Nvidia

NVDA

107.47

+0.38

+0.4%

After Hours:

107.47

0.00

0.0%

Stock Price
Open: 108.97
Prev. Close: 107.09
Low/Hi: 106.42 - 109.29
52-Week: 34.01 - 120.92
Volumes
Equity: 10,909,492
90-Day Avg: 18,443,872
Option: 101,787
90-Day Avg: 119,613
Volatility
Today: 37.9
20-Day: 37.0
52-Week: 32.7
30-Day IV: 32.4 +0.3
IV Rank: 0.28 (Subdued)
Fundamental
Dividend: 18-May $0.14 (Est.)
Div. Yield: 0.5%
Earnings: 5-May (Est.)
P/E Ratio: 34.77
Market Cap: 63.1 B
Stock Type: Common | Sector: Technology | Industry: Semiconductor - Specialized

NVDA Symbol Review Report

Report Date: 24-Mar-2017

Price Performance:

On the day, NVDA has moved +0.4%, while SPY has moved -0.1%.

Over the last two weeks, NVDA has moved +8.4%, and SPY has moved -1.6%.

Volume:

NVDA's stock volume on the day is 10,909,492, which is 0.6x relative to the 90-day average of 18,443,872

SPY's relative volume on the day is 1.4x, trading 107,532,274 shares against an average of 78,973,395 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for NVDA is 37.9 for the day. The 20-day average is 34.1, and the 52-week average is 28.7.

The 1-Day OHLC Volatility for SPY is 9.3, while the average over the last 20 days is 6.8, and for the last 52 weeks is 8.3.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 32.4, and has moved +0.8% from the previous day. Its IV Ranking is 0.28, which is considered Subdued.

As a comparison, the current IV30 for SPY is 10.8, down slightly -0.4% from the previous day. SPY's IV Rank is Moderate at 0.74.

Over the last 52 weeks, the IV30 Range is 25.9 - 61.4.

Over the same span, SPY's IV30 Range is 8.1 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 3.6%, compared to a 52-week range of 2.9% - 6.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Mar-17 0.17 0.2% 107.31 107.66
31-Mar-17 3.76 3.5% 103.72 111.24
07-Apr-17 5.40 5.0% 102.08 112.88
13-Apr-17 6.45 6.0% 101.03 113.93
21-Apr-17 7.49 7.0% 99.99 114.97
28-Apr-17 8.47 7.9% 99.01 115.95
05-May-17 9.59 8.9% 97.89 117.07
19-May-17 13.74 12.8% 93.74 121.22
16-Jun-17 15.73 14.6% 91.75 123.21
15-Sep-17 22.43 20.9% 85.05 129.91
19-Jan-18 29.28 27.2% 78.20 136.76
18-Jan-19 44.35 41.3% 63.13 151.83

Volatility Skew:

The current downside put implied volatility is trading 0.9% higher than the upside call volatility, which represents a bullish tone when compared to the past year. Over the last year, the downside put has traded on average 6.1% higher than the upside call.

Option Volume:

On the day, NVDA traded 101,787 contracts, with 33.1% being put options. This represents a relative volume of 0.9x compared to the last 90 days, when the average volume was 119,613 and 43.7% 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 146 2.8% 367,885 2,475 48.1% 2,268,760 1,089 21.2% 69,965 3,710 72.1% 2,706,610
Put 6 0.1% 12,295 532 10.3% 509,815 896 17.4% 244,871 1,434 27.9% 766,981
Total 5,144 3,473,591

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
NVDA 16Jun17 C 110 829 80 6.95 6.50 7.90 5,634 38.6 +0.2%
NVDA 16Jun17 C 155 792 25 0.26 0.25 0.31 5,227 40.6 0.0%
NVDA 16Jun17 P 95 437 48 2.97 2.65 3.25 5,268 39.8 +0.3%
NVDA 16Jun17 C 105 384 47 9.38 8.80 10.50 4,425 38.9 -0.1%
NVDA 19Jan18 C 120 365 24 10.25 9.80 11.05 6,520 38.0 -0.5%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 7Apr17 P 103 2,720 340 +2,380 +700.0% 0
NVDA 7Apr17 P 100 2,902 586 +2,316 +395.2% 0
NVDA 24Mar17 P 108 3,943 2,860 +1,083 +37.9% 0
NVDA 31Mar17 P 109 1,259 205 +1,054 +514.2% 0
NVDA 31Mar17 C 108 2,428 1,678 +750 +44.7% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 18Jan19 P 110 818 1,217 -399 -32.8% 0
NVDA 16Jun17 C 105 4,425 4,740 -315 -6.7% 384
NVDA 24Mar17 P 105 6,113 6,330 -217 -3.4% 0
NVDA 24Mar17 P 109 1,246 1,383 -137 -9.9% 0
NVDA 19Jan18 P 90 4,190 4,287 -97 -2.3% 4

Upcoming Dividend:

The next dividend for NVDA has not yet been announced. Its indicative dividend yield going forward is 0.52%.