Nvidia

NVDA

196.90

-0.90

-0.5%

After Hours:

196.30

-0.60

-0.3%

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Stock Price
Open: 198.49
Prev. Close: 197.80
Low/Hi: 196.54 - 199.59
52-Week: 66.30 - 198.90
Volumes
Equity: 11,111,327
90-Day Avg: 17,834,785
Option: 139,889
90-Day Avg: 165,168
Volatility
Todays Stock Vol: 15.1
20-Day (HV): 32.7
52-Week (HV): 38.9
30-Day IV: 44.3 -0.8
IV Pct Rank: 69% Moderate
Fundamental
Dividend: 17-Nov $0.14 (Est.)
Div. Yield: 0.3%
Earnings: 8-Nov (Est.)
P/E Ratio: 49.08
Market Cap: 118.7 B
Stock Type: Common
Sector: Technology
Industry: Semiconductor - Specialized
Stock Type: Common | Sector: Technology | Industry: Semiconductor - Specialized

NVDA Symbol Review Report

Report Date: 20-Oct-2017

Price Performance:

On the day, NVDA has moved -0.5%, while SPY has moved +0.5%.

Over the last two weeks, NVDA has moved +8.6%, and SPY has moved +1.1%.

Volume:

NVDA's stock volume on the day is 11,111,327, which is 0.6x relative to the 90-day average of 17,834,785

SPY's relative volume on the day is 1.3x, trading 82,477,282 shares against an average of 61,720,945 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for NVDA is 15.1 for the day. The 20-day average is 28.2, and the 52-week average is 34.2.

The 1-Day OHLC Volatility for SPY is 6.3, while the average over the last 20 days is 4.2, and for the last 52 weeks is 6.4.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 44.3, and has moved -1.9% from the previous day. Its IV Ranking is 0.69, which is considered Moderate.

As a comparison, the current IV30 for SPY is 6.7, down slightly -1.7% from the previous day. SPY's IV Rank is Subdued at 0.06.

Over the last 52 weeks, the IV30 Range is 26.6 - 61.4.

Over the same span, SPY's IV30 Range is 6.4 - 19.6.

Based on the IV30, a synthetic put to protect downside risk would cost 5.0%, compared to a 52-week range of 3.0% - 6.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
20-Oct-17 0.50 0.3% 196.24 197.25
27-Oct-17 6.34 3.2% 190.41 203.08
03-Nov-17 9.22 4.7% 187.53 205.96
10-Nov-17 18.09 9.2% 178.65 214.84
17-Nov-17 19.62 10.0% 177.12 216.37
24-Nov-17 20.89 10.6% 175.86 217.63
01-Dec-17 21.82 11.1% 174.93 218.56
15-Dec-17 24.17 12.3% 172.58 220.91
19-Jan-18 28.96 14.7% 167.79 225.70
16-Feb-18 35.56 18.1% 161.19 232.30
16-Mar-18 38.66 19.7% 158.08 235.41
15-Jun-18 49.46 25.1% 147.29 246.20
18-Jan-19 68.68 34.9% 128.07 265.42

Volatility Skew:

The current downside put implied volatility is trading 0.7% higher than the upside call volatility, which represents a neutral tone when compared to the past year. Over the last year, the downside put has traded on average 1.4% higher than the upside call.

Option Volume:

On the day, NVDA traded 139,889 contracts, with 37.3% being put options. This represents a relative volume of 0.9x compared to the last 90 days, when the average volume was 165,168 and 40.3% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 13,934 10.0% 18,159,395 28,913 20.7% 24,061,884 44,879 32.1% 2,799,572 87,726 62.7% 45,020,851
Put 12,989 9.3% 1,686,013 16,159 11.5% 9,401,360 23,122 16.5% 1,791,187 52,270 37.3% 12,878,560
Total 139,996 57,899,411

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
NVDA 20Oct17 C 200 14,398 1,713 0.01 0.01 0.81 11,894 42.9 +81.6%
NVDA 20Oct17 C 197.5 14,187 1,981 0.03 0.01 2.34 6,043 12.4 -45.4%
NVDA 20Oct17 P 197.5 9,224 1,319 0.77 0.13 0.95 2,972 39.6 +71.2%
NVDA 27Oct17 C 200 7,165 1,100 1.86 1.75 3.40 6,064 28.5 -3.3%
NVDA 20Oct17 P 195 5,271 908 0.04 0.01 0.24 6,460 54.3 +121.0%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 27Oct17 C 200 6,064 2,618 +3,446 +131.6% 7,165
NVDA 20Oct17 C 202.5 4,868 3,752 +1,116 +29.7% 4,069
NVDA 27Oct17 C 207.5 1,611 535 +1,076 +201.1% 1,215
NVDA 10Nov17 P 175 1,724 757 +967 +127.7% 113
NVDA 3Nov17 C 205 1,507 613 +894 +145.8% 404

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 27Oct17 P 170 1,371 2,306 -935 -40.6% 39
NVDA 20Oct17 C 160 3,002 3,376 -374 -11.1% 64
NVDA 20Oct17 P 187.5 3,338 3,694 -356 -9.6% 203
NVDA 20Oct17 C 190 5,476 5,763 -287 -5.0% 1,488
NVDA 20Oct17 C 192.5 3,951 4,232 -281 -6.6% 1,567

Upcoming Dividend:

The next dividend for NVDA has not yet been announced. Its indicative dividend yield going forward is 0.28%.