NVDA Options History — December 2020 In December 2020, NVDA traded between $12.87 and $13.54. ATM implied volatility averaged 38.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 11.2% (HV 20d: 27.7%). Max pain ranged from $9.00 to $12.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2020-12-09 : Highest Volume — 7,227,080 contracts2020-12-31 : Largest IV drop — 4.7% change2020-12-01 : Highest IV Rank — 17.1%2020-12-01 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $13.21 $12.87 $13.54 $13.38 $13.00 Max Pain $11.33 $9.00 $12.50 $12.50 $12.13 ATM IV 38.9% 35.8% 41.4% 41.4% 36.2% Expected Move 11.2% 10.0% 12.2% 12.2% 10.1% HV 20d 27.7% 19.4% 49.7% 49.7% 19.7% HV 60d 40.3% 37.8% 44.9% 44.9% 37.8% IV Rank 13.5% 8.7% 17.1% 17.1% 8.7% IV Percentile 13.3% 5.2% 21.0% 21.0% 5.2% Term Structure 0.7% -0.3% 2.1% 1.5% 1.4% VWIV 39.8% 35.8% 42.9% 42.9% 36.3% Skew 25d 0.9% -0.8% 1.9% 0.4% 1.5% Skew 10d 1.4% -1.6% 3.8% 0.1% 2.7% Call IV 25d 38.9% 35.3% 42.0% 42.0% 36.2% Put IV 25d 39.9% 36.8% 42.5% 42.4% 37.7% Bid-Ask Spread % 12.46 5.38 23.46 5.38 5.53 Gamma HHI 0.04 0.03 0.13 0.04 0.13 Net GEX 96.7M -35.1M 270.7M 141.3M 188.1M Net DEX -6.93B -10.16B -4.63B -8.85B -5.47B Net VEX -40.4M -41.5M -38.7M -39.6M -39.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.37 0.99 0.37 0.57 Total Volume 4,986,243.636 3,161,400 7,227,080 6,537,720 5,494,760 Total OI 36,791,789.091 33,190,280 40,000,120 34,268,680 37,188,040
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 2020-12-01 $13.38 $12.50 41.4% 12.2% 49.7% 17.1% 42.9% 0.4% 1.5% 141.3M -8.85B -39.6M 0.37 5.38 N/A N/A 4,767,720 1,770,000 17,063,440 17,205,240 2020-12-02 $13.54 $12.50 40.6% 11.8% 47.7% 16.1% 41.8% -0.8% 1.7% 236.3M -10.16B -40.3M 0.51 7.10 N/A N/A 4,496,440 2,308,480 18,128,400 17,591,960 2020-12-03 $13.39 $9.00 40.0% 12.1% 43.8% 15.4% 42.6% -0.3% 1.6% 192.4M -8.62B -40.4M 0.46 16.06 N/A N/A 3,710,040 1,722,240 18,378,440 18,140,600 2020-12-04 $13.48 $9.25 38.4% 11.6% 43.0% 13.4% 41.0% 0.0% 2.1% 270.7M -9.22B -40.3M 0.57 7.20 N/A N/A 3,270,520 1,874,040 18,650,000 18,590,960 2020-12-07 $13.53 $9.50 39.7% 11.6% 40.7% 15.0% 40.8% -0.2% 0.1% 161.4M -9.03B -39.3M 0.69 11.35 N/A N/A 3,188,760 2,184,640 17,381,440 17,833,520 2020-12-08 $13.39 $10.13 39.8% 11.5% 36.3% 15.1% 40.4% 0.0% 0.0% 126.0M -8.06B -40.2M 0.69 10.91 N/A N/A 2,535,760 1,750,760 18,282,160 18,640,080 2020-12-09 $12.94 $10.50 41.4% 11.9% 27.0% 17.0% 42.3% 1.1% 0.4% -24.7M -4.94B -40.1M 0.59 23.46 N/A N/A 4,547,160 2,679,920 18,779,560 19,200,160 2020-12-10 $13.02 $11.25 40.4% 11.7% 21.6% 15.8% 41.6% 1.4% 0.7% 15.6M -5.45B -41.5M 0.64 11.69 N/A N/A 2,749,840 1,749,440 19,513,440 19,893,520 2020-12-11 $12.97 $11.25 40.5% 11.7% 21.6% 15.9% 41.4% 1.5% 0.8% 11.2M -5.09B -41.2M 0.99 20.35 N/A N/A 2,606,040 2,582,440 19,691,800 20,194,120 2020-12-14 $13.29 $11.25 40.7% 11.7% 23.1% 16.2% 41.6% 1.5% -0.3% 99.8M -7.46B -41.0M 0.48 13.08 N/A N/A 3,985,800 1,930,800 18,176,720 19,198,800 2020-12-15 $13.31 $11.50 39.4% 11.3% 22.5% 14.6% 40.2% 0.7% -0.3% 148.1M -7.72B -41.1M 0.50 15.75 N/A N/A 2,116,360 1,062,000 18,992,600 19,616,200 2020-12-16 $13.28 $11.50 39.4% 11.3% 22.5% 14.6% 40.1% 1.2% -0.1% 129.5M -7.45B -40.8M 0.72 22.20 N/A N/A 2,034,760 1,474,200 19,132,640 19,789,560 2020-12-17 $13.30 $11.75 38.2% 11.0% 22.4% 13.1% 39.0% 0.9% -0.1% 141.1M -7.58B -40.8M 0.58 17.79 N/A N/A 2,498,160 1,449,040 19,507,920 20,224,080 2020-12-18 $13.14 $11.75 38.6% 11.1% 22.8% 13.6% 39.1% 1.4% 0.0% 28.9M -6.24B -40.1M 0.82 17.48 N/A N/A 3,125,640 2,568,280 19,769,720 20,230,400 2020-12-21 $13.30 $11.75 39.0% 11.3% 21.8% 14.0% 40.0% 1.0% 0.5% 80.3M -7.04B -41.0M 0.82 19.65 N/A N/A 2,516,960 2,068,720 15,945,840 17,244,440 2020-12-22 $13.25 $11.88 37.4% 10.8% 21.9% 12.0% 38.5% 1.5% 0.7% 84.6M -6.83B -41.0M 0.74 7.68 N/A N/A 2,204,440 1,634,480 16,580,200 17,857,240 2020-12-23 $13.08 $11.88 36.6% 10.5% 21.4% 10.6% 37.3% 1.4% 0.9% 19.4M -5.81B -40.6M 0.66 7.65 N/A N/A 2,281,120 1,515,280 17,073,920 18,335,320 2020-12-24 $12.99 $11.88 35.8% 10.0% 19.4% 8.7% 35.8% 1.4% 0.9% -13.1M -5.15B -40.4M 0.76 15.08 N/A N/A 1,794,720 1,366,680 17,434,320 18,672,360 2020-12-28 $12.87 $11.88 37.0% 10.6% 19.6% 9.7% 37.5% 1.7% 0.5% -35.1M -4.63B -38.7M 0.76 5.79 N/A N/A 2,966,400 2,263,680 15,923,120 17,801,560 2020-12-29 $12.97 $12.13 37.1% 10.5% 19.7% 9.9% 37.5% 1.9% 0.9% -4.5M -5.07B -39.8M 0.62 5.60 N/A N/A 2,792,160 1,722,600 16,676,120 18,761,040 2020-12-30 $13.12 $12.13 37.9% 10.8% 20.1% 10.9% 38.5% 1.3% 0.6% 130.1M -6.49B -40.1M 0.48 7.26 N/A N/A 4,288,960 2,047,120 17,126,080 19,002,280 2020-12-31 $13.00 $12.13 36.2% 10.1% 19.7% 8.7% 36.3% 1.5% 1.4% 188.1M -5.47B -39.9M 0.57 5.53 N/A N/A 3,504,240 1,990,520 17,894,640 19,293,400
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