NVDA Options History — January 2008

In January 2008, NVDA traded between $0.58 and $0.83. ATM implied volatility averaged 69.0%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 3.2% (HV 20d: 72.1%). Max pain ranged from $0.63 to $0.88. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2008-01-07: Highest Volume — 2,405,680 contracts
2008-01-16: Largest IV spike — 22.2% change
2008-01-22: Highest IV Rank — 90.8%
2008-01-22: Largest Expected Move — 25.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.67	$0.58	$0.83	$0.83	$0.61
Max Pain	$0.71	$0.63	$0.88	$0.81	$0.63
ATM IV	69.0%	45.6%	87.2%	48.0%	75.8%
Expected Move	19.8%	13.1%	25.0%	13.8%	21.7%
HV 20d	72.1%	40.3%	89.7%	40.3%	89.6%
HV 60d	67.1%	58.6%	71.1%	58.7%	70.3%
IV Rank	62.1%	25.2%	90.8%	29.0%	72.9%
IV Percentile	93.2%	65.7%	99.2%	74.0%	95.6%
Term Structure	-5.2%	-13.7%	9.4%	7.7%	-9.4%
VWIV	68.1%	47.6%	83.9%	47.6%	74.7%
Skew 25d	9.7%	0.8%	46.2%	3.7%	6.0%
Skew 10d	13.0%	2.1%	55.7%	7.7%	11.1%
Call IV 25d	65.5%	47.2%	80.0%	47.2%	73.5%
Put IV 25d	75.2%	48.7%	122.0%	50.8%	79.6%
Bid-Ask Spread %	11.78	6.20	30.16	8.36	8.85
Gamma HHI	0.22	0.16	0.41	0.22	0.22
Net GEX	1.3M	-774.0K	4.0M	546.0K	2.3M
Net DEX	33.8M	-34.1M	127.0M	-21.4M	-18.0M
Net VEX	-621.1K	-883.3K	-391.6K	-875.3K	-477.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.18	1.19	0.67	0.45
Total Volume	872,422.857	168,760	2,405,680	317,120	519,200
Total OI	8,269,249.524	5,903,320	11,863,440	7,577,320	6,434,960

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
2008-01-02	$0.83	$0.81	48.0%	13.8%	40.3%	29.0%	47.6%	3.7%	7.7%	546.0K	-21.4M	-875.3K	0.67	8.36	N/A	N/A	189,920	127,200	4,403,280	3,174,040
2008-01-03	$0.82	$0.81	45.6%	13.1%	40.4%	25.2%	47.6%	0.8%	9.4%	278.2K	-12.7M	-865.3K	1.06	12.31	N/A	N/A	402,800	427,000	4,439,680	3,207,840
2008-01-04	$0.75	$0.88	54.6%	17.4%	47.3%	39.4%	59.4%	4.6%	-4.8%	-774.0K	67.5M	-772.3K	0.29	10.04	N/A	N/A	907,600	262,040	4,679,480	3,479,480
2008-01-07	$0.67	$0.81	64.5%	18.0%	58.8%	55.0%	61.7%	3.2%	-3.4%	-620.1K	127.0M	-588.1K	0.23	10.06	N/A	N/A	1,963,280	442,400	5,181,600	3,531,440
2008-01-08	$0.69	$0.75	63.7%	18.1%	59.9%	53.7%	61.8%	5.9%	-2.6%	386.1K	92.1M	-721.5K	0.18	10.58	N/A	N/A	1,067,240	192,280	6,082,720	3,571,040
2008-01-09	$0.72	$0.75	59.2%	17.3%	63.3%	46.6%	62.0%	7.9%	-3.1%	933.6K	47.8M	-812.0K	0.53	8.69	N/A	N/A	334,960	177,680	6,228,760	3,581,160
2008-01-10	$0.71	$0.75	62.0%	17.8%	63.4%	51.1%	60.7%	5.5%	-3.8%	847.0K	66.6M	-765.8K	0.19	11.49	N/A	N/A	514,960	97,920	6,292,000	3,620,880
2008-01-11	$0.68	$0.75	63.6%	18.2%	62.4%	53.6%	63.2%	6.6%	-4.1%	1.1M	89.7M	-696.7K	0.23	16.10	N/A	N/A	468,760	106,280	6,503,480	3,623,080
2008-01-14	$0.72	$0.75	61.6%	17.6%	67.9%	50.4%	62.8%	9.1%	-4.0%	1.6M	39.7M	-787.6K	0.68	14.80	N/A	N/A	1,213,840	830,440	6,671,320	3,643,480
2008-01-15	$0.67	$0.75	63.5%	18.2%	71.2%	53.4%	63.3%	7.2%	-2.7%	995.2K	114.1M	-883.3K	0.42	14.49	N/A	N/A	721,120	302,000	7,589,960	4,273,480
2008-01-16	$0.59	$0.69	77.6%	22.2%	79.6%	75.6%	73.8%	5.3%	-7.4%	741.0K	103.5M	-391.6K	0.61	6.20	N/A	N/A	1,368,640	837,240	6,557,200	2,893,560
2008-01-17	$0.58	$0.69	81.9%	23.5%	78.1%	82.5%	78.3%	46.2%	-9.7%	628.1K	100.3M	-425.3K	0.23	30.16	N/A	N/A	940,320	212,480	7,055,080	3,224,520
2008-01-18	$0.62	$0.63	76.4%	21.9%	83.0%	73.8%	76.7%	12.3%	-7.6%	4.0M	60.2M	-509.8K	0.32	11.87	N/A	N/A	635,760	204,800	7,539,360	3,139,520
2008-01-22	$0.59	$0.63	87.2%	25.0%	82.5%	90.8%	83.3%	10.3%	-13.7%	1.6M	371.7K	-444.3K	0.67	11.83	N/A	N/A	278,360	185,640	4,360,520	1,542,800
2008-01-23	$0.60	$0.63	84.5%	24.2%	83.1%	86.7%	83.9%	11.2%	-11.4%	1.6M	-5.5M	-474.1K	0.41	9.33	N/A	N/A	312,240	129,080	4,433,760	1,611,720
2008-01-24	$0.65	$0.63	78.5%	22.5%	88.6%	77.1%	73.1%	14.8%	-10.1%	2.3M	-34.1M	-542.1K	1.19	7.30	N/A	N/A	364,280	434,400	4,541,600	1,617,040
2008-01-25	$0.62	$0.63	73.6%	21.1%	88.2%	69.5%	71.9%	10.9%	-5.4%	2.2M	-26.4M	-503.6K	0.39	11.71	N/A	N/A	351,560	135,400	4,561,000	1,498,120
2008-01-28	$0.62	$0.63	77.3%	22.2%	88.1%	75.2%	77.2%	10.5%	-8.2%	2.2M	-19.5M	-486.8K	0.46	9.79	N/A	N/A	115,800	52,960	4,681,760	1,524,680
2008-01-29	$0.64	$0.63	75.2%	21.6%	89.7%	71.9%	73.5%	10.8%	-8.4%	2.6M	-32.4M	-510.9K	0.30	13.20	N/A	N/A	165,600	49,640	4,732,680	1,540,120
2008-01-30	$0.63	$0.63	74.0%	21.2%	89.7%	70.0%	73.8%	9.7%	-6.8%	2.5M	-28.6M	-508.7K	0.80	10.17	N/A	N/A	154,040	123,720	4,836,000	1,550,040
2008-01-31	$0.61	$0.63	75.8%	21.7%	89.6%	72.9%	74.7%	6.0%	-9.4%	2.3M	-18.0M	-477.0K	0.45	8.85	N/A	N/A	357,880	161,320	4,813,200	1,621,760