Nvidia

NVDA

101.46

+0.97

+1.0%

After Hours:

101.65

+0.19

+0.2%

Stock Price
Open: 97.07
Prev. Close: 100.49
Low/Hi: 95.70 - 102.00
52-Week: 30.60 - 120.92
Volumes
Equity: 25,703,727
90-Day Avg: 16,575,624
Option: 251,313
90-Day Avg: 96,429
Volatility
Today: 78.9
20-Day: 39.9
52-Week: 33.3
30-Day IV: 35.2 -2.2
IV Rank: 0.47 (Moderate)
Fundamental
Dividend: 18-May $0.14 (Est.)
Div. Yield: 0.6%
Earnings: 5-May (Est.)
P/E Ratio: 32.63
Market Cap: 54.2 B
Stock Type: Common | Sector: Technology | Industry: Semiconductor - Specialized

NVDA Symbol Review Report

Report Date: 24-Feb-2017

Price Performance:

On the day, NVDA has moved +1.0%, while SPY has moved +0.1%.

Over the last two weeks, NVDA has moved -10.7%, and SPY has moved +2.3%.

Volume:

NVDA's stock volume on the day is 25,703,727, which is 1.6x relative to the 90-day average of 16,575,624

SPY's relative volume on the day is 0.9x, trading 77,141,484 shares against an average of 82,740,785 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for NVDA is 78.9 for the day. The 20-day average is 35.4, and the 52-week average is 29.0.

The 1-Day OHLC Volatility for SPY is 8.3, while the average over the last 20 days is 6.1, and for the last 52 weeks is 8.7.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 35.2, and has moved -5.9% from the previous day. Its IV Ranking is 0.47, which is considered Moderate.

As a comparison, the current IV30 for SPY is 8.6, down -3.1% from the previous day. SPY's IV Rank is Subdued at 0.40.

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

Over the same span, SPY's IV30 Range is 8.5 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 4.0%, 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-Feb-17 0.23 0.2% 101.14 101.60
03-Mar-17 3.83 3.8% 97.54 105.20
10-Mar-17 5.59 5.5% 95.78 106.96
17-Mar-17 6.86 6.8% 94.51 108.23
24-Mar-17 8.06 8.0% 93.31 109.43
31-Mar-17 9.10 9.0% 92.27 110.47
07-Apr-17 10.04 9.9% 91.33 111.41
21-Apr-17 11.48 11.3% 89.89 112.85
19-May-17 16.53 16.3% 84.84 117.90
16-Jun-17 18.32 18.1% 83.05 119.69
15-Sep-17 24.71 24.4% 76.66 126.08
19-Jan-18 31.95 31.5% 69.42 133.32
18-Jan-19 45.73 45.1% 55.64 147.10

Volatility Skew:

The current downside put implied volatility is trading 1.4% 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 7.0% higher than the upside call.

Option Volume:

On the day, NVDA traded 251,313 contracts, with 46.0% being put options. This represents a relative volume of 2.6x compared to the last 90 days, when the average volume was 96,429 and 44.1% 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 27,251 14.3% 4,975,244 28,962 15.2% 10,010,976 49,511 26.0% 1,656,373 105,724 55.6% 16,642,593
Put 17,948 9.4% 10,009,051 17,712 9.3% 7,459,139 48,725 25.6% 3,802,385 84,385 44.4% 21,270,575
Total 190,109 37,913,168

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
NVDA 24Feb17 C 102 14,406 1,385 0.01 0.01 0.52 2,348 21.7 -46.7%
NVDA 24Feb17 C 101 12,345 1,155 0.49 0.05 4.34 1,953 28.1 -32.9%
NVDA 24Feb17 P 100 10,640 1,022 0.01 0.01 4.30 2,936 42.9 +2.9%
NVDA 24Feb17 C 100 7,942 985 1.34 0.01 2.13 1,546 66.0 +56.3%
NVDA 24Feb17 P 101 7,113 605 0.01 0.01 5.01 1,615 33.2 -20.3%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 21Apr17 C 110 6,909 3,865 +3,044 +78.8% 0
NVDA 21Apr17 C 100 5,908 3,012 +2,896 +96.2% 0
NVDA 24Feb17 C 104 2,355 24 +2,331 +9712.5% 1,341
NVDA 24Feb17 C 102 2,348 103 +2,245 +2179.6% 14,406
NVDA 24Feb17 C 103 2,316 98 +2,218 +2263.3% 6,767

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
NVDA 16Jun17 C 155 5,120 6,234 -1,114 -17.9% 849
NVDA 24Feb17 P 110 2,479 3,415 -936 -27.4% 897
NVDA 24Feb17 P 108 2,395 3,281 -886 -27.0% 852
NVDA 24Feb17 C 111 2,377 3,180 -803 -25.3% 280
NVDA 24Feb17 C 110 4,155 4,913 -758 -15.4% 157

Upcoming Dividend:

The next dividend for NVDA has not yet been announced. Its indicative dividend yield going forward is 0.56%.