NVDA Options History — August 2020 In August 2020, NVDA traded between $10.84 and $13.42. ATM implied volatility averaged 49.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 16.1% (HV 20d: 33.4%). Max pain ranged from $8.63 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.47.
Notable Days 2020-08-21 : Highest Volume — 21,101,640 contracts2020-08-20 : Largest IV drop — 15.2% change2020-08-11 : Highest IV Rank — 32.7%2020-08-03 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $11.97 $10.84 $13.42 $11.01 $13.42 Max Pain $9.29 $8.63 $10.00 $10.00 $10.00 ATM IV 49.5% 42.9% 54.1% 51.9% 52.2% Expected Move 14.0% 12.2% 15.8% 15.8% 14.2% HV 20d 33.4% 25.8% 38.4% 30.1% 35.8% HV 60d 33.9% 32.1% 35.6% 35.6% 33.9% IV Rank 27.0% 18.9% 32.7% 30.0% 30.4% IV Percentile 67.7% 50.8% 79.4% 74.6% 74.2% Term Structure -0.6% -2.2% 1.2% -1.4% 0.2% VWIV 49.5% 43.3% 55.9% 55.9% 50.1% Skew 25d -0.2% -2.8% 2.5% 1.2% -2.8% Skew 10d -1.9% -6.3% 3.8% 1.1% -6.3% Call IV 25d 50.2% 44.6% 54.1% 52.0% 54.1% Put IV 25d 50.0% 43.0% 54.8% 53.2% 51.4% Bid-Ask Spread % 13.80 8.81 32.40 8.81 32.40 Gamma HHI 0.09 0.05 0.22 0.05 0.05 Net GEX 188.6M 76.5M 396.6M 136.0M 182.3M Net DEX -11.41B -15.66B -7.64B -9.09B -14.05B Net VEX -27.7M -32.0M -24.4M -25.9M -30.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.29 0.68 0.44 0.43 Total Volume 7,714,091.429 3,201,680 21,101,640 6,973,440 9,526,600 Total OI 30,827,834.286 26,877,120 37,837,080 26,877,120 31,159,360
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 2020-08-03 $11.01 $10.00 51.9% 15.8% 30.1% 30.0% 55.9% 1.2% -1.4% 136.0M -9.09B -25.9M 0.44 8.81 N/A N/A 4,842,840 2,130,600 13,330,600 13,546,520 2020-08-04 $11.18 $10.00 52.5% 15.8% 30.2% 30.8% 55.7% 1.3% -1.9% 147.6M -9.58B -26.6M 0.42 13.50 N/A N/A 3,266,600 1,375,760 13,789,280 13,971,600 2020-08-05 $11.26 $10.00 51.8% 15.6% 29.6% 29.8% 55.1% 0.7% -1.8% 180.4M -9.97B -26.3M 0.53 12.22 N/A N/A 2,465,680 1,300,520 14,228,480 14,306,960 2020-08-06 $11.33 $8.63 50.6% 13.9% 27.8% 28.4% 49.3% 0.8% -1.6% 206.8M -10.29B -26.3M 0.59 11.63 N/A N/A 2,010,640 1,191,040 14,589,520 14,575,240 2020-08-07 $11.19 $8.63 51.3% 14.1% 28.4% 29.3% 49.3% 1.4% -2.2% 169.0M -9.53B -26.8M 0.47 16.57 N/A N/A 4,513,560 2,133,200 14,744,080 14,715,640 2020-08-10 $11.14 $8.75 52.1% 14.4% 25.8% 30.3% 50.5% 1.6% -1.2% 109.9M -8.86B -26.4M 0.48 13.16 N/A N/A 3,055,720 1,458,960 13,903,000 13,959,360 2020-08-11 $10.84 $8.75 54.1% 14.9% 27.7% 32.7% 52.4% 2.5% -1.6% 76.5M -7.64B -27.9M 0.46 16.01 N/A N/A 2,282,000 1,054,720 14,639,840 14,452,880 2020-08-12 $11.42 $8.75 49.8% 14.0% 32.3% 27.4% 49.2% 1.0% -0.9% 186.5M -10.50B -26.1M 0.47 9.80 N/A N/A 3,954,160 1,870,120 15,101,600 14,822,720 2020-08-13 $11.47 $8.75 50.0% 14.0% 32.0% 27.6% 49.3% 0.8% -1.5% 210.3M -10.64B -26.4M 0.39 9.99 N/A N/A 4,495,800 1,764,320 15,287,400 14,965,520 2020-08-14 $11.51 $8.75 50.4% 14.1% 32.0% 28.1% 50.1% 0.9% -1.4% 265.7M -10.79B -26.5M 0.41 9.62 N/A N/A 5,301,520 2,154,240 15,793,760 15,209,440 2020-08-17 $12.32 $8.75 51.8% 14.7% 38.4% 29.9% 52.1% -0.9% -1.5% 154.0M -13.17B -24.4M 0.41 9.13 N/A N/A 6,842,800 2,810,880 14,662,280 14,412,080 2020-08-18 $12.29 $9.00 52.3% 14.9% 37.7% 30.5% 52.7% -1.6% -0.8% 140.0M -12.78B -25.5M 0.44 9.52 N/A N/A 4,548,080 1,984,040 15,518,640 15,227,120 2020-08-19 $12.16 $9.00 50.6% 14.5% 38.3% 28.4% 51.1% -1.2% -0.4% 146.8M -12.43B -26.0M 0.62 18.47 N/A N/A 6,218,880 3,877,880 16,498,480 16,015,120 2020-08-20 $12.24 $9.25 42.9% 12.2% 36.2% 18.9% 43.5% -1.6% 0.9% 229.6M -13.19B -26.0M 0.55 15.74 N/A N/A 10,672,280 5,850,920 18,691,240 18,019,560 2020-08-21 $12.66 $9.38 44.5% 12.7% 37.1% 21.0% 45.2% -1.4% 0.4% 396.6M -15.66B -28.4M 0.39 14.76 N/A N/A 15,215,680 5,885,960 19,372,640 18,464,440 2020-08-24 $12.71 $9.50 45.0% 12.7% 37.0% 21.5% 45.0% -1.8% 0.6% 172.7M -11.83B -30.0M 0.47 14.27 N/A N/A 4,394,520 2,063,080 15,398,920 14,667,760 2020-08-25 $12.73 $9.63 43.9% 12.2% 35.8% 20.2% 43.3% -1.3% 0.7% 174.3M -11.88B -30.3M 0.68 10.02 N/A N/A 2,165,320 1,464,760 15,983,280 15,317,280 2020-08-26 $12.77 $9.75 45.4% 12.9% 35.6% 22.0% 45.6% -1.1% 1.2% 188.1M -11.95B -31.8M 0.40 13.46 N/A N/A 3,538,040 1,432,560 16,366,920 15,782,600 2020-08-27 $12.68 $9.88 47.0% 13.1% 36.1% 24.0% 45.9% -0.1% 0.7% 188.7M -11.55B -32.0M 0.46 18.35 N/A N/A 3,288,920 1,503,920 16,636,920 15,997,720 2020-08-28 $13.12 $10.00 49.0% 13.8% 37.0% 26.5% 48.6% -1.9% 0.9% 298.6M -14.16B -31.2M 0.29 12.31 N/A N/A 12,488,240 3,600,560 16,972,880 16,285,840 2020-08-31 $13.42 $10.00 52.2% 14.2% 35.8% 30.4% 50.1% -2.8% 0.2% 182.3M -14.05B -30.9M 0.43 32.40 N/A N/A 6,653,240 2,873,360 15,828,840 15,330,520
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