NVTS Options History — September 2022

In September 2022, NVTS traded between $4.78 and $5.81. ATM implied volatility averaged 108.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 29.4%. IV traded below realized volatility by 11.6% (HV 20d: 120.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2022-09-27: Highest Volume — 1,424 contracts
  • 2022-09-14: Largest IV drop — 20.6% change
  • 2022-09-12: Highest IV Rank — 40.8%
  • 2022-09-01: Largest Expected Move — 35.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.33$4.78$5.81$4.99$4.86
Max Pain$7.26$5.00$7.50$5.00$7.50
ATM IV108.5%92.0%138.6%124.1%97.7%
Expected Move29.4%26.4%35.6%35.6%28.0%
HV 20d120.1%68.5%168.6%168.0%68.5%
HV 60d115.5%113.1%119.9%119.4%113.3%
IV Rank22.8%12.9%40.8%32.1%16.3%
IV Percentile76.8%52.4%96.6%94.9%64.7%
Term Structure-2.2%-19.5%11.3%-19.5%4.1%
VWIV100.1%80.7%126.6%126.6%100.0%
Skew 25d9.9%-18.3%55.7%-18.3%-10.0%
Skew 10d24.4%-28.3%98.8%-28.3%-15.6%
Call IV 25d95.8%68.3%138.7%138.7%115.9%
Put IV 25d105.7%94.9%129.0%120.4%105.9%
Bid-Ask Spread %33.226.2770.7252.2155.50
Gamma HHI0.250.210.330.300.21
Net GEX15.8K6.6K29.0K21.8K10.1K
Net DEX-1.5M-2.2M-880.4K-948.9K-1.1M
Net VEX-16.2K-18.0K-13.4K-14.5K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.036.890.180.64
Total Volume731.19311,4241,3241,119
Total OI15,694.95211,95619,66817,07212,915

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$4.99$5.00124.1%35.6%168.0%32.1%126.6%-18.3%-19.5%21.8K-948.9K-14.5K0.1852.211,12619813,6213,451
2022-09-02$5.24$5.00119.9%34.4%168.6%29.6%120.8%-10.6%-8.8%26.5K-1.3M-16.4K0.0326.9130114,3973,688
2022-09-06$5.25$7.50126.5%30.5%167.8%33.5%98.0%19.2%-5.8%25.5K-1.2M-15.7K0.6213.1874246114,3983,689
2022-09-07$5.48$7.50122.1%30.1%164.8%30.9%110.2%1.7%-7.6%16.3K-1.7M-15.5K0.7012.3782557714,4213,689
2022-09-08$5.57$7.50114.7%30.4%153.3%26.5%105.3%-2.5%-2.9%16.7K-1.9M-16.4K0.2131.691683614,4833,825
2022-09-09$5.76$7.50117.2%28.0%153.5%28.0%97.3%-1.9%-0.2%17.5K-2.0M-16.8K0.1033.916116114,4833,846
2022-09-12$5.71$7.50138.6%30.6%148.7%40.8%103.9%10.5%-9.7%29.0K-1.8M-17.5K6.8915.053826214,9263,894
2022-09-13$5.41$7.50131.4%29.4%147.8%36.5%97.2%5.7%-6.6%15.7K-1.8M-16.8K1.5018.5336354414,9684,146
2022-09-14$5.74$7.50104.3%29.9%124.1%20.3%102.3%3.3%-9.7%17.0K-2.1M-17.7K2.4441.927217614,9964,289
2022-09-15$5.81$7.50102.1%29.3%115.1%18.9%91.7%12.1%11.3%16.5K-2.2M-18.0K1.6946.1016628114,9904,394
2022-09-16$5.57$7.5098.6%28.3%113.8%16.8%88.6%7.0%-2.4%15.0K-1.9M-17.8K1.0122.7448949515,0774,591
2022-09-19$5.46$7.50100.0%28.7%105.6%17.7%95.2%13.2%-0.1%13.9K-1.4M-17.1K0.966.272081999,3522,604
2022-09-20$5.44$7.5094.6%27.1%98.9%14.4%91.6%4.9%5.6%14.1K-1.4M-16.7K1.5019.6730459,5202,722
2022-09-21$5.38$7.5096.1%27.6%98.4%15.4%96.1%2.3%3.0%12.7K-1.4M-16.6K0.3643.39211769,5502,766
2022-09-22$4.93$7.5092.0%26.4%101.6%12.9%80.7%22.3%3.1%10.3K-937.7K-14.8K0.0912.35448409,7032,837
2022-09-23$4.81$7.5096.2%27.6%83.0%15.4%95.6%18.8%-1.4%6.6K-1.6M-13.4K0.1413.735889,6792,839
2022-09-26$4.78$7.5099.2%28.4%81.1%17.2%98.8%25.9%-1.2%9.5K-880.4K-14.4K0.5053.588184069,7322,841
2022-09-27$5.12$7.50101.6%29.1%85.6%18.6%101.4%37.2%2.0%11.8K-1.1M-15.8K0.9354.237366889,8412,853
2022-09-28$5.34$7.50101.1%29.0%87.3%18.3%100.4%10.9%-1.2%13.4K-1.3M-16.3K0.8353.626785629,8452,899
2022-09-29$5.24$7.50101.0%29.0%87.4%18.3%99.7%55.7%2.3%12.4K-1.3M-16.1K0.6870.727775269,8662,968
2022-09-30$4.86$7.5097.7%28.0%68.5%16.3%100.0%-10.0%4.1%10.1K-1.1M-15.0K0.6455.506824379,9472,968