NVDA Options History — August 2007 In August 2007, NVDA traded between $0.71 and $0.85. ATM implied volatility averaged 50.3%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 7.5% (HV 20d: 42.8%). Max pain ranged from $0.62 to $0.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.67.
Notable Days 2007-08-09 : Highest Volume — 6,013,640 contracts2007-08-10 : Largest IV drop — 52.5% change2007-08-02 : Highest IV Rank — 100.0%2007-08-09 : Largest Expected Move — 18.4%Monthly Statistics Metric Avg Min Max Open Close Price $0.77 $0.71 $0.85 $0.76 $0.85 Max Pain $0.67 $0.62 $0.75 $0.75 $0.67 ATM IV 50.3% 39.8% 93.0% 57.0% 42.4% Expected Move 14.2% 11.4% 18.4% 16.3% 12.2% HV 20d 42.8% 22.5% 58.9% 22.6% 55.8% HV 60d 38.3% 33.9% 44.2% 34.0% 44.2% IV Rank 45.0% 16.0% 100.0% 96.8% 20.2% IV Percentile 75.0% 45.7% 100.0% 99.3% 58.7% Term Structure 0.2% -12.3% 6.4% -3.6% 5.1% VWIV 49.7% 40.5% 63.3% 57.6% 42.7% Skew 25d 2.2% -3.2% 5.8% -1.8% 3.0% Skew 10d 5.2% -5.2% 12.0% -1.3% 7.4% Call IV 25d 48.8% 38.6% 64.8% 59.2% 40.7% Put IV 25d 51.0% 42.0% 61.7% 57.4% 43.7% Bid-Ask Spread % 9.18 5.23 14.57 8.41 6.76 Gamma HHI 0.16 0.12 0.39 0.13 0.16 Net GEX 4.1M 1.7M 9.9M 2.4M 4.7M Net DEX -462.7M -666.1M -291.7M -443.8M -666.1M Net VEX -2.0M -2.2M -1.8M -2.1M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.27 1.09 0.53 0.74 Total Volume 1,682,471.304 256,400 6,013,640 1,302,280 1,577,960 Total OI 22,597,424.348 19,577,960 26,237,040 21,678,560 21,510,240
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $0.76 $0.75 57.0% 16.3% 22.6% 96.8% 57.6% -1.8% -3.6% 2.4M -443.8M -2.1M 0.53 8.41 N/A N/A 850,040 452,240 11,192,880 10,485,680 2007-08-02 $0.75 $0.75 58.3% 16.7% 22.5% 100.0% 58.3% 0.2% -5.1% 2.9M -437.4M -2.1M 0.49 7.96 N/A N/A 611,640 301,800 11,373,240 10,465,080 2007-08-03 $0.71 $0.75 61.0% 17.5% 31.7% 100.0% 61.6% -2.7% -5.2% 2.0M -309.2M -2.1M 0.48 12.21 N/A N/A 1,630,320 787,080 11,526,600 10,577,960 2007-08-06 $0.71 $0.62 64.6% 16.5% 29.9% 100.0% 56.9% 1.5% -4.6% 2.8M -323.6M -2.2M 0.86 6.78 N/A N/A 647,240 557,760 12,277,160 10,837,200 2007-08-07 $0.73 $0.62 60.8% 15.4% 30.3% 89.2% 54.2% 1.1% -2.8% 3.3M -369.0M -2.1M 0.70 9.83 N/A N/A 685,680 477,000 12,369,440 11,033,040 2007-08-08 $0.76 $0.62 63.3% 15.4% 34.6% 96.4% 53.0% 2.3% -5.2% 4.9M -496.4M -2.1M 0.27 5.57 N/A N/A 1,860,120 499,920 12,530,000 11,010,120 2007-08-09 $0.77 $0.62 93.0% 18.4% 34.2% 100.0% 63.3% -3.2% -12.3% 5.0M -538.2M -2.2M 0.55 12.27 N/A N/A 3,876,120 2,137,520 13,117,680 11,078,400 2007-08-10 $0.73 $0.67 44.2% 15.2% 38.1% 23.0% 53.9% 2.5% -2.2% 4.7M -393.6M -2.2M 0.68 11.50 N/A N/A 3,003,960 2,040,600 14,124,960 11,919,080 2007-08-13 $0.73 $0.67 43.6% 15.2% 37.4% 22.0% 52.3% 2.9% -1.6% 2.0M -343.1M -2.1M 0.50 11.68 N/A N/A 1,263,120 635,120 14,099,400 12,137,640 2007-08-14 $0.75 $0.67 40.5% 14.6% 40.2% 17.2% 51.1% 3.1% -0.2% 7.8M -490.3M -2.1M 0.59 9.97 N/A N/A 1,356,360 800,280 13,856,760 11,659,280 2007-08-15 $0.72 $0.67 46.3% 15.0% 42.5% 26.3% 52.1% 3.1% -0.9% 2.3M -336.2M -2.1M 0.72 12.64 N/A N/A 787,680 567,680 13,596,600 11,602,400 2007-08-16 $0.71 $0.67 54.3% 15.6% 42.8% 39.0% 54.2% 5.6% 0.4% 1.7M -291.7M -2.1M 0.90 14.57 N/A N/A 861,840 776,360 13,567,560 11,584,800 2007-08-17 $0.75 $0.67 46.3% 13.3% 47.8% 26.2% 47.6% 5.1% 4.5% 9.9M -475.4M -2.0M 0.52 8.90 N/A N/A 812,520 424,080 13,613,880 11,370,600 2007-08-20 $0.75 $0.67 43.5% 12.5% 47.7% 21.9% 44.2% 2.9% 2.8% 3.5M -420.7M -1.9M 0.70 11.14 N/A N/A 433,440 304,680 10,416,360 9,161,600 2007-08-21 $0.79 $0.67 40.8% 11.7% 50.2% 17.6% 43.0% 5.8% 4.7% 4.2M -514.2M -1.8M 0.73 11.46 N/A N/A 635,040 460,640 10,522,440 9,299,720 2007-08-22 $0.81 $0.67 41.4% 11.9% 50.5% 18.6% 42.4% 3.5% 4.3% 4.5M -555.3M -1.8M 1.09 7.04 N/A N/A 713,000 776,000 10,605,960 9,333,200 2007-08-23 $0.80 $0.67 41.4% 11.9% 50.8% 18.5% 40.8% 3.5% 5.6% 4.0M -527.4M -1.8M 1.02 7.66 N/A N/A 550,280 562,040 10,687,400 9,657,560 2007-08-24 $0.80 $0.67 39.8% 11.4% 50.7% 16.0% 40.5% 2.9% 6.4% 3.9M -528.8M -1.9M 1.01 7.96 N/A N/A 127,560 128,840 10,875,800 9,932,760 2007-08-27 $0.82 $0.67 41.4% 11.9% 50.4% 18.5% 41.9% 2.0% 4.5% 4.2M -578.5M -1.8M 0.47 6.00 N/A N/A 844,920 398,280 10,904,520 9,968,160 2007-08-28 $0.77 $0.67 44.9% 12.9% 55.7% 24.2% 45.3% 1.7% 3.0% 3.6M -456.9M -1.9M 0.55 8.07 N/A N/A 821,160 452,160 11,092,880 10,004,400 2007-08-29 $0.82 $0.67 42.8% 12.3% 58.9% 20.9% 43.6% 2.3% 3.5% 4.8M -581.0M -1.8M 0.49 5.23 N/A N/A 397,040 194,280 11,345,760 10,011,560 2007-08-30 $0.81 $0.67 44.4% 12.7% 58.9% 23.3% 43.6% 2.5% 2.7% 4.6M -564.7M -1.8M 0.89 7.56 N/A N/A 325,040 290,400 11,322,320 10,080,680 2007-08-31 $0.85 $0.67 42.4% 12.2% 55.8% 20.2% 42.7% 3.0% 5.1% 4.7M -666.1M -1.8M 0.74 6.76 N/A N/A 907,760 670,200 11,287,080 10,223,160
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