NVDA Options History — January 2020 In January 2020, NVDA traded between $5.90 and $6.32. ATM implied volatility averaged 36.7%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 15.5% (HV 20d: 21.2%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2020-01-10 : Highest Volume — 7,560,640 contracts2020-01-13 : Largest IV spike — 12.2% change2020-01-31 : Highest IV Rank — 71.5%2020-01-31 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.12 $5.90 $6.32 $5.98 $5.90 Max Pain $5.71 $5.00 $6.00 $5.00 $6.00 ATM IV 36.7% 29.3% 47.5% 29.3% 47.5% Expected Move 11.0% 8.3% 14.8% 8.3% 14.8% HV 20d 21.2% 18.1% 29.2% 18.4% 29.2% HV 60d 26.4% 24.7% 28.9% 28.9% 26.9% IV Rank 30.4% 5.4% 71.5% 5.4% 71.5% IV Percentile 39.4% 4.0% 90.1% 4.0% 90.1% Term Structure 1.0% -2.0% 8.2% 0.2% -0.5% VWIV 38.7% 29.6% 50.9% 29.6% 50.9% Skew 25d 4.1% 2.8% 6.1% 3.4% 6.1% Skew 10d 7.7% 5.3% 11.4% 6.4% 11.4% Call IV 25d 34.7% 27.6% 44.9% 28.1% 44.9% Put IV 25d 38.7% 30.6% 51.0% 31.5% 51.0% Bid-Ask Spread % 4.35 2.21 7.08 2.59 5.09 Gamma HHI 0.09 0.05 0.17 0.12 0.11 Net GEX 89.8M -31.2M 177.5M 143.0M -31.2M Net DEX -4.74B -7.01B -1.61B -5.59B -1.61B Net VEX -21.2M -24.1M -19.3M -20.3M -24.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.46 0.80 0.58 0.80 Total Volume 4,408,729.524 2,666,840 7,560,640 3,956,560 4,746,920 Total OI 34,360,226.667 26,693,240 41,742,920 37,194,080 31,107,200
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 2020-01-02 $5.98 $5.00 29.3% 8.3% 18.4% 5.4% 29.6% 3.4% 0.2% 143.0M -5.59B -20.3M 0.58 2.59 N/A N/A 2,500,040 1,456,520 18,506,400 18,687,680 2020-01-03 $5.92 $5.00 30.5% 8.7% 19.3% 9.2% 31.6% 4.1% 0.4% 75.8M -5.04B -20.9M 0.74 2.21 N/A N/A 1,955,680 1,442,120 18,775,480 18,989,920 2020-01-06 $5.92 $5.50 30.5% 10.6% 19.1% 9.1% 37.2% 4.1% 6.1% 93.7M -5.01B -20.5M 0.65 4.28 N/A N/A 1,620,680 1,046,160 17,876,880 18,473,240 2020-01-07 $6.01 $5.50 29.8% 10.4% 19.0% 7.0% 36.4% 3.5% 6.4% 121.2M -5.59B -20.2M 0.46 2.95 N/A N/A 2,670,200 1,219,600 18,203,480 18,794,520 2020-01-08 $6.02 $5.50 29.4% 10.2% 18.9% 5.6% 35.8% 3.5% 6.7% 130.9M -5.69B -20.0M 0.68 4.00 N/A N/A 1,874,960 1,279,600 18,460,080 19,045,440 2020-01-09 $6.08 $5.50 30.3% 10.0% 18.9% 8.4% 35.4% 3.0% 7.3% 148.9M -6.00B -19.9M 0.50 3.75 N/A N/A 3,291,760 1,639,240 18,671,720 19,260,920 2020-01-10 $6.11 $5.50 31.6% 10.1% 18.6% 12.6% 35.7% 2.8% 8.2% 177.5M -6.25B -19.9M 0.51 3.84 N/A N/A 5,004,960 2,555,680 18,921,640 19,597,320 2020-01-13 $6.29 $5.50 35.5% 10.4% 18.1% 24.6% 36.1% 3.7% -0.9% 126.1M -7.01B -19.3M 0.50 3.74 N/A N/A 4,573,280 2,286,480 18,345,880 19,207,480 2020-01-14 $6.20 $5.63 36.5% 10.4% 19.6% 27.9% 36.8% 3.8% -0.7% 100.4M -6.27B -20.1M 0.77 4.17 N/A N/A 2,783,120 2,145,320 18,783,280 19,824,520 2020-01-15 $6.12 $5.63 38.1% 10.8% 20.5% 32.9% 37.3% 4.2% -0.1% 79.8M -5.72B -20.6M 0.55 7.08 N/A N/A 2,695,400 1,479,480 19,106,840 20,375,800 2020-01-16 $6.21 $5.63 36.0% 10.0% 20.7% 26.3% 35.2% 4.0% -1.7% 126.1M -6.44B -20.2M 0.62 6.12 N/A N/A 3,197,840 1,983,560 19,628,880 20,777,920 2020-01-17 $6.21 $6.00 35.6% 10.0% 20.7% 25.1% 35.3% 4.0% -1.1% 88.4M -6.36B -21.2M 0.58 5.30 N/A N/A 2,136,880 1,238,080 20,260,040 21,482,880 2020-01-21 $6.20 $6.00 37.6% 10.7% 19.6% 31.3% 37.2% 4.0% -0.6% 66.1M -3.41B -20.7M 0.59 5.50 N/A N/A 1,854,360 1,097,240 12,714,200 13,979,040 2020-01-22 $6.26 $6.00 37.8% 10.8% 19.5% 31.8% 37.8% 3.8% -1.2% 91.3M -3.82B -20.7M 0.54 4.89 N/A N/A 2,774,520 1,506,760 13,359,720 14,338,200 2020-01-23 $6.32 $6.00 38.6% 11.1% 19.6% 35.4% 39.2% 3.9% -1.3% 104.2M -4.12B -21.5M 0.62 3.56 N/A N/A 2,260,320 1,406,600 13,798,280 14,735,880 2020-01-24 $6.25 $6.00 41.2% 12.0% 20.3% 45.9% 41.5% 3.4% -2.0% 59.0M -3.64B -21.9M 0.58 6.39 N/A N/A 4,008,600 2,305,520 14,019,000 15,116,400 2020-01-27 $6.01 $6.00 45.5% 13.6% 25.0% 63.2% 47.2% 4.7% -1.2% 28.6M -2.40B -22.9M 0.77 5.69 N/A N/A 2,722,440 2,092,480 13,668,760 14,423,560 2020-01-28 $6.21 $6.00 43.1% 13.0% 27.3% 55.4% 45.7% 4.9% -0.9% 79.9M -3.52B -23.2M 0.64 2.92 N/A N/A 2,588,840 1,645,320 14,442,680 15,020,920 2020-01-29 $6.15 $6.00 42.6% 12.9% 26.5% 53.8% 45.3% 5.1% -0.9% 54.4M -3.12B -23.1M 0.67 3.21 N/A N/A 1,922,160 1,279,640 14,657,120 15,450,440 2020-01-30 $6.13 $6.00 43.0% 13.1% 26.3% 55.2% 45.8% 5.3% -0.9% 21.7M -2.92B -23.4M 0.63 3.99 N/A N/A 2,643,080 1,651,880 14,821,840 15,853,280 2020-01-31 $5.90 $6.00 47.5% 14.8% 29.2% 71.5% 50.9% 6.1% -0.5% -31.2M -1.61B -24.1M 0.80 5.09 N/A N/A 2,633,920 2,113,000 15,107,240 15,999,960
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