NVDA Options History — February 2020 In February 2020, NVDA traded between $6.00 and $7.84. ATM implied volatility averaged 45.1%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 3.5% (HV 20d: 41.5%). Max pain ranged from $5.50 to $6.13. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.54.
Notable Days 2020-02-14 : Highest Volume — 22,072,160 contracts2020-02-14 : Largest IV drop — 26.4% change2020-02-25 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 22.1%Monthly Statistics Metric Avg Min Max Open Close Price $6.76 $6.00 $7.84 $6.00 $6.52 Max Pain $5.85 $5.50 $6.13 $6.00 $6.13 ATM IV 45.1% 31.5% 71.3% 43.6% 71.3% Expected Move 13.0% 9.0% 22.1% 13.8% 22.1% HV 20d 41.5% 29.6% 57.7% 29.6% 57.7% HV 60d 31.3% 27.1% 38.2% 27.1% 37.7% IV Rank 58.4% 14.0% 100.0% 57.2% 100.0% IV Percentile 72.7% 9.9% 100.0% 82.9% 100.0% Term Structure -1.1% -3.5% 2.7% -1.8% -3.5% VWIV 45.6% 32.1% 78.3% 48.5% 78.3% Skew 25d 5.0% -0.0% 14.4% 5.4% 12.1% Skew 10d 9.1% -0.4% 32.8% 9.8% 32.8% Call IV 25d 42.8% 30.7% 67.6% 40.5% 67.6% Put IV 25d 47.8% 33.1% 79.7% 45.9% 79.7% Bid-Ask Spread % 7.58 2.48 20.95 2.48 20.95 Gamma HHI 0.08 0.03 0.43 0.05 0.03 Net GEX 94.3M 8.5M 339.3M 33.4M 36.5M Net DEX -5.14B -10.45B -1.67B -2.37B -2.37B Net VEX -23.9M -30.0M -20.1M -23.6M -30.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.32 0.86 0.66 0.86 Total Volume 8,318,202.105 2,659,840 22,072,160 2,659,840 11,363,840 Total OI 33,849,435.789 29,278,680 39,574,400 29,278,680 36,927,480
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 2020-02-03 $6.00 $6.00 43.6% 13.8% 29.6% 57.2% 48.5% 5.4% -1.8% 33.4M -2.37B -23.6M 0.66 2.48 N/A N/A 1,597,760 1,062,080 14,030,120 15,248,560 2020-02-04 $6.18 $6.00 42.4% 13.8% 31.2% 53.2% 48.0% 5.3% -1.8% 68.6M -3.32B -23.0M 0.47 2.52 N/A N/A 2,382,040 1,117,480 14,242,680 15,523,560 2020-02-05 $6.27 $6.00 42.0% 13.7% 31.3% 51.6% 48.0% 4.8% -2.0% 91.5M -3.82B -22.9M 0.66 3.54 N/A N/A 1,818,960 1,197,000 14,602,440 15,735,760 2020-02-06 $6.34 $5.50 40.2% 10.7% 31.4% 45.2% 37.8% 4.2% -1.9% 104.9M -4.18B -22.7M 0.50 4.44 N/A N/A 1,991,920 988,280 14,834,120 16,102,600 2020-02-07 $6.29 $5.50 41.4% 11.1% 31.6% 49.7% 38.7% 4.5% -2.0% 105.5M -3.95B -23.0M 0.59 5.89 N/A N/A 1,940,760 1,151,760 15,259,680 16,303,280 2020-02-10 $6.55 $5.50 42.3% 11.5% 34.5% 52.7% 40.3% 3.5% -1.8% 78.1M -4.96B -22.1M 0.49 3.98 N/A N/A 4,088,040 2,013,040 14,466,800 15,578,920 2020-02-11 $6.68 $5.50 44.5% 12.0% 33.6% 60.4% 42.3% 3.4% -2.2% 85.0M -5.55B -22.2M 0.49 4.48 N/A N/A 5,262,560 2,567,480 15,156,760 16,175,240 2020-02-12 $6.82 $5.63 42.6% 11.5% 33.4% 53.8% 41.1% 2.8% -2.4% 97.6M -6.19B -22.3M 0.38 7.88 N/A N/A 4,429,000 1,698,000 16,046,320 16,897,200 2020-02-13 $6.77 $5.63 42.8% 11.7% 33.1% 54.5% 41.3% 3.2% -2.2% 95.6M -5.91B -22.9M 0.49 12.30 N/A N/A 6,407,440 3,112,040 17,104,880 17,551,440 2020-02-14 $7.25 $5.75 31.5% 9.0% 40.0% 14.0% 32.1% 2.4% -0.2% 339.3M -9.10B -20.1M 0.47 7.03 N/A N/A 14,999,080 7,073,080 19,152,640 18,706,360 2020-02-18 $7.41 $5.75 33.3% 9.5% 40.1% 20.5% 34.3% 2.1% 2.0% 150.1M -8.34B -20.8M 0.35 5.07 N/A N/A 6,343,680 2,222,920 17,275,840 17,671,640 2020-02-19 $7.84 $5.88 36.2% 10.4% 43.3% 30.9% 37.1% -0.0% 2.5% 154.9M -10.45B -20.5M 0.32 5.61 N/A N/A 11,331,000 3,670,000 17,933,080 18,252,200 2020-02-20 $7.73 $6.00 38.0% 10.7% 44.2% 37.2% 38.4% 2.3% 2.7% 158.5M -9.58B -22.7M 0.39 8.89 N/A N/A 9,510,080 3,696,640 19,194,120 19,176,080 2020-02-21 $7.29 $6.00 44.4% 12.6% 50.6% 60.2% 43.7% 4.6% 1.9% 72.2M -6.90B -25.5M 0.60 7.27 N/A N/A 7,630,640 4,571,640 20,042,360 19,532,040 2020-02-24 $6.89 $6.00 49.2% 13.9% 55.1% 77.5% 48.8% 4.4% -0.9% 46.4M -3.67B -26.8M 0.59 7.39 N/A N/A 4,976,920 2,951,600 16,865,560 15,996,520 2020-02-25 $6.57 $6.13 56.0% 15.4% 56.0% 100.0% 54.1% 7.9% -2.6% 23.3M -2.33B -27.2M 0.70 17.03 N/A N/A 4,894,920 3,409,080 17,476,120 16,577,280 2020-02-26 $6.70 $6.13 53.4% 14.8% 55.3% 90.9% 52.1% 7.0% -2.0% 41.7M -2.93B -27.5M 0.52 7.36 N/A N/A 4,526,520 2,358,320 18,111,720 17,119,320 2020-02-27 $6.42 $6.13 61.5% 17.8% 57.5% 100.0% 61.4% 14.4% -3.4% 8.5M -1.67B -28.1M 0.67 9.97 N/A N/A 4,592,480 3,097,760 18,662,880 17,605,680 2020-02-28 $6.52 $6.13 71.3% 22.1% 57.7% 100.0% 78.3% 12.1% -3.5% 36.5M -2.37B -30.0M 0.86 20.95 N/A N/A 6,124,320 5,239,520 19,198,320 17,729,160
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