Nvidia

NVDA

243.84

-2.66

-1.1%

After Hours:

244.40

+0.56

+0.2%

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Stock Price
Open: 245.40
Prev. Close: 246.50
Low/Hi: 243.47 - 250.00
52-Week: 95.17 - 249.27
Volumes
Equity: 15,906,331
90-Day Avg: 14,734,997
Option: 199,318
90-Day Avg: 153,829
Volatility
Todays Stock Vol: 20.4
20-Day (HV): 52.3
52-Week (HV): 39.0
30-Day IV: 36.6 -0.5
IV Pct Rank: 53% Moderate
Fundamental
Dividend: 22-Feb $0.15
Div. Yield: 0.2%
Earnings: 10-May (Est.)
P/E Ratio: 48.43
Market Cap: 149.4 B
Short Int Pct: 0.0%
Pct Held By Inst.: 61.8%
Stock Info
Type: Common
Sector: Technology
Industry: Semiconductor - Specialized

NVDA Symbol Review Report

Report Date: 16-Feb-2018

Price Performance:

On the day, NVDA has moved -1.1%, while SPY has moved 0.0%.

Over the last two weeks, NVDA has moved +4.4%, and SPY has moved -0.9%.

Volume:

NVDA's stock volume on the day is 15,906,331, which is 1.1x relative to the 90-day average of 14,734,997

SPY's relative volume on the day is 1.7x, trading 152,272,279 shares against an average of 90,431,949 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for NVDA is 20.4 for the day. The 20-day average is 46.6, and the 52-week average is 33.7.

The 1-Day OHLC Volatility for SPY is 15.3, while the average over the last 20 days is 13.8, and for the last 52 weeks is 6.9.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 36.6, and has moved -1.3% from the previous day. Its IV % Rank is 0.53, which is considered Moderate.

As a comparison, the current IV30 for SPY is 14.3, down slightly -1.2% from the previous day. SPY's IV % Rank is Elevated at 0.96.

Over the last 52 weeks, the IV30 Range is 24.8 - 60.2.

Over the same span, SPY's IV30 Range is 6.4 - 27.6.

Based on the IV30, a synthetic put to protect downside risk would cost 4.1%, compared to a 52-week range of 2.8% - 6.8%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
16-Feb-18 0.53 0.2% 243.38 244.44
23-Feb-18 8.77 3.6% 235.14 252.68
02-Mar-18 13.11 5.4% 230.80 257.02
09-Mar-18 16.47 6.8% 227.44 260.38
16-Mar-18 19.44 8.0% 224.47 263.35
23-Mar-18 22.15 9.1% 221.76 266.06
29-Mar-18 24.80 10.2% 219.11 268.71
20-Apr-18 31.16 12.8% 212.75 275.07
18-May-18 42.59 17.5% 201.32 286.50
15-Jun-18 47.18 19.3% 196.73 291.09
21-Sep-18 63.45 26.0% 180.46 307.36
18-Jan-19 78.57 32.2% 165.34 322.48
17-Jan-20 112.58 46.2% 131.33 356.49

Volatility Skew:

The current downside put implied volatility is trading 3.0% higher than the upside call volatility, which represents a slightly bearish tone when compared to the past year. Over the last year, the downside put has traded on average 0.9% higher than the upside call.

Option Volume:

On the day, NVDA traded 199,318 contracts, with 36.0% being put options. This represents a relative volume of 1.3x compared to the last 90 days, when the average volume was 153,829 and 39.0% 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 15,757 7.9% 36,313,782 38,031 19.1% 44,940,256 73,636 37.0% 8,515,122 127,424 64.0% 89,769,160
Put 23,953 12.0% 5,173,808 18,235 9.2% 14,874,374 29,351 14.8% 3,459,230 71,539 36.0% 23,507,412
Total 198,963 113,276,572

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
NVDA 16Feb18 C 250 21,152 3,117 0.01 0.01 1.80 10,565 58.6 +76.5%
NVDA 16Feb18 P 245 13,828 2,168 1.14 0.20 2.25 2,730 20.3 -37.5%
NVDA 16Feb18 C 247.5 13,515 2,066 0.01 0.01 3.30 3,262 40.3 +22.8%
NVDA 16Feb18 C 245 8,586 1,521 0.02 0.01 5.30 4,067 31.6 -2.8%
NVDA 23Feb18 C 250 6,251 1,181 2.03 1.91 5.33 2,633 35.4 0.0%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 16Feb18 C 250 10,565 8,149 +2,416 +29.7% 21,152
NVDA 16Mar18 P 220 9,960 8,229 +1,731 +21.0% 671
NVDA 16Feb18 P 245 2,730 1,543 +1,187 +76.9% 13,828
NVDA 16Feb18 C 247.5 3,262 2,145 +1,117 +52.1% 13,515
NVDA 15Jun18 C 300 4,118 3,071 +1,047 +34.1% 1,025

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 16Feb18 C 230 4,932 6,498 -1,566 -24.1% 1,297
NVDA 16Feb18 C 245 4,067 5,148 -1,081 -21.0% 8,586
NVDA 16Feb18 C 240 9,906 10,959 -1,053 -9.6% 3,143
NVDA 16Feb18 C 190 1,960 2,788 -828 -29.7% 119
NVDA 16Feb18 C 220 3,664 4,177 -513 -12.3% 558

Upcoming Dividend:

The next dividend for NVDA is on 22-Feb-2018, and it will pay 0.15. Its indicative dividend yield is 0.25%.

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