NVDA Options History — June 2020 In June 2020, NVDA traded between $8.73 and $9.50. ATM implied volatility averaged 44.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.1% (HV 20d: 39.1%). Max pain ranged from $6.38 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2020-06-10 : Highest Volume — 10,554,360 contracts2020-06-11 : Largest IV spike — 14.4% change2020-06-12 : Highest IV Rank — 27.6%2020-06-11 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.10 $8.73 $9.50 $8.79 $9.49 Max Pain $8.20 $6.38 $8.75 $6.38 $8.75 ATM IV 44.1% 40.9% 50.0% 44.5% 40.9% Expected Move 12.5% 11.2% 14.2% 12.8% 11.2% HV 20d 39.1% 34.9% 45.3% 41.1% 37.0% HV 60d 61.1% 45.5% 78.1% 78.1% 45.5% IV Rank 20.5% 16.4% 27.6% 20.9% 16.5% IV Percentile 62.4% 42.1% 73.4% 68.3% 42.1% Term Structure 0.1% -1.3% 0.9% 0.0% 0.9% VWIV 44.1% 39.9% 49.9% 45.4% 39.9% Skew 25d 5.1% 2.2% 6.8% 5.9% 5.1% Skew 10d 9.1% 2.5% 11.3% 11.0% 8.8% Call IV 25d 41.8% 38.7% 47.5% 42.1% 39.3% Put IV 25d 46.9% 43.2% 53.2% 48.1% 44.4% Bid-Ask Spread % 15.73 8.01 25.64 8.01 8.72 Gamma HHI 0.07 0.05 0.20 0.06 0.07 Net GEX 111.6M 46.4M 216.4M 90.6M 124.7M Net DEX -6.29B -8.53B -4.50B -7.28B -5.97B Net VEX -26.2M -27.7M -25.0M -26.8M -26.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.33 0.74 0.70 0.49 Total Volume 5,408,300 2,787,160 10,554,360 2,787,160 4,703,120 Total OI 30,465,838.182 24,254,520 34,272,000 31,764,240 26,186,680
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 2020-06-01 $8.79 $6.38 44.5% 12.8% 41.1% 20.9% 45.4% 5.9% 0.0% 90.6M -7.28B -26.8M 0.70 8.01 N/A N/A 1,636,520 1,150,640 15,381,360 16,382,880 2020-06-02 $8.76 $6.50 44.0% 12.3% 40.7% 20.2% 43.7% 5.8% -0.1% 95.2M -7.22B -25.9M 0.62 9.42 N/A N/A 1,737,720 1,072,280 15,738,040 16,680,640 2020-06-03 $8.79 $6.50 42.3% 12.2% 40.7% 18.2% 43.7% 5.6% 0.2% 109.5M -7.32B -26.2M 0.74 11.39 N/A N/A 1,983,080 1,465,040 15,911,040 16,954,320 2020-06-04 $8.73 $8.25 42.9% 12.3% 40.9% 19.0% 43.9% 5.1% -0.5% 99.3M -5.50B -26.3M 0.46 16.39 N/A N/A 4,176,920 1,929,560 14,492,280 17,356,040 2020-06-05 $8.90 $8.13 41.2% 11.8% 40.9% 16.8% 41.2% 4.5% -0.6% 216.4M -6.64B -25.5M 0.45 19.28 N/A N/A 5,394,000 2,423,400 15,286,040 17,628,600 2020-06-08 $8.77 $8.25 41.6% 12.0% 41.3% 17.3% 41.7% 4.4% 0.5% 86.4M -5.63B -25.1M 0.55 11.92 N/A N/A 2,249,200 1,229,240 13,778,920 16,808,120 2020-06-09 $9.03 $8.25 43.0% 12.2% 40.5% 19.0% 42.8% 3.8% -0.4% 123.1M -6.81B -25.7M 0.36 17.29 N/A N/A 4,466,520 1,593,040 14,105,120 17,282,200 2020-06-10 $9.40 $8.25 43.6% 12.5% 40.5% 19.7% 43.9% 2.2% -0.2% 183.3M -8.53B -25.0M 0.33 9.46 N/A N/A 7,932,960 2,621,400 14,752,400 17,538,840 2020-06-11 $8.90 $8.25 49.8% 14.2% 45.3% 27.5% 49.9% 5.8% -0.3% 84.4M -5.72B -26.8M 0.65 22.69 N/A N/A 4,125,360 2,675,520 15,461,240 17,920,640 2020-06-12 $8.88 $8.25 50.0% 14.1% 43.9% 27.6% 49.0% 5.9% -1.3% 69.2M -5.49B -27.0M 0.67 25.64 N/A N/A 4,307,680 2,890,520 15,385,320 18,237,040 2020-06-15 $9.11 $8.25 46.7% 13.4% 39.9% 23.7% 47.2% 6.3% 0.1% 87.5M -6.48B -26.1M 0.41 23.91 N/A N/A 3,446,400 1,423,440 13,906,840 17,250,040 2020-06-16 $9.00 $8.25 46.6% 13.4% 38.6% 23.5% 46.7% 6.8% 0.5% 88.1M -6.11B -26.1M 0.55 23.39 N/A N/A 4,117,320 2,244,720 14,621,440 17,610,480 2020-06-17 $9.21 $8.38 44.7% 12.8% 38.7% 21.2% 44.8% 5.5% 0.7% 141.9M -7.10B -26.0M 0.44 18.59 N/A N/A 3,797,280 1,670,320 14,951,760 18,209,960 2020-06-18 $9.18 $8.63 44.3% 12.7% 38.8% 20.6% 44.1% 5.5% 0.6% 140.5M -6.98B -25.5M 0.58 20.03 N/A N/A 2,230,440 1,303,000 15,372,280 18,524,520 2020-06-19 $9.29 $8.63 44.1% 12.6% 38.0% 20.3% 44.5% 5.1% 0.7% 201.4M -7.58B -25.5M 0.48 21.93 N/A N/A 5,734,680 2,753,400 15,557,720 18,714,280 2020-06-22 $9.50 $8.75 42.6% 12.0% 37.8% 18.6% 43.0% 4.1% 0.1% 105.1M -6.01B -25.7M 0.65 13.51 N/A N/A 2,663,440 1,734,760 11,722,640 12,531,880 2020-06-23 $9.46 $8.75 40.9% 11.6% 35.1% 16.4% 41.1% 3.5% 0.8% 110.1M -5.92B -25.8M 0.65 14.74 N/A N/A 3,045,800 1,974,400 12,281,320 13,163,760 2020-06-24 $9.30 $8.75 44.3% 12.5% 34.9% 20.7% 43.8% 5.2% 0.1% 68.3M -5.08B -26.9M 0.67 10.98 N/A N/A 3,062,800 2,057,320 12,701,040 13,652,680 2020-06-25 $9.43 $8.75 43.5% 12.2% 34.9% 19.6% 42.7% 5.1% 0.5% 134.4M -5.88B -26.6M 0.53 13.48 N/A N/A 2,826,880 1,484,160 13,119,320 13,863,760 2020-06-26 $9.19 $8.75 45.8% 12.8% 35.0% 22.5% 44.9% 5.8% 0.6% 46.4M -4.56B -27.7M 0.69 13.88 N/A N/A 3,814,760 2,620,280 13,520,640 14,208,520 2020-06-29 $9.16 $8.75 43.9% 12.2% 35.1% 20.1% 42.7% 5.9% 0.3% 49.6M -4.50B -27.5M 0.73 11.44 N/A N/A 1,852,600 1,360,680 12,111,720 13,384,080 2020-06-30 $9.49 $8.75 40.9% 11.2% 37.0% 16.5% 39.9% 5.1% 0.9% 124.7M -5.97B -26.7M 0.49 8.72 N/A N/A 3,152,080 1,551,040 12,562,600 13,624,080
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