NVTS Options History — December 2021

In December 2021, NVTS traded between $13.90 and $19.02. ATM implied volatility averaged 92.3%. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 14.9% (HV 20d: 77.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-12-08: Highest Volume — 6,483 contracts
  • 2021-12-15: Largest IV drop — 19.3% change
  • 2021-12-01: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.46$13.90$19.02$19.02$16.95
Max Pain$15.68$15.00$17.50$17.50$15.00
ATM IV92.3%76.0%115.8%110.4%76.0%
Expected Move25.7%21.8%31.6%31.6%21.8%
HV 20d77.4%70.3%86.7%86.7%77.1%
Term Structure1.0%-9.4%7.5%-6.4%4.7%
VWIV89.9%77.3%110.4%110.4%77.3%
Skew 25d2.4%-9.7%12.5%-1.4%3.1%
Skew 10d6.2%-18.0%33.4%-11.4%4.8%
Call IV 25d92.3%76.4%116.9%114.1%76.4%
Put IV 25d94.7%77.9%116.8%112.7%79.5%
Bid-Ask Spread %52.9335.4870.4547.5562.09
Gamma HHI0.310.220.480.220.34
Net GEX184.1K93.2K242.7K190.5K203.3K
Net DEX-7.4M-12.6M796.7K-11.9M-12.6M
Net VEX-41.0K-54.6K-30.1K-54.5K-39.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.161.950.481.81
Total Volume2,815.4091,2246,4832,2931,368
Total OI28,490.13618,35635,86729,44622,077

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$19.02$17.50110.4%31.6%0.0%0.0%110.4%-1.4%-6.4%190.5K-11.9M-54.5K0.4847.551,55473919,7139,733
2021-12-02$18.56$17.50105.6%30.3%0.0%0.0%100.1%-9.7%-7.3%181.8K-10.3M-54.6K0.2451.971,45435320,44010,049
2021-12-03$17.79$17.50108.8%31.2%0.0%0.0%106.3%12.5%-2.6%150.4K-6.6M-50.9K0.4952.791,86791320,37310,050
2021-12-06$17.50$17.50106.9%29.9%0.0%0.0%106.9%7.6%-4.2%160.5K-6.7M-47.6K0.2570.452,50163721,21810,206
2021-12-07$18.55$17.50104.3%27.4%0.0%0.0%98.4%7.3%7.5%221.0K-12.1M-49.7K0.3154.563,6051,10922,43210,170
2021-12-08$17.60$17.5099.8%25.8%0.0%0.0%91.5%0.2%3.0%230.7K-9.4M-50.8K0.6650.143,8942,58924,66710,479
2021-12-09$17.00$15.0097.0%26.2%86.7%0.0%89.3%1.2%0.5%231.6K-8.7M-45.4K0.3347.312,23073925,6259,868
2021-12-10$17.43$15.0095.0%26.9%84.7%0.0%84.4%0.2%3.1%242.7K-11.0M-45.3K0.2935.481,88554425,9489,919
2021-12-13$17.14$15.00106.1%27.1%82.2%0.0%93.7%0.1%-0.2%198.0K-9.0M-40.1K0.5840.441,70298725,6329,848
2021-12-14$15.97$15.00115.8%26.9%83.3%0.0%91.4%4.1%1.1%192.9K-3.0M-35.9K0.1657.003,78862325,55610,189
2021-12-15$16.20$15.0093.4%26.8%81.4%0.0%93.9%3.7%-1.3%170.8K-3.3M-32.4K0.2857.333,7501,05424,71710,204
2021-12-16$15.12$15.0089.6%25.7%82.2%0.0%91.2%-0.3%-9.4%239.5K796.7K-31.8K0.3765.013,0311,13325,17610,157
2021-12-17$15.22$15.0083.2%23.8%75.2%0.0%83.8%3.4%4.0%93.2K-1.9M-31.7K0.6164.711,7401,05925,46410,263
2021-12-20$13.90$15.0085.6%24.5%78.6%0.0%87.6%5.2%2.6%123.3K-3.4M-30.1K0.7052.821,30891314,2314,125
2021-12-21$14.99$15.0082.3%23.6%70.3%0.0%82.5%5.6%0.1%145.7K-5.8M-34.7K0.5246.351,37971714,8204,292
2021-12-22$14.84$15.0080.0%22.9%70.3%0.0%84.2%3.0%4.0%160.9K-6.1M-36.1K1.5657.931,0441,62415,6914,373
2021-12-23$15.02$15.0077.4%22.2%70.6%0.0%80.6%0.9%5.9%165.0K-6.5M-38.0K1.4550.9050072416,0485,362
2021-12-27$15.98$15.0079.7%22.9%74.3%0.0%82.3%-0.1%0.2%185.5K-9.2M-39.1K1.1844.4264976916,2505,384
2021-12-28$15.47$15.0079.8%22.9%74.8%0.0%83.6%7.6%5.3%176.0K-7.6M-37.4K1.6642.939621,60016,4575,477
2021-12-29$15.38$15.0077.8%22.3%70.7%0.0%80.7%1.3%5.5%185.3K-7.7M-37.5K1.9554.9846590916,7125,511
2021-12-30$16.52$15.0076.9%22.0%76.5%0.0%77.4%-2.1%5.2%201.6K-11.1M-39.2K1.4057.2963689216,6125,265
2021-12-31$16.95$15.0076.0%21.8%77.1%0.0%77.3%3.1%4.7%203.3K-12.6M-39.6K1.8162.0948788116,8205,257