NVDA Options History — September 2021 In September 2021, NVDA traded between $20.58 and $22.86. ATM implied volatility averaged 34.8%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.5% (HV 20d: 33.3%). Max pain ranged from $19.00 to $20.25. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2021-09-03 : Highest Volume — 7,663,200 contracts2021-09-20 : Largest IV spike — 23.3% change2021-09-20 : Highest IV Rank — 36.5%2021-09-20 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $21.95 $20.58 $22.86 $22.45 $20.78 Max Pain $19.89 $19.00 $20.25 $19.00 $20.00 ATM IV 34.8% 31.4% 40.6% 31.4% 37.8% Expected Move 10.0% 8.5% 11.7% 8.5% 11.1% HV 20d 33.3% 27.1% 36.2% 35.5% 33.7% HV 60d 33.8% 32.4% 35.2% 33.9% 35.1% IV Rank 13.1% 0.0% 36.5% 0.0% 25.3% IV Percentile 14.6% 0.0% 50.8% 0.0% 30.6% Term Structure 0.3% -0.5% 0.8% 0.8% -0.1% VWIV 36.2% 31.2% 41.4% 31.2% 39.4% Skew 25d 4.1% 2.2% 8.2% 2.4% 5.9% Skew 10d 10.5% 5.8% 18.0% 6.0% 13.3% Call IV 25d 33.9% 31.1% 37.7% 31.1% 36.3% Put IV 25d 38.0% 33.5% 45.8% 33.5% 42.2% Bid-Ask Spread % 2.16 1.49 3.32 1.50 1.89 Gamma HHI 0.07 0.03 0.24 0.08 0.04 Net GEX 148.4M -33.0M 328.2M 224.3M 5.1M Net DEX -11.66B -16.62B -5.37B -15.07B -6.35B Net VEX -57.5M -61.5M -53.4M -54.8M -61.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.41 0.79 0.55 0.54 Total Volume 3,798,720 2,324,510 7,663,200 2,804,200 3,422,840 Total OI 26,421,392.381 22,457,960 29,312,610 27,466,960 26,017,870
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 2021-09-01 $22.45 $19.00 31.4% 8.5% 35.5% 0.0% 31.2% 2.4% 0.8% 224.3M -15.07B -54.8M 0.55 1.50 N/A N/A 1,808,820 995,380 12,418,080 15,048,880 2021-09-02 $22.36 $19.50 31.7% 9.4% 35.4% 1.0% 33.7% 2.4% 0.7% 230.5M -14.59B -55.6M 0.64 2.55 N/A N/A 2,028,510 1,296,490 12,642,180 15,207,280 2021-09-03 $22.86 $19.50 32.2% 9.6% 35.7% 2.4% 34.1% 2.2% 0.7% 307.4M -16.62B -54.2M 0.42 3.02 N/A N/A 5,413,560 2,249,640 12,660,970 15,343,800 2021-09-07 $22.72 $19.50 33.2% 9.6% 35.8% 5.3% 34.5% 2.4% 0.2% 210.0M -15.34B -53.4M 0.50 2.23 N/A N/A 2,019,790 1,003,540 11,735,740 14,804,370 2021-09-08 $22.33 $19.50 34.4% 10.1% 35.8% 9.2% 38.0% 2.5% 0.8% 160.3M -13.86B -55.4M 0.51 2.35 N/A N/A 3,015,280 1,526,710 12,136,270 15,063,030 2021-09-09 $22.23 $20.00 34.7% 10.0% 35.1% 11.6% 35.7% 3.1% 0.3% 123.5M -13.36B -55.9M 0.42 3.09 N/A N/A 2,056,720 855,880 12,463,030 15,369,800 2021-09-10 $22.49 $20.00 34.6% 10.0% 35.0% 11.3% 36.1% 3.9% 0.4% 328.2M -14.35B -57.3M 0.46 2.28 N/A N/A 3,116,900 1,438,320 12,853,340 15,533,930 2021-09-13 $22.05 $20.00 35.5% 10.2% 36.2% 16.3% 36.4% 3.1% 0.1% 136.1M -12.77B -56.7M 0.54 3.32 N/A N/A 3,085,960 1,652,030 12,075,250 15,090,330 2021-09-14 $22.22 $20.00 34.7% 9.9% 35.6% 13.1% 36.6% 4.1% 0.8% 159.8M -13.24B -57.7M 0.58 2.35 N/A N/A 1,754,290 1,019,180 12,541,800 15,412,450 2021-09-15 $22.32 $20.00 33.5% 9.6% 33.6% 8.5% 35.7% 3.8% 0.0% 229.1M -14.31B -54.8M 0.61 2.44 N/A N/A 1,647,340 1,001,690 12,959,690 15,719,740 2021-09-16 $22.26 $20.00 32.8% 9.4% 33.0% 5.4% 34.4% 4.4% -0.1% 205.6M -13.55B -57.3M 0.51 1.59 N/A N/A 1,543,510 781,000 13,065,630 15,945,420 2021-09-17 $22.04 $20.00 33.0% 9.4% 32.3% 6.2% 34.4% 5.1% 0.6% 40.4M -12.66B -57.8M 0.53 2.24 N/A N/A 2,752,550 1,456,760 13,211,580 16,101,030 2021-09-20 $20.96 $20.00 40.6% 11.7% 33.6% 36.5% 41.4% 8.2% -0.1% 24.0M -6.92B -59.0M 0.76 2.35 N/A N/A 2,330,840 1,767,500 10,401,690 12,056,270 2021-09-21 $21.27 $20.00 36.5% 10.6% 27.1% 20.0% 37.8% 7.2% -0.2% 24.4M -7.44B -59.7M 0.79 2.30 N/A N/A 1,516,000 1,191,450 10,870,870 12,489,520 2021-09-22 $21.90 $20.00 34.5% 9.8% 29.1% 12.4% 36.3% 5.0% 0.2% 148.2M -9.97B -59.3M 0.43 1.87 N/A N/A 2,781,760 1,200,860 11,301,830 12,756,350 2021-09-23 $22.50 $20.00 34.2% 9.7% 29.8% 11.1% 35.8% 4.0% 0.3% 248.4M -12.34B -59.7M 0.41 1.61 N/A N/A 3,606,310 1,473,540 11,520,970 13,051,120 2021-09-24 $22.10 $20.00 33.7% 9.4% 30.4% 9.0% 34.3% 3.4% 0.4% 251.5M -11.12B -59.1M 0.44 1.49 N/A N/A 3,049,400 1,356,800 11,845,850 13,248,220 2021-09-27 $21.73 $20.25 34.3% 9.6% 29.4% 11.6% 35.4% 3.0% 0.3% 90.6M -9.53B -57.3M 0.53 1.55 N/A N/A 1,798,080 948,340 11,160,390 12,792,590 2021-09-28 $20.74 $20.25 39.5% 11.4% 33.3% 31.8% 40.3% 5.3% -0.5% 2.7M -6.12B -60.7M 0.68 1.78 N/A N/A 2,697,300 1,829,190 11,535,510 13,151,100 2021-09-29 $20.58 $20.25 38.4% 11.3% 33.3% 27.7% 39.3% 5.4% -0.2% -33.0M -5.37B -60.6M 0.66 1.64 N/A N/A 1,982,010 1,301,050 11,822,840 13,422,630 2021-09-30 $20.78 $20.00 37.8% 11.1% 33.7% 25.3% 39.4% 5.9% -0.1% 5.1M -6.35B -61.5M 0.54 1.89 N/A N/A 2,228,240 1,194,600 12,237,830 13,780,040
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