NVDA implied volatility history 90 days

NVIDIA be di biggest AI chip maker for market and one of di top three options tape. Dis page dey track NVDA's implied volatility, wey be di market live price for im future movement, for three ways: every session for di last three months, im month-by-month history against di index benchmarks, and how e slope across expirations. Every number dey come from real option closing prices and dey refresh with di weekly batch.

NVDA implied volatility, di last 90 days

SELECT toString(date) AS session_date,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
  AND date >= (SELECT max(date) - 90 FROM global_markets.options_greeks)
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY date
HAVING count() >= 10
ORDER BY date

Each point be one session's median implied volatility across NVDA's near-the-money contracts (strikes wey dey within 5% of di stock, wey dey expire one week to two months out). Di latest reading be 40.8%. An IV of dat size na annualized number: di yearly percentage move wey di option prices treat as normal, and if you divide am by roughly 16, you go get di implied one-day move.

NVDA IV history vs di market, month by month

SELECT toString(toStartOfMonth(date)) AS month,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'NVDA'), 1) AS nvda_iv_pct,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'SPY'), 1) AS spy_iv_pct,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'QQQ'), 1) AS qqq_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('NVDA', 'SPY', 'QQQ')
  AND date >= toDate('2022-07-01')
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY month
HAVING countIf(underlying_symbol = 'NVDA') >= 50
ORDER BY month

Di chart na NVDA's fear gauge over time, wey dey draw against di market's own. Di SPY and QQQ lines carry di same measurement for di market's benchmark chains, di latest month read 39.8% for NVDA against 13.8% for SPY and 24.2% for QQQ. A diversified index nearly always carry less implied volatility dan any single name inside am, di gap between di lines na di single-name premium, and how dat gap dey widen and narrow na di story of NVDA's risk cycles. Di peaks mark di times wey option buyers pay up di hardest; di troughs na di stretches wey di market treat di name as quiet.

Di term structure: NVDA IV by expiration

SELECT multiIf(days_to_expiry <= 14, 'Under 2 weeks', days_to_expiry <= 45, '2-6 weeks',
               days_to_expiry <= 120, '6 weeks - 4 months', 'Beyond 4 months') AS expiry_bucket,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct,
       count() AS contracts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
  AND date = (SELECT max(date) FROM global_markets.options_greeks)
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
GROUP BY expiry_bucket
HAVING count() >= 5
ORDER BY min(days_to_expiry)

If you read across di buckets, e show wetin di market expect WHEN. A front end wey dey above di back end mean say near-term event risk dey priced, like a report, a decision, or a catalyst inside di window. A flat or upward-sloping curve na di resting state: more time, more uncertainty, gently higher IV.

FAQ

Wetin be NVDA's implied volatility right now?

40.8% at di money as of di latest session wey dey on file, wey dem measure across near-the-money contracts wey dey expire 7-60 days out. Di 90-day chart above carry di full recent path; di number dey refresh with di weekly batch.

NVDA's IV high or low right now?

Judge am three ways: against im own recent path (di 90-day chart), against im own history (di monthly chart, where di latest month read 39.8%), and against di benchmarks wey dem draw on di same axes. For where di market's extremes dey, di high-IV board dey track di names wey dey price di biggest moves.

How dem measure dis?

From NVDA's near-the-money contracts (strikes wey dey within 5% of di stock price) at each session's close, wey dem only keep contracts where di volatility solve converge; each value na di median, and thin sessions and months dem drop by di contract floors wey dey visible for each panel's SQL.

Wetin dey move NVDA's implied volatility?

Scheduled events dey load IV in advance and crush am after; realized turbulence dey raise am; calm dey grind am down. Di monthly history above na di record of exactly dose cycles.

Every panel na a stored, versioned query over di full options tape, you fit expand any panel to audit am, or measure any strike of NVDA's chain on di Strasmore terminal. For di concept, start at wetin implied volatility be; for how strikes dey differ on di same stock, see volatility skew.