NVDA Options History — November 2007

In November 2007, NVDA traded between $0.74 and $0.95. ATM implied volatility averaged 58.2%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 11.3% (HV 20d: 69.5%). Max pain ranged from $0.75 to $0.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2007-11-08: Highest Volume — 4,940,000 contracts
2007-11-09: Largest IV drop — 31.5% change
2007-11-08: Highest IV Rank — 93.9%
2007-11-01: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.82	$0.74	$0.95	$0.88	$0.79
Max Pain	$0.83	$0.75	$0.88	$0.88	$0.75
ATM IV	58.2%	45.2%	89.1%	67.7%	46.9%
Expected Move	15.6%	13.0%	19.4%	19.4%	13.5%
HV 20d	69.5%	59.2%	80.7%	59.2%	74.6%
HV 60d	57.5%	52.5%	60.6%	53.5%	60.0%
IV Rank	45.1%	24.6%	93.9%	60.0%	27.3%
IV Percentile	85.6%	62.7%	99.5%	98.1%	70.3%
Term Structure	0.9%	-9.0%	4.6%	-9.0%	3.2%
VWIV	54.3%	44.3%	68.5%	68.5%	47.5%
Skew 25d	4.0%	0.3%	8.8%	1.1%	3.7%
Skew 10d	7.3%	1.5%	14.5%	4.1%	1.5%
Call IV 25d	53.3%	43.3%	69.7%	69.7%	46.5%
Put IV 25d	57.3%	47.3%	70.8%	70.8%	50.2%
Bid-Ask Spread %	14.10	9.71	18.91	15.33	9.71
Gamma HHI	0.24	0.17	0.79	0.25	0.18
Net GEX	4.7M	970.5K	31.9M	3.4M	3.5M
Net DEX	-41.7M	-207.1M	125.7M	-108.1M	-52.0M
Net VEX	-982.4K	-1.2M	-818.2K	-818.2K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.18	1.06	0.38	0.79
Total Volume	1,372,862.857	156,440	4,940,000	1,387,640	523,000
Total OI	9,441,152.381	7,201,880	12,076,200	7,201,880	9,358,560

Daily Data (21 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
2007-11-01	$0.88	$0.88	67.7%	19.4%	59.2%	60.0%	68.5%	1.1%	-9.0%	3.4M	-108.1M	-818.2K	0.38	15.33	N/A	N/A	1,006,600	381,040	4,683,480	2,518,400
2007-11-02	$0.92	$0.88	63.0%	18.1%	60.0%	52.7%	65.3%	3.8%	-7.1%	4.7M	-170.6M	-840.8K	1.04	16.58	N/A	N/A	460,440	480,200	4,991,120	2,343,480
2007-11-05	$0.92	$0.88	67.6%	16.2%	59.7%	60.0%	57.0%	3.1%	-0.1%	4.2M	-159.6M	-836.0K	0.33	12.44	N/A	N/A	474,520	156,800	4,976,760	2,646,840
2007-11-06	$0.95	$0.88	64.3%	15.5%	60.4%	54.8%	54.7%	3.7%	1.1%	5.0M	-207.1M	-841.9K	1.04	14.34	N/A	N/A	967,880	1,004,800	5,083,840	2,694,440
2007-11-07	$0.90	$0.88	76.6%	16.2%	63.0%	74.2%	57.6%	2.7%	1.3%	3.7M	-122.2M	-872.4K	0.69	13.39	N/A	N/A	2,090,320	1,444,360	5,411,200	3,171,800
2007-11-08	$0.85	$0.88	89.1%	18.7%	65.1%	93.9%	65.0%	3.6%	-1.4%	3.1M	-43.9M	-1.2M	0.49	14.16	N/A	N/A	3,312,200	1,627,800	6,602,360	4,020,280
2007-11-09	$0.83	$0.88	61.1%	17.1%	64.5%	49.6%	57.5%	5.6%	-0.4%	3.9M	-20.8M	-1.2M	0.56	18.91	N/A	N/A	1,756,800	982,280	7,427,680	4,535,160
2007-11-12	$0.75	$0.88	76.5%	17.7%	73.6%	73.9%	61.3%	3.7%	0.5%	970.5K	125.7M	-948.7K	0.30	12.91	N/A	N/A	1,672,680	501,000	7,466,080	4,610,120
2007-11-13	$0.82	$0.88	57.6%	16.1%	80.7%	44.1%	56.2%	8.8%	3.5%	3.9M	9.2M	-1.1M	0.33	14.12	N/A	N/A	898,560	293,680	7,765,400	4,298,120
2007-11-14	$0.80	$0.88	54.5%	15.9%	75.0%	39.2%	55.0%	4.6%	1.4%	3.4M	34.4M	-1.0M	0.54	12.81	N/A	N/A	443,400	241,320	7,636,120	4,286,440
2007-11-15	$0.79	$0.88	54.2%	15.5%	74.9%	38.8%	54.2%	5.9%	2.8%	2.9M	57.3M	-1.0M	0.86	17.39	N/A	N/A	385,200	330,160	7,573,160	4,199,280
2007-11-16	$0.81	$0.81	52.2%	15.0%	73.9%	35.7%	51.2%	6.5%	4.6%	31.9M	36.5M	-1.0M	0.47	14.52	N/A	N/A	650,280	308,480	7,716,400	4,147,200
2007-11-19	$0.76	$0.81	50.2%	14.4%	74.3%	32.5%	50.1%	1.7%	2.4%	1.4M	16.5M	-891.2K	0.21	16.63	N/A	N/A	1,109,600	232,200	4,685,960	2,705,080
2007-11-20	$0.75	$0.81	49.0%	14.0%	74.0%	30.5%	48.7%	4.5%	1.7%	2.2M	4.4M	-923.7K	0.39	14.13	N/A	N/A	699,960	275,360	5,290,200	2,749,640
2007-11-21	$0.74	$0.81	50.3%	14.4%	73.6%	32.7%	50.8%	0.3%	1.4%	2.4M	-755.3K	-942.9K	0.65	11.89	N/A	N/A	297,400	194,240	5,612,400	2,811,320
2007-11-23	$0.76	$0.81	48.6%	13.9%	68.0%	30.0%	48.6%	3.8%	2.5%	2.8M	-11.1M	-977.4K	0.64	12.82	N/A	N/A	95,480	60,960	5,750,680	2,873,080
2007-11-26	$0.74	$0.81	51.4%	14.7%	68.2%	34.4%	51.3%	3.3%	2.2%	2.3M	8.6M	-903.2K	0.18	13.30	N/A	N/A	612,160	111,000	5,765,440	2,899,320
2007-11-27	$0.77	$0.75	50.4%	14.5%	70.2%	32.8%	49.5%	6.3%	2.2%	3.4M	-36.7M	-994.9K	0.59	14.55	N/A	N/A	366,480	216,560	5,929,200	2,894,480
2007-11-28	$0.82	$0.75	45.3%	13.0%	73.0%	24.7%	45.5%	3.5%	3.6%	5.0M	-115.0M	-1.1M	0.62	10.52	N/A	N/A	780,200	485,760	6,040,920	2,964,040
2007-11-29	$0.83	$0.75	45.2%	13.0%	72.8%	24.6%	44.3%	4.0%	2.7%	4.9M	-119.8M	-1.1M	1.06	15.69	N/A	N/A	435,840	463,120	6,043,160	3,085,560
2007-11-30	$0.79	$0.75	46.9%	13.5%	74.6%	27.3%	47.5%	3.7%	3.2%	3.5M	-52.0M	-1.1M	0.79	9.71	N/A	N/A	292,480	230,520	6,016,080	3,342,480