Nvidia

NVDA

161.50

+0.03

0.0%

After Hours:

161.15

-0.35

-0.2%

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Stock Price
Open: 163.67
Prev. Close: 161.47
Low/Hi: 159.64 - 164.36
52-Week: 57.31 - 174.56
Volumes
Equity: 14,971,535
90-Day Avg: 20,381,011
Option: 149,311
90-Day Avg: 186,633
Volatility
Todays Stock Vol: 37.0
20-Day (HV): 43.1
52-Week (HV): 39.9
30-Day IV: 36.0 -0.8
IV Pct Rank: 41% Moderate
Fundamental
Dividend: 22-Aug $0.14
Div. Yield: 0.3%
Earnings: 8-Nov (Est.)
P/E Ratio: 45.48
Market Cap: 96.1 B
Stock Type: Common
Sector: Technology
Industry: Semiconductor - Specialized
Stock Type: Common | Sector: Technology | Industry: Semiconductor - Specialized

NVDA Symbol Review Report

Report Date: 18-Aug-2017

Price Performance:

On the day, NVDA has moved 0.0%, while SPY has moved -0.2%.

Over the last two weeks, NVDA has moved -3.4%, and SPY has moved -1.9%.

Volume:

NVDA's stock volume on the day is 14,971,535, which is 0.7x relative to the 90-day average of 20,381,011

SPY's relative volume on the day is 2.0x, trading 132,649,098 shares against an average of 67,632,557 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for NVDA is 37.0 for the day. The 20-day average is 37.6, and the 52-week average is 34.4.

The 1-Day OHLC Volatility for SPY is 8.1, while the average over the last 20 days is 6.4, and for the last 52 weeks is 7.2.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 36.0, and has moved -2.3% from the previous day. Its IV Ranking is 0.41, which is considered Moderate.

As a comparison, the current IV30 for SPY is 11.8, down -2.9% from the previous day. SPY's IV Rank is Elevated at 0.83.

Over the last 52 weeks, the IV30 Range is 27.2 - 61.4.

Over the same span, SPY's IV30 Range is 6.8 - 19.6.

Based on the IV30, a synthetic put to protect downside risk would cost 4.0%, compared to a 52-week range of 3.1% - 6.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
18-Aug-17 0.43 0.3% 161.02 161.88
25-Aug-17 5.78 3.6% 155.67 167.23
01-Sep-17 8.93 5.5% 152.52 170.38
08-Sep-17 10.43 6.5% 151.02 171.88
15-Sep-17 12.67 7.8% 148.78 174.12
22-Sep-17 14.37 8.9% 147.08 175.82
29-Sep-17 15.79 9.8% 145.66 177.24
20-Oct-17 19.94 12.4% 141.51 181.39
17-Nov-17 27.54 17.1% 133.91 188.99
15-Dec-17 30.57 18.9% 130.88 192.02
19-Jan-18 33.87 21.0% 127.58 195.32
16-Mar-18 40.22 24.9% 121.23 201.67
15-Jun-18 47.62 29.5% 113.83 209.07
18-Jan-19 62.43 38.7% 99.02 223.88

Volatility Skew:

The current downside put implied volatility is trading 3.1% 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 2.2% higher than the upside call.

Option Volume:

On the day, NVDA traded 149,311 contracts, with 46.3% being put options. This represents a relative volume of 0.8x compared to the last 90 days, when the average volume was 186,633 and 40.1% 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 10,078 6.7% 9,333,947 26,290 17.6% 16,323,865 44,152 29.5% 2,583,089 80,520 53.8% 28,240,901
Put 20,211 13.5% 4,912,365 21,652 14.5% 15,006,205 27,345 18.3% 1,818,597 69,208 46.2% 21,737,167
Total 149,728 49,978,068

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
NVDA 18Aug17 P 162.5 12,903 1,413 1.01 3.00 0.16 4,764 59.2 +83.0%
NVDA 18Aug17 C 165 11,837 1,269 0.01 0.50 0.01 10,812 57.7 +79.5%
NVDA 18Aug17 P 160 10,466 1,259 0.01 1.35 0.01 8,391 26.6 -20.5%
NVDA 18Aug17 C 162.5 10,159 1,313 0.04 2.00 0.01 4,205 21.3 -34.7%
NVDA 25Aug17 C 165 5,323 852 1.43 2.85 1.31 4,482 31.6 -6.7%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 18Aug17 C 162.5 4,205 2,586 +1,619 +62.6% 10,159
NVDA 25Aug17 C 165 4,482 2,876 +1,606 +55.8% 5,323
NVDA 25Aug17 P 165 3,388 2,120 +1,268 +59.8% 3,200
NVDA 15Dec17 P 150 4,575 3,382 +1,193 +35.3% 889
NVDA 25Aug17 P 167.5 2,355 1,165 +1,190 +102.2% 440

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 18Aug17 C 170 11,071 13,472 -2,401 -17.8% 1,557
NVDA 18Aug17 C 167.5 6,621 7,929 -1,308 -16.5% 1,828
NVDA 18Aug17 P 155 6,367 7,241 -874 -12.1% 1,148
NVDA 18Aug17 P 165 6,833 7,589 -756 -10.0% 4,174
NVDA 18Aug17 P 160 8,391 9,067 -676 -7.5% 10,466

Upcoming Dividend:

The next dividend for NVDA is on 22-Aug-2017, and it will pay 0.14. Its indicative dividend yield is 0.35%.