV 25d 28.4% 26.2% 32.5% 31.2% 28.5% Put IV 25d 32.2% 29.1% 38.1% 35.2% 32.2% Bid-Ask Spread % 2.25 1.69 4.14 2.18 2.24 Gamma HHI 0.10 0.05 0.20 0.05 0.10 Net GEX 102.5M 37.8M 170.8M 49.0M 92.8M Net DEX -4.59B -7.25B -2.23B -2.71B -4.81B Net VEX -21.5M -23.1M -20.5M -22.5M -20.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.34 0.92 0.63 0.51 Total Volume 4,332,521.905 2,203,360 8,023,000 4,384,920 3,104,560 Total OI 37,896,944.762 35,464,240 42,024,440 35,464,240 36,610,800
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 2019-12-02 $5.25 $5.00 33.1% 10.0% 33.3% 9.4% 35.4% 4.0% 1.1% 49.0M -2.71B -22.5M 0.63 2.18 N/A N/A 2,686,600 1,698,320 17,650,480 17,813,760 2019-12-03 $5.17 $5.00 34.7% 10.6% 30.9% 14.2% 38.1% 5.6% 1.6% 37.8M -2.23B -23.1M 0.92 2.04 N/A N/A 2,871,920 2,639,200 18,433,840 18,330,680 2019-12-04 $5.24 $5.00 32.7% 9.9% 31.2% 8.1% 34.5% 4.9% 1.7% 60.3M -2.76B -23.0M 0.50 2.22 N/A N/A 2,282,320 1,139,160 18,824,680 18,805,840 2019-12-05 $5.22 $4.75 31.6% 9.6% 30.7% 5.1% 34.0% 5.1% 1.8% 47.1M -2.64B -22.8M 0.71 1.90 N/A N/A 1,374,760 977,120 19,165,200 19,018,720 2019-12-06 $5.31 $4.75 29.6% 9.2% 31.2% 0.0% 31.5% 4.5% 2.0% 121.3M -3.31B -22.5M 0.56 1.94 N/A N/A 2,428,520 1,365,560 19,330,720 19,152,560 2019-12-09 $5.30 $4.75 32.0% 9.5% 31.2% 7.2% 32.8% 5.1% 0.6% 75.3M -3.19B -22.1M 0.87 2.18 N/A N/A 1,315,240 1,142,920 18,125,600 18,219,720 2019-12-10 $5.34 $4.75 32.5% 9.3% 31.2% 8.5% 33.1% 5.1% -0.2% 85.9M -3.42B -22.2M 0.59 2.35 N/A N/A 2,354,440 1,377,720 18,452,280 18,667,640 2019-12-11 $5.42 $4.75 31.9% 9.4% 31.5% 6.8% 32.3% 5.0% 0.7% 114.4M -3.98B -22.1M 0.64 2.03 N/A N/A 1,590,960 1,016,120 18,862,800 19,074,840 2019-12-12 $5.60 $4.75 31.1% 8.9% 33.2% 4.4% 32.6% 4.1% 0.1% 137.2M -5.26B -21.6M 0.60 4.14 N/A N/A 3,257,760 1,940,160 19,136,400 19,400,880 2019-12-13 $5.61 $4.75 28.4% 8.2% 33.2% 0.0% 29.1% 3.3% 0.3% 170.8M -5.42B -21.0M 0.34 2.39 N/A N/A 5,985,640 2,037,360 19,393,400 19,651,680 2019-12-16 $5.64 $4.75 28.0% 8.1% 31.1% 0.0% 28.1% 3.6% -0.1% 119.0M -5.17B -20.5M 0.58 1.96 N/A N/A 3,153,080 1,824,200 18,778,640 18,945,200 2019-12-17 $5.70 $4.88 27.6% 7.9% 27.9% 0.0% 28.3% 3.6% 0.5% 123.5M -5.53B -20.6M 0.77 1.69 N/A N/A 2,376,160 1,823,520 19,155,280 19,464,920 2019-12-18 $5.76 $4.88 28.0% 8.0% 26.5% 1.1% 28.3% 3.2% 0.2% 132.7M -5.84B -20.7M 0.69 2.30 N/A N/A 3,347,360 2,296,240 19,463,600 20,036,040 2019-12-19 $5.88 $4.88 27.8% 8.0% 27.0% 0.7% 28.3% 3.0% 0.4% 158.0M -6.84B -20.8M 0.52 2.29 N/A N/A 4,465,080 2,312,280 20,314,680 20,896,640 2019-12-20 $5.95 $4.88 28.1% 8.0% 27.0% 1.4% 28.6% 2.5% 0.4% 157.4M -7.25B -20.9M 0.42 2.81 N/A N/A 5,365,840 2,263,840 20,650,640 21,373,800 2019-12-23 $5.97 $5.00 27.6% 7.8% 27.0% 0.1% 27.4% 2.9% 0.7% 108.7M -5.64B -20.7M 0.58 2.09 N/A N/A 2,965,760 1,715,680 17,701,000 18,256,560 2019-12-24 $5.95 $5.00 28.0% 8.0% 22.2% 1.3% 28.4% 3.1% 0.6% 109.5M -5.51B -21.0M 0.42 1.82 N/A N/A 1,556,360 647,000 18,445,000 18,727,240 2019-12-26 $5.96 $5.00 28.9% 8.3% 21.1% 3.8% 29.3% 2.7% 0.5% 114.6M -5.59B -20.8M 0.82 2.49 N/A N/A 1,598,960 1,304,480 18,599,120 18,840,560 2019-12-27 $5.91 $5.00 29.3% 8.3% 21.6% 5.0% 29.2% 3.1% 0.6% 69.0M -5.12B -21.0M 0.53 1.97 N/A N/A 2,762,040 1,454,200 18,808,000 19,163,600 2019-12-30 $5.80 $5.00 29.8% 8.5% 22.8% 7.1% 30.5% 3.5% 0.3% 68.7M -4.19B -21.1M 0.78 2.26 N/A N/A 1,782,000 1,382,520 17,878,280 18,214,520 2019-12-31 $5.88 $5.00 29.8% 8.4% 19.6% 7.1% 30.1% 3.7% 0.3% 92.8M -4.81B -20.9M 0.51 2.24 N/A N/A 2,053,440 1,051,120 18,165,800 18,445,000
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