Subscriber Data for Aug26 2025
Nvidia on Tap a look at Options Break Evens
Good morning everyone and welcome to another edition of MTR. Let’s start out with today’s Earnings look at Nvidia which reports after the close today. When we look at the options straddle for todays earnings report, we will use Friday’s expiration and the $180 Strike. Currently it is priced at $12. This gives us a potential move of 6.7% so let’s break this down further:
Implied Volatility (IV) Comparison:
Calls generally show higher IVs (e.g., $175 call at 118.62%, $180 call at 87.20%) compared to puts at the same strikes (e.g., $175 put at 114.29%, $180 put at 85.20%). This skew suggests a slight bullish bias-traders expect larger upside moves, possibly due to NVDA’s growth stock status or recent tech sector momentum. (Which has been the norm for our MEGA9s)
The IV rank (not directly given but inferred from the range) shows higher IV on calls, indicating more demand for upside protection or speculation. This could mean a statistical edge in selling calls (collecting higher premiums) if you believe the upside is overpriced. (Not for the Risk Averse!)
Open Interest (OI) and Volume:
OI is heavily concentrated around $180 (calls: 7,239, puts: 6,594) and $185 (calls: 41,322, puts: 34,961), with significant volume at these strikes (e.g., $180 call volume 1,336, put 1,683). (This $180 level will be a launch pad or a the top and future wall or resistance, chart is below)
Higher put OI and volume at $180 and $185 (e.g., 1,683 vs. 1,336) indicate more bearish hedging or downside bets, possibly due to recent market corrections or NVDA’s high valuation (P/E ~50 based on 2024 estimates). (Puts seem like a good bet considering the FOMO in this stock!)
Delta Analysis:
Call deltas increase from 0.28 ($165) to 0.872 ($200), while put deltas decrease from -0.307 ($165) to -0.4416 ($200). Near-the-money, the $180 call delta (0.5) and put delta (-0.5) are balanced, but the put’s higher negative delta at lower strikes (e.g., $175 put at -0.5196) suggests stronger bearish positioning.
(This delta skew could imply market makers are short more puts, expecting a mean-reverting move lower,)
Optimal Outcome for Market Makers, who are typically short gamma (i.e., short both calls and puts to hedge their market-neutral books), aim to minimize losses from large price swings. Their ideal scenario is for the stock price to stay close to their short strike, allowing options to expire worthless or near worthless, capping their payout.
Highest Open Interest Impact:
The $185 strike has the highest OI (calls: 41,322, puts: 34,961), followed by $180. A move to $185 would maximize call payouts and minimize put losses, while a drop to $180 would do the opposite. However, the balanced OI at $180 (7,239 calls vs. 6,594 puts) suggests this is the “pin” level—where market makers likely have the most neutral hedge and least exposure to directional risk. (Seems likely here given the hype on the largest market cap stock, indeed pinned near $180 makes sense or sticking right here between $180 and $185)
Volatility and Pinning:
With IV dropping from 87.20% ($180 call) to 77.19% ($200 call) and 85.20% ($180 put) to 69.60% ($200 put), market makers benefit from IV crush post-event (e.g., if the SpaceX hype fades). They’d push for the stock to “pin” near $180 or $185, where OI is densest, to let time decay erode extrinsic value.
The 6.7% implied move ($12) suggests a range of $168–$192. A close at $180 (current NTM level) or $185 (high OI) would limit their gamma risk, as both calls and puts would expire with reduced value.
Statistical Likelihood:
Historical data (e.g., NVDA’s 30-day volatility ~40–50% in 2024) supports a 6–7% move as plausible, but market makers often influence pinning via delta hedging, buying/selling stock to stabilize price. The $180–$185 range, with its high OI, is where they’d exert the most control, minimizing P&L impact.
Strategic Inferences for You
Advantageous Trade: Given higher call IV and put OI/volume, consider a short strangle (sell $185 call, sell $175 put) to collect premium, betting on a pin between $175–$185. The $1.80 combined premium ($0.90 call + $0.90 put) offers a 1% cushion, aligning with the 6.7% move expectation. (Only for more overall high risk P+L players)
Market Maker’s Sweet Spot: They’d prefer $180–$185, so avoid long straddles there—buy a $190 call or $170 put for an outlier move (>7%) if you expect a breakout. (Safe plays as long only bets)
Ok that is it on Nvidia analysis let’s look at the chart:
Also guys keep an eye on CrowdStrike, this one is approaching the bull/bear pivot here where longer term longs may start to waffle:
The 2y yields have finally broken our line of death here, lets see if we can close the week below here:
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