NVDA Options History — January 2021 In January 2021, NVDA traded between $12.74 and $13.90. ATM implied volatility averaged 43.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 10.3% (HV 20d: 33.0%). Max pain ranged from $13.00 to $13.38. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.55.
Notable Days 2021-01-11 : Highest Volume — 15,979,440 contracts2021-01-25 : Largest IV spike — 13.2% change2021-01-27 : Highest IV Rank — 30.2%2021-01-27 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $13.30 $12.74 $13.90 $13.14 $13.03 Max Pain $13.29 $13.00 $13.38 $13.00 $13.38 ATM IV 43.4% 38.0% 54.8% 41.7% 52.2% Expected Move 12.0% 11.0% 14.2% 12.0% 12.9% HV 20d 33.0% 19.9% 41.0% 19.9% 40.8% HV 60d 39.7% 37.7% 41.3% 37.7% 38.4% IV Rank 16.0% 8.7% 30.2% 15.5% 26.9% IV Percentile 27.4% 6.3% 74.2% 22.2% 63.1% Term Structure 1.1% -1.3% 6.7% 0.3% -1.1% VWIV 42.4% 39.0% 50.2% 42.1% 45.6% Skew 25d 0.5% -0.8% 2.3% 2.1% 1.7% Skew 10d 1.0% -2.7% 5.1% 3.5% 3.0% Call IV 25d 43.9% 38.3% 54.8% 40.9% 52.6% Put IV 25d 44.4% 38.5% 57.1% 43.0% 54.3% Bid-Ask Spread % 36.53 25.06 52.87 31.60 42.26 Gamma HHI 0.05 0.03 0.15 0.04 0.05 Net GEX 80.4M -176.4M 390.8M 67.7M -156.1M Net DEX -5.29B -9.85B -138.7M -6.37B -1.17B Net VEX -42.1M -45.0M -39.0M -40.0M -44.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.35 0.83 0.45 0.60 Total Volume 7,767,966.316 3,118,360 15,979,440 11,882,360 8,596,320 Total OI 33,782,587.368 25,631,440 40,805,320 35,458,280 30,836,360
Daily Data (19 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 2021-01-04 $13.14 $13.00 41.7% 12.0% 19.9% 15.5% 42.1% 2.1% 0.3% 67.7M -6.37B -40.0M 0.45 31.60 N/A N/A 8,174,200 3,708,160 16,918,880 18,539,400 2021-01-05 $13.37 $13.00 40.4% 11.7% 20.8% 13.9% 41.5% 0.2% 0.4% 165.8M -8.12B -40.2M 0.41 25.06 N/A N/A 4,128,000 1,674,360 17,746,880 19,075,520 2021-01-06 $12.74 $13.00 41.2% 11.9% 26.6% 14.9% 41.3% 2.2% -0.0% -58.8M -3.39B -39.0M 0.58 34.15 N/A N/A 5,462,440 3,147,680 18,079,960 19,367,160 2021-01-07 $13.34 $13.13 38.0% 11.2% 31.6% 10.9% 39.6% 0.1% 1.1% 225.9M -8.35B -41.4M 0.50 31.86 N/A N/A 6,184,520 3,101,600 18,964,920 20,442,640 2021-01-08 $13.22 $13.25 38.6% 11.2% 29.1% 10.6% 39.6% 0.5% -0.5% 156.5M -6.92B -40.7M 0.73 31.05 N/A N/A 4,202,720 3,055,920 18,966,800 20,434,800 2021-01-11 $13.66 $13.25 43.0% 12.4% 31.2% 14.9% 43.4% 0.2% 0.2% 174.0M -9.85B -40.8M 0.35 32.55 N/A N/A 11,836,240 4,143,200 17,427,160 19,312,560 2021-01-12 $13.47 $13.38 43.3% 12.4% 31.7% 15.3% 43.8% -0.5% 0.5% 152.4M -8.30B -42.4M 0.36 32.71 N/A N/A 5,416,560 1,934,720 18,885,840 19,938,920 2021-01-13 $13.56 $13.38 41.4% 12.1% 30.6% 12.8% 43.1% -0.8% -0.0% 196.9M -9.11B -42.0M 0.54 29.19 N/A N/A 3,170,400 1,718,160 19,355,480 20,351,200 2021-01-14 $13.30 $13.38 41.9% 12.1% 31.5% 13.4% 43.1% -0.7% -0.3% 92.9M -6.75B -41.5M 0.54 31.90 N/A N/A 4,186,560 2,258,120 19,534,880 20,525,840 2021-01-15 $12.88 $13.38 39.6% 11.4% 33.5% 10.5% 40.0% 1.1% -0.1% -176.4M -2.67B -40.6M 0.83 33.91 N/A N/A 4,910,040 4,083,040 19,697,760 21,107,560 2021-01-19 $13.00 $13.38 38.2% 11.0% 33.7% 8.7% 39.4% 1.4% 6.3% -48.4M -1.59B -40.5M 0.67 37.23 N/A N/A 2,882,680 1,939,200 12,148,720 13,482,720 2021-01-20 $13.42 $13.38 38.7% 11.1% 35.3% 9.4% 39.0% 0.2% 6.1% 106.5M -4.07B -41.6M 0.51 41.68 N/A N/A 5,119,000 2,612,480 12,745,920 14,043,760 2021-01-21 $13.90 $13.38 42.4% 11.9% 37.2% 14.2% 42.1% -0.8% 4.4% 269.4M -7.35B -42.9M 0.37 39.81 N/A N/A 7,808,040 2,894,760 13,970,240 14,628,720 2021-01-22 $13.75 $13.38 41.5% 11.2% 37.4% 13.0% 40.0% -0.4% 6.7% 390.8M -6.55B -43.4M 0.46 41.46 N/A N/A 5,544,640 2,575,200 14,880,800 14,903,000 2021-01-25 $13.60 $13.38 47.0% 12.2% 37.4% 20.0% 42.9% 0.2% -0.7% 116.7M -4.67B -43.6M 0.66 41.91 N/A N/A 3,798,320 2,519,160 13,296,880 13,984,760 2021-01-26 $13.42 $13.38 49.7% 12.6% 37.6% 23.6% 44.7% -0.6% -1.3% 39.6M -3.47B -44.2M 0.68 31.47 N/A N/A 1,853,280 1,265,080 13,700,680 14,867,440 2021-01-27 $12.87 $13.38 54.8% 14.2% 40.6% 30.2% 50.2% 2.3% -0.4% -97.7M -138.7M -44.5M 0.70 51.44 N/A N/A 3,743,000 2,617,960 14,069,720 15,301,240 2021-01-28 $13.10 $13.38 50.7% 12.3% 41.0% 25.0% 44.3% 1.6% -0.7% -89.9M -1.57B -45.0M 0.44 52.87 N/A N/A 3,709,400 1,616,200 14,478,880 15,855,160 2021-01-29 $13.03 $13.38 52.2% 12.9% 40.8% 26.9% 45.6% 1.7% -1.1% -156.1M -1.17B -44.9M 0.60 42.26 N/A N/A 5,375,640 3,220,680 14,777,840 16,058,520
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