NVDA Options History — March 2021 In March 2021, NVDA traded between $11.67 and $13.77. ATM implied volatility averaged 40.6%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 14.5% (HV 20d: 55.1%). Max pain ranged from $13.19 to $13.63. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.74.
Notable Days 2021-03-05 : Highest Volume — 9,602,320 contracts2021-03-08 : Largest IV spike — 11.0% change2021-03-08 : Highest IV Rank — 16.4%2021-03-08 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.89 $11.67 $13.77 $13.77 $13.40 Max Pain $13.39 $13.19 $13.63 $13.63 $13.19 ATM IV 40.6% 35.2% 47.8% 41.1% 35.2% Expected Move 11.7% 10.1% 13.6% 11.5% 10.1% HV 20d 55.1% 48.3% 59.4% 48.3% 50.2% HV 60d 43.9% 37.7% 46.9% 37.7% 46.9% IV Rank 6.9% 0.0% 16.4% 7.2% 0.0% IV Percentile 14.4% 0.0% 39.3% 13.9% 0.0% Term Structure -0.1% -1.7% 1.2% -0.3% -0.1% VWIV 41.5% 36.4% 47.7% 41.2% 36.6% Skew 25d 2.8% 1.2% 5.1% 1.9% 1.7% Skew 10d 6.7% 3.5% 12.1% 4.2% 3.5% Call IV 25d 39.7% 34.9% 45.4% 40.5% 34.9% Put IV 25d 42.5% 36.6% 50.3% 42.4% 36.6% Bid-Ask Spread % 12.35 3.58 26.09 12.15 4.21 Gamma HHI 0.03 0.03 0.04 0.03 0.04 Net GEX -27.2M -169.7M 178.9M 10.3M 178.9M Net DEX -338.3M -3.97B 4.68B -2.80B -3.97B Net VEX -48.5M -53.1M -42.7M -46.3M -48.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.53 0.93 0.63 0.61 Total Volume 5,657,737.391 2,615,080 9,602,320 5,175,040 6,650,360 Total OI 31,416,690.435 26,899,640 35,725,880 28,539,800 29,754,720
Daily Data (23 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 2021-03-01 $13.77 $13.63 41.1% 11.5% 48.3% 7.2% 41.2% 1.9% -0.3% 10.3M -2.80B -46.3M 0.63 12.15 N/A N/A 3,168,040 2,007,000 13,655,720 14,884,080 2021-03-02 $13.48 $13.63 41.0% 11.6% 48.8% 7.1% 41.1% 1.9% -0.1% -45.1M -1.37B -46.0M 0.64 8.43 N/A N/A 2,305,320 1,481,480 14,281,640 15,555,680 2021-03-03 $12.91 $13.63 43.8% 12.8% 50.4% 10.9% 45.7% 3.4% -1.2% -156.1M 1.54B -45.5M 0.74 13.91 N/A N/A 4,085,480 3,005,800 14,572,160 16,085,160 2021-03-04 $12.35 $13.63 46.7% 13.2% 52.5% 14.9% 46.3% 4.8% -1.7% -169.7M 3.76B -44.9M 0.85 19.22 N/A N/A 4,475,600 3,812,760 15,503,840 16,822,480 2021-03-05 $12.48 $13.63 43.1% 12.3% 52.7% 9.9% 43.9% 4.0% -1.4% -103.1M 3.21B -46.1M 0.93 16.34 N/A N/A 4,985,120 4,617,200 16,054,120 16,979,040 2021-03-08 $11.67 $13.63 47.8% 13.6% 57.1% 16.4% 47.7% 5.1% -0.0% -114.8M 4.68B -42.7M 0.80 8.26 N/A N/A 4,831,520 3,867,520 14,031,280 16,143,440 2021-03-09 $12.51 $13.38 43.6% 12.7% 58.3% 10.6% 44.9% 3.3% 0.7% -44.6M 1.21B -48.8M 0.69 23.38 N/A N/A 5,375,720 3,686,280 15,388,040 17,476,800 2021-03-10 $12.54 $13.38 42.8% 12.6% 58.4% 9.6% 44.4% 3.6% 1.2% -34.0M 1.05B -51.2M 0.75 26.09 N/A N/A 3,658,080 2,728,040 16,089,600 18,066,280 2021-03-11 $13.02 $13.38 41.8% 12.2% 59.2% 8.2% 42.8% 2.7% 1.1% 97.8M -1.80B -53.1M 0.53 10.58 N/A N/A 3,680,240 1,954,040 16,692,520 18,640,000 2021-03-12 $12.86 $13.38 42.4% 12.4% 57.5% 9.0% 44.2% 2.6% 1.2% -24.0M -630.1M -52.4M 0.78 11.80 N/A N/A 3,270,760 2,545,040 16,959,880 18,766,000 2021-03-15 $13.16 $13.38 42.6% 12.3% 58.4% 9.3% 43.9% 2.6% -0.4% 37.7M -1.93B -51.3M 0.56 19.42 N/A N/A 2,615,240 1,461,160 15,325,120 17,289,520 2021-03-16 $13.32 $13.38 40.7% 11.7% 57.7% 6.7% 41.7% 2.8% 0.0% 108.5M -2.89B -51.3M 0.76 18.79 N/A N/A 3,276,880 2,485,320 15,899,680 17,640,640 2021-03-17 $13.33 $13.38 40.5% 11.6% 57.3% 6.4% 41.6% 1.2% 0.2% 102.7M -2.91B -50.9M 0.82 11.45 N/A N/A 1,944,160 1,601,880 16,145,600 17,928,680 2021-03-18 $12.78 $13.38 43.0% 12.4% 58.8% 9.9% 43.3% 3.2% -0.9% -73.3M 370.5M -49.8M 0.74 11.67 N/A N/A 2,575,600 1,905,200 16,206,320 18,135,640 2021-03-19 $12.83 $13.25 39.6% 11.4% 58.8% 6.6% 40.4% 3.5% -0.1% -123.8M 237.5M -49.4M 0.83 15.16 N/A N/A 2,884,400 2,401,960 16,433,520 18,404,360 2021-03-22 $13.20 $13.25 36.4% 10.5% 59.4% 1.0% 37.5% 1.7% 0.1% 19.7M -2.30B -48.5M 0.73 3.58 N/A N/A 2,760,840 2,025,680 12,203,040 14,696,600 2021-03-23 $13.07 $13.25 36.1% 10.4% 59.2% 0.7% 36.4% 2.4% 0.0% 4.0M -1.64B -48.2M 0.87 11.27 N/A N/A 1,563,320 1,353,680 12,849,880 15,022,760 2021-03-24 $12.73 $13.25 37.3% 10.8% 59.0% 3.2% 37.8% 3.1% -0.5% -85.7M 4.8M -47.7M 0.90 7.66 N/A N/A 2,153,480 1,948,120 13,166,600 15,251,040 2021-03-25 $12.55 $13.25 37.9% 11.0% 52.4% 4.3% 39.1% 2.7% -0.1% -152.1M 951.0M -47.8M 0.83 9.18 N/A N/A 3,427,680 2,854,400 13,726,520 15,816,720 2021-03-26 $12.70 $13.25 37.0% 10.7% 50.6% 2.7% 37.9% 2.7% -0.2% -53.3M -54.2M -48.3M 0.70 10.23 N/A N/A 3,698,120 2,599,400 14,314,000 16,234,040 2021-03-29 $12.93 $13.25 37.1% 10.9% 51.2% 3.0% 38.7% 1.8% -0.1% -2.3M -1.28B -48.3M 0.73 6.14 N/A N/A 2,187,360 1,597,600 12,917,760 15,270,280 2021-03-30 $12.91 $13.25 36.3% 10.5% 50.7% 1.2% 37.4% 1.8% -0.2% -2.7M -1.21B -48.5M 0.56 5.20 N/A N/A 1,676,480 938,600 13,558,000 15,745,080 2021-03-31 $13.40 $13.19 35.2% 10.1% 50.2% 0.0% 36.6% 1.7% -0.1% 178.9M -3.97B -48.8M 0.61 4.21 N/A N/A 4,126,480 2,523,880 13,846,720 15,908,000
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