Nvidia stock options brace for earnings volatility, but not anymore than usual

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The options market is ready for another volatile move in Nvidia’s stock on the day after earnings, but just a touch below the historical average.

“Straddle” options, which are bets on movement but not direction, were priced on Tuesday for an $11.59 move in Nvidia’s stock on Thursday, according to data provided by Matt Amberson, principal at Option Research & Technology Services. Based on Tuesday’s closing price, that would represent a move of 7.9%, and means straddle buyers would start making money if the stock fell below $135.42 or rose above $158.60.

The straddle pricing was based on 30-day implied volatility for the stock of 56.1, which compares with CBOE Volatility Index of 16.19.

Over the past 12 quarters, the average move for Nvidia’s stock has been $11.62, and 90-day historical volatility has been 56.9, Amberson said.

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