NVDA — Long Sep 215 straddle
The September chain prices NVIDIA at a 9.9% move through expiration, and that window holds the August 26 print, thirty-seven sessions of tape, and the read-through event for every other name in this cohort. IV rank sits at the 14th percentile with the VIX at 15.5, its lowest since January. The straddle is the direct expression of the view that 9.9% understates the next five weeks.
- Ticker: NVDA
- Direction: Neutral
- Risk profile: volatility
- Confidence: medium
- Catalyst: Q2 FY27 earnings (Blackwell ramp, data center segment guide) (2026-08-26)
- Cohort: 2026-08-12
- Expires: 2026-08-19
- Max loss: $21.48
Structure
- long call 215 2026-09-18
- long put 215 2026-09-18
Signals
- Chain implied move: 9.9% to Sep 18, straddle cost $21.48 on $217.50 spot (DB)
- IV rank: 14.3 percentile of 52w range (DB)
- VIX: 15.5, lowest since January 2026; record 4M+ SPX calls traded (web_search)
- ATM open interest: 24,038 calls / 11,240 puts at the 215 strike (DB)
What invalidates this thesis
Long premium into a print pays for IV crush on both legs. tastytrade's work puts the average post-earnings ATM IV contraction near 44%, so a 4-5% move on August 26 followed by a quiet September loses on the call and the put at once. This needs realized to beat 9.9%, not merely to be directionally interesting.