NVDA after its late-May 2023 report: implied volatility and where the stock went
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-09-26, from Expected Move From Implied Volatility.
| date | session_label | iv_pct | expected_move_pct | iv_pct_of_report_day | move_from_report_day_pct |
|---|---|---|---|---|---|
| 2023-05-24 | May 24 | 115.1 | 30.54 | 100 | 0 |
| 2023-05-25 | May 25 | 49.4 | 14.48 | 42.9 | -0.7 |
| 2023-05-26 | May 26 | 46.2 | 13.41 | 40.1 | 2.53 |
| 2023-05-30 | May 30 | 48.8 | 14.23 | 42.4 | 4.57 |
| 2023-05-31 | May 31 | 46.6 | 13.35 | 40.4 | -0.16 |
| 2023-06-01 | Jun 1 | 46.4 | 13.85 | 40.3 | 4.99 |
| 2023-06-02 | Jun 2 | 42.6 | 12.57 | 37 | 3.06 |
| 2023-06-05 | Jun 5 | 41.4 | 12.44 | 36 | 2.47 |
| 2023-06-06 | Jun 6 | 39.2 | 12.24 | 34 | 1.92 |
| 2023-06-07 | Jun 7 | 38.8 | 11.95 | 33.7 | -0.74 |
| 2023-06-08 | Jun 8 | 39.4 | 11.94 | 34.2 | 1.54 |
| 2023-06-09 | Jun 9 | 39.2 | 11.52 | 34.1 | 1.71 |
- Rows × columns
- 12 × 6
- Period covered
- to
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
date |
date | 2023-05-24 to 2023-06-09 | |
session_label |
text | 12 distinct values (Jun 1, Jun 2, Jun 5…) | |
iv_pct |
number | 38.8 to 115.1 | percent |
expected_move_pct |
number | 11.52 to 30.54 | percent |
iv_pct_of_report_day |
number | 33.7 to 100 | percent |
move_from_report_day_pct |
number | -0.74 to 4.99 | percent |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH
(SELECT avg(toFloat64(implied_volatility))
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
AND date = toDate('2023-05-24')
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05) AS iv_report_day,
(SELECT avg(toFloat64(underlying_close))
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
AND date = toDate('2023-05-24')
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05) AS px_report_day
SELECT date,
formatDateTime(date, '%b %e') AS session_label,
round(100 * avg(toFloat64(implied_volatility)), 1) AS iv_pct,
round(100 * avg(toFloat64(implied_volatility)) * sqrt(avg(days_to_expiry) / 365), 2) AS expected_move_pct,
round(100 * avg(toFloat64(implied_volatility)) / iv_report_day, 1) AS iv_pct_of_report_day,
round(100 * (avg(toFloat64(underlying_close)) / px_report_day - 1), 2) AS move_from_report_day_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
AND date BETWEEN toDate('2023-05-24') AND toDate('2023-06-09')
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY date
HAVING count() >= 3
ORDER BY date
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