NVDA Options History — November 2020 In November 2020, NVDA traded between $12.51 and $14.58. ATM implied volatility averaged 47.6%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 5.8% (HV 20d: 53.5%). Max pain ranged from $11.50 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.59.
Notable Days 2020-11-19 : Highest Volume — 12,367,280 contracts2020-11-10 : Largest IV spike — 11.6% change2020-11-02 : Highest IV Rank — 36.0%2020-11-02 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $13.37 $12.51 $14.58 $12.51 $13.32 Max Pain $12.24 $11.50 $13.00 $13.00 $12.50 ATM IV 47.6% 39.0% 56.8% 56.8% 42.1% Expected Move 13.9% 11.3% 18.3% 18.3% 12.3% HV 20d 53.5% 38.7% 59.2% 38.7% 49.7% HV 60d 49.2% 45.2% 50.7% 46.7% 45.2% IV Rank 24.7% 14.2% 36.0% 36.0% 18.0% IV Percentile 44.9% 17.5% 79.8% 79.8% 23.4% Term Structure -0.6% -1.3% 1.0% -0.7% 1.0% VWIV 48.8% 40.1% 61.9% 61.9% 43.6% Skew 25d 1.9% 0.3% 5.9% 5.9% 0.5% Skew 10d 2.6% -1.8% 10.9% 10.9% 0.7% Call IV 25d 47.0% 39.2% 53.6% 53.6% 42.4% Put IV 25d 48.9% 40.0% 59.5% 59.5% 42.9% Bid-Ask Spread % 18.53 3.96 36.57 19.33 20.70 Gamma HHI 0.04 0.03 0.10 0.03 0.03 Net GEX 103.6M 5.3M 235.9M 5.3M 92.2M Net DEX -8.40B -14.23B -4.95B -4.95B -8.11B Net VEX -37.9M -39.5M -36.2M -38.1M -39.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.47 0.74 0.54 0.51 Total Volume 6,085,418 2,928,240 12,367,280 2,928,240 4,218,560 Total OI 33,591,176 30,007,840 39,308,960 30,007,840 33,015,760
Daily Data (20 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 2020-11-02 $12.51 $13.00 56.8% 18.3% 38.7% 36.0% 61.9% 5.9% -0.7% 5.3M -4.95B -38.1M 0.54 19.33 N/A N/A 1,906,560 1,021,680 14,356,560 15,651,280 2020-11-03 $13.04 $13.00 55.2% 17.8% 41.7% 34.1% 61.9% 5.3% -1.0% 39.5M -6.97B -37.9M 0.47 30.35 N/A N/A 2,018,880 946,080 14,356,560 15,651,280 2020-11-04 $13.75 $13.00 49.8% 16.1% 45.9% 27.4% 56.4% 3.2% -1.3% 164.2M -10.29B -37.5M 0.73 18.16 N/A N/A 2,940,320 2,142,360 14,995,640 15,956,760 2020-11-05 $14.08 $11.50 48.4% 13.8% 46.5% 25.7% 48.5% 2.8% -0.1% 204.8M -11.87B -37.0M 0.62 21.08 N/A N/A 3,325,000 2,055,600 15,285,560 16,312,880 2020-11-06 $14.58 $11.50 47.8% 13.5% 48.0% 24.9% 47.9% 2.5% -0.6% 235.9M -14.23B -36.2M 0.64 18.34 N/A N/A 4,818,080 3,091,000 15,626,400 16,619,840 2020-11-09 $13.82 $11.75 48.2% 13.3% 50.2% 25.4% 46.9% 1.6% -1.2% 110.6M -9.89B -36.2M 0.55 24.93 N/A N/A 3,811,120 2,081,800 14,883,560 15,714,480 2020-11-10 $12.81 $11.75 53.8% 15.0% 56.5% 32.3% 52.1% 2.6% -1.2% 15.6M -5.43B -37.0M 0.65 24.96 N/A N/A 4,301,120 2,791,760 15,722,640 16,249,600 2020-11-11 $13.39 $11.88 51.6% 14.7% 59.2% 29.7% 51.8% 1.9% -0.5% 106.0M -8.42B -38.8M 0.49 28.56 N/A N/A 3,781,880 1,852,760 16,935,960 16,776,760 2020-11-12 $13.43 $12.00 53.9% 15.3% 59.1% 32.5% 53.9% 1.9% -0.9% 123.3M -8.62B -39.5M 0.59 19.22 N/A N/A 3,903,480 2,315,480 17,393,960 17,175,920 2020-11-13 $13.26 $12.00 51.7% 14.7% 59.1% 29.8% 51.5% 1.6% -0.7% 45.0M -7.55B -38.4M 0.74 21.27 N/A N/A 4,371,280 3,230,240 17,854,560 17,674,240 2020-11-16 $13.44 $12.00 50.6% 14.4% 58.8% 28.4% 51.0% 1.2% -1.0% 107.4M -8.83B -37.8M 0.58 13.60 N/A N/A 2,608,280 1,519,200 16,679,560 16,699,520 2020-11-17 $13.39 $12.00 51.1% 14.6% 58.6% 29.0% 50.9% 1.2% -1.3% 117.2M -8.77B -38.1M 0.71 11.06 N/A N/A 2,047,200 1,446,760 17,336,320 17,082,200 2020-11-18 $13.46 $12.25 48.0% 13.8% 58.5% 25.3% 48.3% 0.5% -0.3% 136.3M -9.24B -37.6M 0.55 36.57 N/A N/A 6,012,040 3,326,880 17,858,400 17,640,000 2020-11-19 $13.41 $12.25 42.5% 12.2% 58.3% 18.5% 43.4% 1.0% -0.6% 195.3M -8.97B -36.7M 0.61 17.79 N/A N/A 7,673,760 4,693,520 19,656,920 18,701,400 2020-11-20 $13.12 $12.38 41.7% 12.0% 58.5% 17.4% 42.4% 1.1% -0.6% 21.5M -7.34B -37.6M 0.58 21.79 N/A N/A 5,913,320 3,434,360 20,263,000 19,045,960 2020-11-23 $13.15 $12.50 40.8% 11.8% 57.1% 16.4% 41.8% 1.0% -0.6% 61.6M -7.02B -38.3M 0.51 5.81 N/A N/A 3,743,400 1,890,240 16,147,480 16,415,560 2020-11-24 $12.92 $12.50 39.4% 11.3% 56.7% 14.6% 40.1% 1.1% -0.3% 5.7M -5.91B -38.3M 0.57 3.96 N/A N/A 3,204,880 1,825,360 16,853,760 16,944,680 2020-11-25 $13.26 $12.50 39.0% 11.4% 54.5% 14.2% 40.4% 0.3% -0.1% 149.0M -7.88B -39.3M 0.59 4.50 N/A N/A 4,078,240 2,386,120 17,334,560 17,382,080 2020-11-27 $13.24 $12.50 39.6% 11.5% 53.6% 14.9% 40.5% 0.9% -1.1% 135.2M -7.76B -39.3M 0.50 8.68 N/A N/A 3,313,280 1,666,480 17,960,720 17,611,200 2020-11-30 $13.32 $12.50 42.1% 12.3% 49.7% 18.0% 43.6% 0.5% 1.0% 92.2M -8.11B -39.3M 0.51 20.70 N/A N/A 2,801,320 1,417,240 16,211,160 16,804,600
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