{"slug":"expected-move-from-implied-volatility","qid":"nvda_iv_crush","label":"NVDA after its late-May 2023 report: implied volatility and where the stock went","post_title":"Expected Move From Implied Volatility","post_url":"/blog/expected-move-from-implied-volatility#q-nvda_iv_crush","columns":["date","session_label","iv_pct","expected_move_pct","iv_pct_of_report_day","move_from_report_day_pct"],"rows":[{"date":"2023-05-24","session_label":"May 24","iv_pct":115.1,"expected_move_pct":30.54,"iv_pct_of_report_day":100,"move_from_report_day_pct":0},{"date":"2023-05-25","session_label":"May 25","iv_pct":49.4,"expected_move_pct":14.48,"iv_pct_of_report_day":42.9,"move_from_report_day_pct":-0.7},{"date":"2023-05-26","session_label":"May 26","iv_pct":46.2,"expected_move_pct":13.41,"iv_pct_of_report_day":40.1,"move_from_report_day_pct":2.53},{"date":"2023-05-30","session_label":"May 30","iv_pct":48.8,"expected_move_pct":14.23,"iv_pct_of_report_day":42.4,"move_from_report_day_pct":4.57},{"date":"2023-05-31","session_label":"May 31","iv_pct":46.6,"expected_move_pct":13.35,"iv_pct_of_report_day":40.4,"move_from_report_day_pct":-0.16},{"date":"2023-06-01","session_label":"Jun 1","iv_pct":46.4,"expected_move_pct":13.85,"iv_pct_of_report_day":40.3,"move_from_report_day_pct":4.99},{"date":"2023-06-02","session_label":"Jun 2","iv_pct":42.6,"expected_move_pct":12.57,"iv_pct_of_report_day":37,"move_from_report_day_pct":3.06},{"date":"2023-06-05","session_label":"Jun 5","iv_pct":41.4,"expected_move_pct":12.44,"iv_pct_of_report_day":36,"move_from_report_day_pct":2.47},{"date":"2023-06-06","session_label":"Jun 6","iv_pct":39.2,"expected_move_pct":12.24,"iv_pct_of_report_day":34,"move_from_report_day_pct":1.92},{"date":"2023-06-07","session_label":"Jun 7","iv_pct":38.8,"expected_move_pct":11.95,"iv_pct_of_report_day":33.7,"move_from_report_day_pct":-0.74},{"date":"2023-06-08","session_label":"Jun 8","iv_pct":39.4,"expected_move_pct":11.94,"iv_pct_of_report_day":34.2,"move_from_report_day_pct":1.54},{"date":"2023-06-09","session_label":"Jun 9","iv_pct":39.2,"expected_move_pct":11.52,"iv_pct_of_report_day":34.1,"move_from_report_day_pct":1.71}],"shape":"series","sql":"WITH\n    (SELECT avg(toFloat64(implied_volatility))\n     FROM global_markets.options_greeks\n     WHERE underlying_symbol = 'NVDA'\n       AND date = toDate('2023-05-24')\n       AND iv_converged = 1\n       AND volume > 0\n       AND days_to_expiry BETWEEN 20 AND 45\n       AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05) AS iv_report_day,\n    (SELECT avg(toFloat64(underlying_close))\n     FROM global_markets.options_greeks\n     WHERE underlying_symbol = 'NVDA'\n       AND date = toDate('2023-05-24')\n       AND iv_converged = 1\n       AND volume > 0\n       AND days_to_expiry BETWEEN 20 AND 45\n       AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05) AS px_report_day\nSELECT date,\n       formatDateTime(date, '%b %e') AS session_label,\n       round(100 * avg(toFloat64(implied_volatility)), 1) AS iv_pct,\n       round(100 * avg(toFloat64(implied_volatility)) * sqrt(avg(days_to_expiry) / 365), 2) AS expected_move_pct,\n       round(100 * avg(toFloat64(implied_volatility)) / iv_report_day, 1) AS iv_pct_of_report_day,\n       round(100 * (avg(toFloat64(underlying_close)) / px_report_day - 1), 2) AS move_from_report_day_pct\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'NVDA'\n  AND date BETWEEN toDate('2023-05-24') AND toDate('2023-06-09')\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 20 AND 45\n  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05\nGROUP BY date\nHAVING count() >= 3\nORDER BY date","computed_at":"2026-08-22T04:05:37.512782+00:00","elapsed":0.088995583}