HDD – traditional spinning hard disk drives – is an electro-mechanical data storage device that uses magnetic storage to store and retrieve digital information using one or more rigid rapidly rotating disks coated with magnetic material. Hard disk drives have been around for more than 50 years, steadily increasing their storage capacity and decreasing their physical size. HDDs rely on spinning disks, or platters, to read and write data. It is mechanical Hard Disk, hence slower and cheaper than SSD
SSD stands for Solid State Drive and it is called so because it has no moving parts (like in Pen drives) and hence, no wear and tear which is why they perform way better than traditional hard drives which have moving and spinning parts inside and are mechanical in nature. SSD are 5 times faster than normal HDD. While SSD are not cheap they are 1.5 times more costlier than HDD
NVMe (Non-Volatile Memory Express) is a new protocol for accessing high-speed storage media that brings many advantages compared to legacy protocols. This interface is defined to efficiently support the needs of enterprise and client systems utilizing PCI Express solid state drives.
NVMes really are only useful for those larger file transfers.