NVDA Options History — March 2020 In March 2020, NVDA traded between $4.78 and $7.04. ATM implied volatility averaged 77.3%, placing in the 77.6% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 8.2% (HV 20d: 85.6%). Max pain ranged from $6.13 to $6.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.90.
Notable Days 2020-03-24 : Highest Volume — 7,016,640 contracts2020-03-05 : Largest IV spike — 25.8% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 31.1%Monthly Statistics Metric Avg Min Max Open Close Price $6.07 $4.78 $7.04 $6.84 $6.52 Max Pain $6.32 $6.13 $6.50 $6.13 $6.25 ATM IV 77.3% 51.4% 108.6% 60.0% 66.3% Expected Move 22.2% 15.3% 31.1% 17.3% 19.4% HV 20d 85.6% 57.6% 114.5% 57.6% 112.5% HV 60d 56.6% 38.6% 74.0% 38.6% 74.0% IV Rank 77.6% 47.7% 100.0% 74.2% 47.7% IV Percentile 98.1% 92.9% 100.0% 99.2% 92.9% Term Structure -2.8% -7.3% 2.0% -1.9% -3.6% VWIV 75.9% 56.0% 100.8% 61.0% 68.2% Skew 25d 21.6% 11.7% 35.3% 13.9% 19.8% Skew 10d 37.9% 23.4% 62.7% 26.4% 30.3% Call IV 25d 65.3% 46.0% 87.6% 51.2% 56.1% Put IV 25d 86.9% 57.8% 122.9% 65.0% 75.9% Bid-Ask Spread % 19.16 6.86 29.38 9.56 24.51 Gamma HHI 0.04 0.03 0.05 0.04 0.04 Net GEX 13.9M -22.7M 81.0M 52.4M 34.4M Net DEX -1.37B -4.82B 2.14B -3.85B -2.72B Net VEX -28.1M -30.7M -24.3M -28.8M -27.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.59 1.31 0.65 0.77 Total Volume 5,054,443.636 3,559,640 7,016,640 5,616,400 5,509,200 Total OI 33,662,972.727 29,008,000 36,997,240 33,845,040 30,127,320
Daily Data (22 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 2020-03-02 $6.84 $6.13 60.0% 17.3% 57.6% 74.2% 61.0% 13.9% -1.9% 52.4M -3.85B -28.8M 0.65 9.56 N/A N/A 3,408,560 2,207,840 17,007,000 16,838,040 2020-03-03 $6.70 $6.13 58.5% 17.8% 58.4% 70.7% 61.0% 14.0% -1.2% 37.2M -3.19B -29.1M 0.74 6.86 N/A N/A 2,688,920 1,994,960 17,413,320 17,301,200 2020-03-04 $7.04 $6.25 51.4% 15.3% 60.0% 54.5% 56.0% 11.7% -0.6% 81.0M -4.82B -28.8M 0.63 9.73 N/A N/A 3,710,920 2,323,680 17,787,320 17,642,200 2020-03-05 $6.82 $6.50 64.7% 17.2% 61.4% 84.8% 60.4% 14.0% -2.5% 51.9M -3.71B -30.0M 0.59 8.09 N/A N/A 3,583,800 2,102,800 18,350,760 18,066,640 2020-03-06 $6.58 $6.50 69.0% 18.8% 62.9% 94.7% 65.8% 20.2% -1.6% 9.7M -2.45B -30.7M 0.87 19.10 N/A N/A 3,151,880 2,731,560 18,589,280 18,407,960 2020-03-09 $6.22 $6.50 74.3% 20.7% 66.3% 100.0% 69.8% 23.0% -1.8% 2.2M -1.29B -30.4M 0.81 21.60 N/A N/A 2,139,280 1,728,040 17,008,600 17,280,160 2020-03-10 $6.46 $6.50 69.5% 18.6% 66.0% 89.9% 64.6% 18.5% -4.4% 16.0M -2.21B -29.9M 0.72 12.49 N/A N/A 2,245,720 1,626,920 17,211,920 17,423,760 2020-03-11 $6.17 $6.50 76.0% 20.9% 67.4% 100.0% 70.0% 21.6% -3.7% -935.2K -1.12B -29.6M 0.80 17.42 N/A N/A 1,982,520 1,577,120 17,426,720 17,581,200 2020-03-12 $5.52 $6.50 91.6% 25.2% 76.6% 100.0% 83.6% 25.4% -6.2% -21.8M 876.7M -27.8M 1.28 22.45 N/A N/A 2,171,080 2,778,200 17,667,960 17,669,840 2020-03-13 $5.76 $6.38 82.8% 22.6% 78.8% 86.3% 73.8% 25.6% -7.3% -18.7M 358.2M -27.7M 0.86 29.38 N/A N/A 2,590,440 2,218,120 17,810,880 17,896,280 2020-03-16 $5.15 $6.38 99.5% 28.2% 81.3% 100.0% 91.8% 25.9% -4.5% -18.8M 1.41B -25.7M 1.19 18.03 N/A N/A 1,861,480 2,222,040 16,617,800 17,233,480 2020-03-17 $5.39 $6.38 95.4% 27.2% 83.1% 94.3% 92.7% 31.1% -4.0% -15.4M 883.8M -27.0M 0.92 26.95 N/A N/A 2,675,440 2,470,200 17,041,560 17,726,840 2020-03-18 $4.78 $6.25 108.6% 31.1% 86.3% 100.0% 100.8% 35.3% -2.0% -22.7M 2.14B -24.7M 0.87 27.81 N/A N/A 2,753,880 2,386,680 17,366,480 18,327,280 2020-03-19 $5.35 $6.25 93.4% 26.9% 99.3% 81.2% 95.8% 27.8% -4.0% -6.6M 660.5M -27.0M 0.71 26.32 N/A N/A 2,924,880 2,070,120 17,944,120 17,904,240 2020-03-20 $5.22 $6.25 86.2% 24.8% 98.2% 72.3% 83.8% 23.5% -0.6% -9.3M 1.08B -25.1M 1.31 25.97 N/A N/A 2,953,520 3,869,120 17,991,480 17,855,240 2020-03-23 $5.25 $6.25 72.7% 22.2% 97.3% 55.7% 74.5% 21.3% -0.2% -16.8M 757.4M -24.3M 1.27 26.21 N/A N/A 2,306,800 2,932,040 13,945,760 15,062,240 2020-03-24 $6.17 $6.25 72.5% 21.8% 114.5% 55.4% 76.3% 19.1% -3.0% 23.3M -2.05B -27.7M 0.96 16.30 N/A N/A 3,588,880 3,427,760 14,731,520 14,886,240 2020-03-25 $6.28 $6.25 83.1% 24.2% 114.5% 68.5% 81.4% 21.9% -4.0% 26.2M -2.38B -28.8M 0.86 19.74 N/A N/A 2,722,400 2,346,480 15,128,760 15,636,760 2020-03-26 $6.32 $6.25 80.3% 23.6% 113.6% 65.1% 82.3% 19.9% -4.0% 26.6M -2.47B -28.9M 1.26 17.90 N/A N/A 1,925,400 2,424,240 15,254,120 16,015,400 2020-03-27 $6.43 $6.25 78.0% 23.6% 113.6% 62.3% 82.6% 20.8% -1.7% 38.4M -2.90B -29.1M 0.89 19.87 N/A N/A 2,754,840 2,443,760 15,584,080 16,565,160 2020-03-30 $6.61 $6.25 67.9% 20.5% 112.7% 49.7% 72.9% 20.9% 2.0% 36.7M -3.07B -28.3M 0.95 15.26 N/A N/A 1,880,360 1,785,880 14,223,080 15,035,400 2020-03-31 $6.52 $6.25 66.3% 19.4% 112.5% 47.7% 68.2% 19.8% -3.6% 34.4M -2.72B -27.9M 0.77 24.51 N/A N/A 3,112,480 2,396,720 14,605,360 15,521,960
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